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

4 Sep, 2026 - 9 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	77.0%
Cumulative Return	-10.2%
CAGR﹪	-64.75%
Sharpe	-0.11
Prob. Sharpe Ratio	48.68%
Smart Sharpe	-0.1
Sortino	-0.15
Smart Sortino	-0.14
Sortino/√2	-0.1
Smart Sortino/√2	-0.1
Omega	0.97
Max Drawdown	-45.19%
Max DD Date	2026-09-28
Max DD Period Start	2026-09-11
Max DD Period End	2026-10-09
Longest DD Days	29
Volatility (ann.)	132.25%
Calmar	-1.43
Skew	-0.77
Kurtosis	7.09
Ulcer Performance Index	-0.33
Risk-Adjusted Return	-84.09%
Risk-Return Ratio	-0.01
Avg. Return	-0.07%
Avg. Win	6.1%
Avg. Loss	-5.12%
Win/Loss Ratio	1.19
Profit Ratio	0.52
Expected Daily	-0.41%
Expected Monthly	-5.24%
Expected Yearly	-10.2%
Kelly Criterion	-1.18%
Risk of Ruin	0.0%
Daily Value-at-Risk	-13.76%
Expected Shortfall (cVaR)	-28.99%
Max Consecutive Wins	3
Max Consecutive Losses	7
Gain/Pain Ratio	-0.03
Gain/Pain (1M)	-0.28
Payoff Ratio	1.19
Profit Factor	0.97
Common Sense Ratio	1.92
CPC Index	0.52
Tail Ratio	1.97
Outlier Win Ratio	5.39
Outlier Loss Ratio	4.55
MTD	3.73%
3M	-10.2%
6M	-10.2%
YTD	-10.2%
1Y	-10.2%
3Y (ann.)	-64.75%
5Y (ann.)	-64.75%
10Y (ann.)	-64.75%
All-time (ann.)	-64.75%
Best Day	22.37%
Worst Day	-28.99%
Best Month	3.73%
Worst Month	-13.43%
Best Year	-10.2%
Worst Year	-10.2%
Avg. Drawdown	-23.01%
Avg. Drawdown Days	15
Recovery Factor	0.03
Ulcer Index	0.31
Serenity Index	-0.01
Avg. Up Month	3.73%
Avg. Down Month	-13.43%
Win Days	45.0%
Win Month	50.0%
Win Quarter	50.0%
Win Year	0.0%