Use one of these, depending upon your trading objectives. No one "best" fitness function.

**TS (TradeStation) Index**
A fitness function that maximizes the Net Profit and Winners while minimizing Intraday

Drawdown. It calculates the Net Profit * NumWinTrades / AbsValue (Maximum Intraday Drawdown).

**Expectancy Score (Van Tharp)**
A fitness function that measures

Expectancy x Opportunity. Based on a calculation by Van K. Tharp.

Expectancy = (AW x PW + AL x PL) / |AL|

(expected profit per dollar risked)

AW = average winning trade (excluding largest win)

PW = probability of winning : PW = (Winning trades-1) / NST

AL = average losing trade (negative, excluding

scratch losses)

|AL| = absolute value of AL

PL = probability of losing (PL = {non-scratch losses} / NST)

Opportunity = NST / StudyDays

NST = {total trades} - {scratch trades} - 1

*In other words, NST = non-scratch trades during the period under test (a scratch trade loses commission +

slippage or less) minus 1

StudyDays = calendar days of history being tested

**Pessimistic Return on Capital (PROC)**
A fitness function that represents a very conservative value for Return on Capital (ROC). It calculates the AvgWin*(NumWinTrades) - SquareRoot(NumWinTrades))+AvgLoss*(NumLossTrades + SquareRoot

(NumLossTrades))) / Capital.

NumWinTrades = number of winning trades, NumLossTrades = number of losing trades, AvgWin = GrossProf/NumWinTrades, and AvgLoss = GrossLoss/NumLossTrades.

**Perfect Profit Correlation (PPC)**
Calculates the correlation of the actual equity curve vs. a "perfect" curve as if the strategy was able to buy every bottom and sell every top. The genetic optimizer will target an equity curve, that closely matches

a "perfect" equity curve.

**Return of Maximum Drawdown**
Calculates the ratio between the net profit and maximum drawdown. This provides the best selection of the set of input parameters that maximizes net profit,

but at the same time minimizes the maximum drawdown. This is similar to the TradeStation index above.

Total Net Profit / Maximum Drawdown

Hope that helps.