goal function in trading system optimization

[rudolf stricker <lists@xxxxxxxxxxx>]

List,

I wonder, which kinds of goal functions are appropriately used in
trading system optimization ...

At this time, I'm using a combination of profit, no of winning / no of
loosing trades, wins / loss, and shape of probability distribution of
losses, all taken over a (weighted) five years period

Should I add any other important aspect? Or should I leave out any of
the above parameters? And what about the "best" kind of combining
these "multidimensional" optimization targets? - Any hints?

mfg rudolf stricker
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