Hi Guys,
I am doing some optimization on a system and ran into a small problem.
If I am optimizing with a minimum volume parameter I get many more trades
with a small volume required and fewer trades with greater volume required.
More trades yield a higher profit, but at the expense of many more trades and
positions than desired, even accounting for comm and slippage.
What I think I would like to see is something like profitability per trade.
ie: Bang for the buck, a buck being defined as a trade.
Does this sort of thing make sense and does anyone have any suggestions for a
metric that accounts for something like this?
Cheers
SId
