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Hi D --
Your idea is interesting, and might be useful. One of the issues with objective functions is that the objective function should be chosen by the developer and incorporate what the developer feels is important. Done that way, systems that pass validation are certain to be ones the developer will be comfortable trading. If the objective function is itself an object of optimization, the result might be a trading system that is not the developers first choice. Which brings the cognitive dissonance back into the picture.
I agree with your finding that CAR is a poor objective function. Unfortunately, it is the default in too many situations -- and the only choice for some development platforms. I believe Tomasz has made CAR/MDD the default objective function for AmiBroker, which is a much better choice. In any event, AmiBroker allows the developer to pick any function, or design one to meet his or her specific needs.
Thanks,
Howard
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