I want to compare investment strategies in bitcoin.
So far I was using the money weighted rate of return and was comparing it between two different investors. The investor that has the biggest rate of return is the best investor.
I recently read a paper published in the Journal of Risk Finance, where they use the Sharpe ratio of the rate of return to compare two different investors strategy in Bitcoin, which is the same thing I'm trying to achieve.
Following that, I tried to understand what the Sharpe ratio is, and while I think I understand the purpose of it (ie assessing investment strategy by removing the volatility of the assets), I'm wondering if the trouble of computing it is worth the signal it would get me.
In other words, is the Sharpe ratios a better attribute to rank investors than the rate of return when comparing trading strategy for a single asset over the same period of time?