[amibroker] I need your thoughts on an Optimisation issue

["dralexchambers" <dralexchambers@xxxxxxxxx>]

I am currently testing and optimising a trading system over 1 year of 
data, and sorting the results by Gross Profit Made.

What I am finding is that by sorting the results by Gross Profit 
Made, the system has long periods of small losses then one big gain. 
Although over a year this provides a good return, drawdowns in the 
interim are bad - and I am looking for regular cashflow with lower 
drawdowns rather than the largest gain made over a year.

Can anyone think of a way to optimise results for maximal cash-flow 
each month rather than Gross Profit Made in a year? Is there a 
mathematical formula I can use?

I tried using a average of x bars, but this still doesn't solve the 
problem, eg:

Week 1: -$40
Week 2: -$40
Week 3: $8000

whereas I would like more:

Week 1: $900
Week 2: $1500
Week 3: $2000

(this is a very simplified example but illustrates what I am after).

Many thanks,
Alex



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