David,
Purely with regards to statistics my advice would be to stick with this where possible. It is my belief that almost anyone can address any legitimate compliant that one might have with statistics and still use this. It is not much different than the Sharpe Ratio which is almost universal.
For example, if someone says stock market data is not normally distributed you will have a reasonable answer for this. And it is pretty easy in Excel.
This is in the weeds and generally not necessary to know. But it automatically detrends and you are normally using “differenced” data. This makes the data “stationary.” There is not assumption of linearity. The benchmark and your sim can have different variances etc.
If someone you are talking to thinks the Sharpe Ratio carries any information then they should be willing to listen to you on this. Of course, there are all sort of ideas on P123. But if you are talking to someone who thinks the Sharpe Ratio carries any information you will have a common basis of understanding.
Some of the techniques you discuss later in the thread I put in the category of avoiding overfitting. I do not claim to be able to add much in this area. Denny and others have great posts on this. It is important, I just cannot add much and I certainly have no criticisms with any of it.
Best regards,
Jim