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

4 Sep, 2026 - 25 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	88.0%
Cumulative Return	-26.91%
CAGR﹪	-99.28%
Sharpe	-2.73
Prob. Sharpe Ratio	21.8%
Smart Sharpe	-2.5
Sortino	-3.16
Smart Sortino	-2.89
Sortino/√2	-2.23
Smart Sortino/√2	-2.04
Omega	0.53
Max Drawdown	-42.95%
Max DD Date	2026-09-24
Max DD Period Start	2026-09-11
Max DD Period End	2026-09-25
Longest DD Days	15
Volatility (ann.)	140.36%
Calmar	-2.31
Skew	-1.8
Kurtosis	6.54
Ulcer Performance Index	-0.94
Risk-Adjusted Return	-112.82%
Risk-Return Ratio	-0.17
Avg. Return	-1.74%
Avg. Win	5.54%
Avg. Loss	-5.78%
Win/Loss Ratio	0.96
Profit Ratio	0.88
Expected Daily	-1.94%
Expected Monthly	-26.91%
Expected Yearly	-26.91%
Kelly Criterion	-31.36%
Risk of Ruin	0.0%
Daily Value-at-Risk	-16.06%
Expected Shortfall (cVaR)	-28.99%
Max Consecutive Wins	3
Max Consecutive Losses	7
Gain/Pain Ratio	-0.47
Gain/Pain (1M)	-1.0
Payoff Ratio	0.96
Profit Factor	0.53
Common Sense Ratio	0.51
CPC Index	0.18
Tail Ratio	0.96
Outlier Win Ratio	2.96
Outlier Loss Ratio	4.42
MTD	-26.91%
3M	-26.91%
6M	-26.91%
YTD	-26.91%
1Y	-26.91%
3Y (ann.)	-99.28%
5Y (ann.)	-99.28%
10Y (ann.)	-99.28%
All-time (ann.)	-99.28%
Best Day	11.8%
Worst Day	-28.99%
Best Month	-26.91%
Worst Month	-26.91%
Best Year	-26.91%
Worst Year	-26.91%
Avg. Drawdown	-21.89%
Avg. Drawdown Days	8
Recovery Factor	0.57
Ulcer Index	0.29
Serenity Index	-0.14
Avg. Up Month	-
Avg. Down Month	-26.91%
Win Days	35.71%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%