TQSim SIM01 · 模拟盘绩效（非真实业绩） (Compounded)

4 Sep, 2026 - 2 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	77.0%
Cumulative Return	6.2%
CAGR﹪	105.86%
Sharpe	1.16
Prob. Sharpe Ratio	63.15%
Smart Sharpe	0.86
Sortino	2.05
Smart Sortino	1.52
Sortino/√2	1.45
Smart Sortino/√2	1.08
Omega	1.26
Max Drawdown	-19.01%
Max DD Date	2026-09-23
Max DD Period Start	2026-09-17
Max DD Period End	2026-10-02
Longest DD Days	16
Volatility (ann.)	138.05%
Calmar	5.57
Skew	0.79
Kurtosis	1.59
Ulcer Performance Index	0.53
Risk-Adjusted Return	137.48%
Risk-Return Ratio	0.07
Avg. Return	0.83%
Avg. Win	9.15%
Avg. Loss	-5.64%
Win/Loss Ratio	1.62
Profit Ratio	0.71
Expected Daily	0.29%
Expected Monthly	3.05%
Expected Yearly	6.2%
Kelly Criterion	9.09%
Risk of Ruin	0.0%
Daily Value-at-Risk	-13.67%
Expected Shortfall (cVaR)	-15.75%
Max Consecutive Wins	2
Max Consecutive Losses	3
Gain/Pain Ratio	0.26
Gain/Pain (1M)	-
Payoff Ratio	1.62
Profit Factor	1.26
Common Sense Ratio	1.57
CPC Index	0.9
Tail Ratio	1.24
Outlier Win Ratio	3.99
Outlier Loss Ratio	2.67
MTD	0.0%
3M	6.2%
6M	6.2%
YTD	6.2%
1Y	6.2%
3Y (ann.)	105.86%
5Y (ann.)	105.86%
10Y (ann.)	105.86%
All-time (ann.)	105.86%
Best Day	22.84%
Worst Day	-15.75%
Best Month	6.2%
Worst Month	0.0%
Best Year	6.2%
Worst Year	6.2%
Avg. Drawdown	-11.3%
Avg. Drawdown Days	6
Recovery Factor	0.7
Ulcer Index	0.12
Serenity Index	0.47
Avg. Up Month	6.2%
Avg. Down Month	-
Win Days	43.75%
Win Month	100.0%
Win Quarter	100.0%
Win Year	100.0%