Do you want a staff of all starters or relievers, or a balanced staff of both? Much of it is based on your league and whether it requires a certain amount of each, but for the sake of this article lets assume each of your pitching slots is free to be filled by either a starter or reliever.
The answer is based on your preference/ your style of play. In the standard 5×5 H2H you will have saves, wins, era, whip, and strikeouts. It is going to be tough to setup your team to be in contention for all five categories. What you can do is draft all relief pitchers, which would then generate high saves, with low era and whip. This would immediate create you a league leader in those three categories. (Relievers will typically have lower era and whip number than that of starting pitchers). Others will go the complete opposite way and put themselves in position to win strikeouts and wins every week by drafting starting pitchers only. Like drafting relief pitchers only this will put you in the league lead in those two categories. You could also win ERA or Whip occasionally, if your opponent has a down week.
I suggest that you focus on winning either 2 or 3 categories so that you can average winning 3 offensive and 3 pitching categories. I will normally draft my entire offense first then draft all starters which enables me to have a killer offense, while still being able to win 2 pitching categories a week. So the question is do you want to be winning 2 or 3 categories in the pitching section a week, or do you want to have a balanced team and try to win all five pitching categories. The choice is yours just know pitching is inconsistent and one bad inning by a relief pitcher can complete skew your ERA and WHIP for the matchup.