Most important factor to Optimize

E

EliteTraderNYC

In your opinion, what would be the most important thing to optimize? I'm using Ninjatrader Genetic Optimizer

Total Net Profit
Profit Factor or gross profits minus gross losses
Average Profit per trade
Max % profitable
Max Sharp ratio
Minimize drawdown (This is not an issue with my strategy)

I personally have been using PF or total net profit
 
Quote from EliteTraderNYC:

...Ninjatrader Genetic Optimizer
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Fancy name for a random permutation process.:)

Why do you need to optimize? My rule is that all factors you listed should stay more or less unchanged as a function of system parameters, otherwise you are curve-fitting to specific market conditions.
 
Quote from a5519:

Ulcer index. Incorporates downside smoothness of equity curve and drawdown.
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Good Advice!

But maybe for beginners can fit better the CAR/MDD (Compounded Annual Return / Maximal Drawdown).

This ratio show the best qualities of an equity curve: slope and risk reward ratio, also readeable as average time to recover its maximum historical loss (expressed in fraction of year).

Apart from this, be aware that there's no indicator that you can maximize for cut out the unavoidable overfitting that affects all optimized systems...

For this purpose it should be better to proceed with sensitivity analisys of optimization results and testing the system's multimarket ability .

My 2cent..
 
Is there a way to determine the degree of curve fitting in a sytem?

Also, what are the odds that my systems passes the out-of-sample test simply by random chance?
 
I wouldn't bother optimising anything it is irrelevant, just visually look at the indicator on the chart and adjust the settings to suit, stop being so anal about it there is no need for all that crap
 
Quote from EliteTraderNYC:

In your opinion, what would be the most important thing to optimize? I'm using Ninjatrader Genetic Optimizer

Total Net Profit
Profit Factor or gross profits minus gross losses
Average Profit per trade
Max % profitable
Max Sharp ratio
Minimize drawdown (This is not an issue with my strategy)

I personally have been using PF or total net profit
More...
The whole point of trading is to make money.

Therefore the logical optimization is either total net profit or average profit per trade.

Overfitting (which some traders mistakenly call 'curve fitting', even though there is no curve being fitted) is always a concern but as Eckhardt pointed out, to not optimize at all is tantamount to underfitting.
 
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