Quote from NoWorries:
I use the Sharpe ratio and calculate a 95% confidence interval around it (using the bootstrap method). I closely watch the lower bound of this interval (I never trade a system if the lower 95% bound is less than zero). Sometimes I calculate a rolling Sharpe ratio, i.e. if I have 250 returns, I take r1-r50, calculate Sharpe, then take r2-r51, calculate Sharpe and plot the results in a graph, together with the confidence intervals. If the graph looks stable then I'm quite satisfied.
I might try that Omega measure in the future.
