I am wondering what fitness metric or maybe a combination of multiple metrics would be ideal to handle trailing drawdowns of prop firm challenges. In most cases optimizing for net profit is not advisable due to drawdowns. I have mostly used multi-objective optimization looking at Net Profit, Profit Factor, Strength, R2, Sortino Ratio and Min Draw Down. In most cases I resort to using Strength and R2 with the parameters which show a curve that is as linear as possible.
What would you recommend to escape the trailing drawdowns with as high a probability as possible?
Comment