Ok, so I've written my second backtesting program in c#. I am currently testing 3 recent years of ES. I'll be testing on CL shortly.
What I am wondering is your guy's thoughts and experiences on total profit vs drawdown seen from the backtest. Should I be favoring the parameters with the least downdown regardless of profits, focus purely on profits or just try and find a balance a both?
Perhaps a cutoff, like the parameters that produce the most profit with a maximum 20% drawdown?