TQSim SIM02 · 模拟盘绩效（非真实业绩） (Compounded)

4 Sep, 2026 - 18 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	91.0%
Cumulative Return	-20.31%
CAGR﹪	-99.45%
Sharpe	-2.11
Prob. Sharpe Ratio	31.89%
Smart Sharpe	-1.93
Sortino	-2.51
Smart Sortino	-2.29
Sortino/√2	-1.77
Smart Sortino/√2	-1.62
Omega	0.64
Max Drawdown	-37.81%
Max DD Date	2026-09-18
Max DD Period Start	2026-09-11
Max DD Period End	2026-09-18
Longest DD Days	8
Volatility (ann.)	171.35%
Calmar	-2.63
Skew	-1.62
Kurtosis	4.4
Ulcer Performance Index	-1.04
Risk-Adjusted Return	-109.29%
Risk-Return Ratio	-0.13
Avg. Return	-1.58%
Avg. Win	5.54%
Avg. Loss	-8.7%
Win/Loss Ratio	0.64
Profit Ratio	0.44
Expected Daily	-2.04%
Expected Monthly	-20.31%
Expected Yearly	-20.31%
Kelly Criterion	-28.53%
Risk of Ruin	0.0%
Daily Value-at-Risk	-19.19%
Expected Shortfall (cVaR)	-28.99%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	-0.36
Gain/Pain (1M)	-1.0
Payoff Ratio	0.64
Profit Factor	0.64
Common Sense Ratio	0.42
CPC Index	0.2
Tail Ratio	0.65
Outlier Win Ratio	2.54
Outlier Loss Ratio	3.07
MTD	-20.31%
3M	-20.31%
6M	-20.31%
YTD	-20.31%
1Y	-20.31%
3Y (ann.)	-99.45%
5Y (ann.)	-99.45%
10Y (ann.)	-99.45%
All-time (ann.)	-99.45%
Best Day	11.8%
Worst Day	-28.99%
Best Month	-20.31%
Worst Month	-20.31%
Best Year	-20.31%
Worst Year	-20.31%
Avg. Drawdown	-19.32%
Avg. Drawdown Days	4
Recovery Factor	0.42
Ulcer Index	0.2
Serenity Index	-0.23
Avg. Up Month	-
Avg. Down Month	-20.31%
Win Days	50.0%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%