The parameters of the performance repot: R2,K, UI, SR and so on are based on models that assume a Gaussian distribution of returns. I wonder if such parameters could be calculated by considering another kind of distribution and then compare then or play with them in order to get further statistical analysis.

R2 and UI are unrelated to a Gaussian distribution. Kelly factor and Sharpe Ratio indeed assume a Gaussian distribution, but they are common criteria for performance comparisons. There are many other distribution-independendent parameters, f.i. profit factor or annual return.

Thanks... I though there were more... I just wondered if a SR>1 in one kind of distribution, or in another would add more information to the tradeability of the strategy