Optimization Observations

In optimizing, I find that using Return on Account for fitness (vs. Net Profit) during in sample testing, results in parameters that work much better in out of sample testing. In fact, I find that optimizing on Net Profit, often leads to marginal or negative out of sample results.

Would be interested in hearing others experience in this area ...

Brooks

How about Return on Account divided by maximum drawdown?

That's a good fitness criteria also. Is there a common name for that, something like "recovery ratio" ...?

I haven't heard of a name for it. It's not available as a option in NinjaTrader's system optimizer. "Recovery ratio" sounds good but sounds like one of those stats you use to measure drawdown per individual trade. I guess I could have just said "profit over drawdown" and you would have understood.