The Mojito strategy does something really odd.
There's no comparison between the Mojito (Sharpe 1.3) vs the 'Doubledown' (Sharpe 0.8).
The Mojito's path is far more efficient.
The result above is without the usual 'risk free' or 'deposit rate' benchmark used in the Sharpe calculation.
Throw in the usual deposit rate benchmark, and they pop apart!
The Mojito jumps up to 1.6 and Double Down drops to 0.4.
I wonder are there many strategies which benefit from including a benchmark?
I.e. when the benchmark is a large diversifier!