Measure return per unit of risk for any trading strategy.
A Sharpe ratio above 1.0 is generally considered acceptable; above 2.0 is excellent. Most well-known hedge funds have Sharpe ratios between 0.5 and 1.5. Ratios above 3.0 are extremely rare outside of market-neutral or high-frequency strategies.
The Sharpe ratio penalizes both upside and downside volatility equally. The Sortino ratio (not shown here) only penalizes downside deviation, and is preferred by many systematic traders.