How should I evaluate my Sharpe ratio - using annual or monthly returns? I use NinjaTrader (which calculates based on monthly data), and I have incredibly low Sharpe ratios. I don't know if I should refine a strategy b/c this ratio is not very strong, and I know it is vital. For instance, my main strategy has a (non-optimized) backtested Sharpe ratio of 0.55 in NinjaTrader, but these other statistics: 267% cumulative profit in 2.5 years, 30% max drawdown, 0.60% per trade. Or for another strategy, over 12 months: 301% cumulative return, 8% max drawdown, 1.8% per trade, but only a 1.20 Sharpe ratio. Should I only be concerned about the annual Sharpe ratios, which would be roughly 1.9 and 4.2, respectively?