Another thing to look at is correlation to the market. The less correlated to the market your strategy is, the more valuable it is. This is because investors like uncorrelated strategies. For example, lets say you have n strategies, each with a volatility of sigma and mean return of mu. Allocating all of your money to one strategy or two or all of them won't change your return, it will still be mu. But if the strategies are uncorrelated, and you equal weight each one, your vol will be sigma/sqrt(n) and your return will be mu. This is the essence of Modern Portfolio Theory (MPT): add as many uncorrelated assets that you can.

In no particular order, here's a list of things that matter when evaluating an (equity) strategy: turnover, size of alpha being exploited, Sharpe ratio, correlation to market and sector, correlation to style factors (value, momentum, oil, etc), and net exposure (long or short).