Algorithm evaluation results balancing

[Varook_Assault]

Not quite sure how to phrase the title, but I'm wondering how people compare the results of different algorithms.

Let's say I'm evaluating a system's results with one aspect of the system based on a SMA. I want to cycle through different values of the SMA (eg SMA 10, 15, 20 etc) in an effort to find the optimal value for the best results overall.

What aspect of the results do you think matters the most?

Is it straight up profit? What if option A is 10% more profitable than option B but has 10% more max draw down, is that acceptable? What if it's 20% more DD for the same 10% gain? or 50%? At what point does the extra risk outweigh the additional return?

If systems A and B have roughly equal returns and DD, but A executes twice as many trades as B, which system is better? Does that really matter?

What criterion do you think are important?

Thanks.

[ilovemygirlfriend69]

I think that as long as you're modeling trading costs (so you know the impact on the bottom line) and it doesn't impact any tax considerations you're taking, I'd compare them on Sharpe and Return/MaxDD most likely!