How to deal with skewness of returns when evaluating different trading strategies? More specifically, I'm back testing different strategies to be implemented as an automated black box strategy. While e.g. Sharpe ratio is a convenient and intuitively simple way to compare the strategies, but if the returns are not normally distributed it is vastly inadequate measure if one considers e.g. the use of leverage. This point is all the more important, when one considers e.g. many of the dynamic strategies like momentum that typically has a negative skew.
This leads me to my question: what is the most convenient way/is there an industry standard to comparing the skew of a trading strategy? Or does everybody simply use max drawdown to evaluate the possibility of the strategy blowing up and as a guideline when considering how much leverage to use?