When evaluating the performance of an algorithm, what should hold more importance? Sharpe Ratio , Net profit or max drawdown?
For instance, I have two algorithms one performs very good on Stocks with high rate of return like AAPL, FB but the second one that predominantly gives low profit but slightly higher sharpe ratio in general seems to outperform the first one on stocks like INTC , AAMC , IBM. What should I infer from this?