Hopefully, some of the more experienced folks on here can chime in and help with penetration issues, but I can say that there are more factors, such as tuning, arrow spine and FOC percentage that will help with penetration just as much as making sure the broadhead is sharp.
I tried mechanicals as my first choice, but quickly steered away from them. I'm absolutely sure that they work, but some failures they had made me lose confidence in them. It's like bass fishing. If you don't have confidence in what you're using, chances are, you're not going to be as successful as you could be.