my opinion is one should use the modified Sharpe ratio… since it punishes downside volatility, one should take only the semi-standard deviation of the returns, meaning only the ones that are negative or under the Rf rate…
As you say, Transtred only has a sharpe of 0.9 or so, and yet they have a CAGR of 18% with a max drawdown of 7% which is ridiculous low for a trend following strategy
