Nobody uses the Sortino Ratio as there are no standards for it. Using the same set of returns I can end up with wildly different numbers resulting from various inputs. The go-to in the industry is still the Sharpe even with all the shortcomings. Savvy investors and managers will know Sharpe. Ignorant investors don't know anything but annualized returns and a good sales pitch. That's the reality of the industry.
Best simplest measure is the CALMAR NET RETURN/MAX DRAW DOWN. I'd also agree that the shape of the equity curve is important. One can gain a lot from that. WIN % AVG TRADE MAE Good to know too.
1. CAGR 2. Drawdown data - max peak to valley drawdown, based on intraday tick high/low. 2. Win rate, average loser, average winner, max loser. 3. Relative performance, and correlation to the S&P. 4. Separate out the performance by strategy, if you use more than one strategy. List correlation between strategies. 5. Your worst-case loss at all times, if all the markets you had positions in gapped up or down 20% against you overnight.
If you are presenting any performance figures to potential investors you should realize that there is a specific format for doing so. All of these metrics are nice, but don't protect your liability. For example, the CAGR is very useful, and you could share that with a client, but it doesn't replace the fact that you will need to provide them monthly and YTD performance for the past 5 years. This is the format prescribed. They will also need to be given other crucial info... Inception date Total AUM pursuant to the program Worst monthly drawdown Worst peak-to-valley drawdown