The Sharpe ratio is often used as measure to assess risk-adjusted returns of trading strategies. However, there are also other measures that can be used to assess risk-adjusted returns like the Sortino ratio.
Are there performance measures that are better suited for mean-reverting strategies, and others that are better used for trend-following strategies?
"Are there performance measures that are better suited for mean-reverting strategies, and others that are better used for trend-following strategies?"
Do you think the return distributions for these strategies differ? If so, then perhaps there are performance measures more appropriate for each. E.g. I have seen research that calculates a modified Sharpe ratio for short options strategies to take into account the negative skew of the return distribution.
