Statistical significance vs what? If you’re testing them as statistically different vs one another, I believe you would just do a pooled variance t test with the null that the difference between the means is 0.
If against the market, then I think you do the same thing but vs the market. That said, you’d first want to compare the variance vs the market because if the strategies are not similarly volatile you may not be able to do pooled variance and would have to opt for the unequal variance t test between the two samples.
I actually don’t but if you google some stat course explanations or even try like a reddit statistics forum you should be able to get to the bottom of it.