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How can I build my confidence that my strategy returns better

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. It can deal with long-tail distribution and time series characteristics of the return very well. I have studied for a long time, Hoping to implement it with python. 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