You can actually submit an order buying at Vwap using ib algo. What it does is to break down your order to fill it along with daily volume develops or time passes.
My guess is that you have a lot of correlation in your strategies. So they are adding volatility especially on the big down days.
spy500 stocks correlate to each other one way or the other. If I use somewhat hedge, strategy on spy will produce sharpe 2.2, no loss year during that last 20 years, 44 losing months out of 240 total months. working same on qqq, iwm, dia. But if it is applied at same time on spy and qqq, it increases returns but decreases sharpe.
I'm conjecturing. Everyone in the thread whose actually answering your question is. The math is the math. You can study the math too see what's contributing to the sharpe. No one else can do it for you unless you provide the data and they are willing to look at it.
I guess I already have the answer. When trades on spy and qqq are combined, since they are correlated, they expand loss as well as gains, which will expand the standard deviation, and thus reduces the sharpe.