How can I build my confidence that my strategy returns better

[weiguang-zz]

How can I build my confidence that my strategy returns better？

for example, I have to return sequence. R1 is from my strategy, R2 is from benchmark
R1: [r_11, r_12, r_13, r_14 .... r_1n]
R2:[r_21, r_22,r_23, r_24 ... r_2n]

I have read a good paper:Robust performance hypothesis testing with the Sharpe ratio, The paper describes a method to test the sharpe ratio difference between two return series. In my opinion this method makes sense. So I want to implement this. before this, I hope to get your opinions about this:
1 Did you encounter this problem？
2 Are there other better ways to evaluate a strategy？
3 Any other your thoughts？

Looking forward to your reply！ thank you

[weiguang-zz]

The paper describes a blocked bootstrap method with studentized test statistics. It can deal with long-tail distribution and time series characteristics of the return very well. I studied for a long time, Hoping to implement it with python