I think no link is needed, just a little considering:

A trading system where you have X return at cost of the same X risk is comparable to a 0% savings account where you invest X $ and still have X $ in the account after a year.

And a trading system where you have 2*X return at cost of X risk, so Sharpe = 2, is comparable to a savings account where you have 2*X $ at cost of investing X $. So, this savings account has 100% return.