I do not use statistical methods that assume a normal distribution of financial data.
I use:
MDD, which is Strategy Max Drawdown / Benchmark Max Drawdown.
MMDLocal, for example Max Drawdown last three Months / Benchmark Max Drawdown last three Months.
TTR = Days to reach New High After Drawdown (especially after Max Drawdown!).
UMC = Strategy Return During Benchmark Uptrends / Benchmark Return During Uptrends. Especially after Drawdowns, I want to see a radical bullish reaction of the cap curve: “released Ball under water” behavior.
This is what I want to see:
The strategy needs to make new highs (especially after max. DD) before the Benchmark.
The max DD should be better (or at least equal) than the max DD of the Benchmark.
And the Strategy should be monster strong in uptrends of the Benchmark
I go through the (unhedged) CAP curve year by year to spot this (how many years in the backtest the strategy showed this behavior?)
Best Regards
Andreas