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Alex,
What you might be looking for is how straight the equity curve is. I
have not tried this yet in automatic mode, but when I plot the equity
curve I look for the gain and how straight the curve is. As a single
number, that would likely be the correlation to a straight line
between the start and ending equity values. That way you are not
fooled by a single rare event.
Dennis
On Jun 4, 2007, at 2:50 PM, dralexchambers wrote:
> 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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