TQSim SIM04 · 模拟盘绩效（非真实业绩） (Compounded)

4 Sep, 2026 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	100.0%
Cumulative Return	-9.15%
CAGR﹪	-98.22%
Sharpe	-2.68
Prob. Sharpe Ratio	33.37%
Smart Sharpe	-1.72
Sortino	-3.18
Smart Sortino	-2.03
Sortino/√2	-2.25
Smart Sortino/√2	-1.44
Omega	0.62
Max Drawdown	-17.42%
Max DD Date	2026-09-11
Max DD Period Start	2026-09-09
Max DD Period End	2026-09-11
Longest DD Days	3
Volatility (ann.)	123.66%
Calmar	-5.64
Skew	-1.33
Kurtosis	0.87
Ulcer Performance Index	-1.09
Risk-Adjusted Return	-98.22%
Risk-Return Ratio	-0.17
Avg. Return	-1.32%
Avg. Win	3.29%
Avg. Loss	-10.53%
Win/Loss Ratio	0.31
Profit Ratio	0.16
Expected Daily	-1.59%
Expected Monthly	-9.15%
Expected Yearly	-9.15%
Kelly Criterion	-40.05%
Risk of Ruin	0.0%
Daily Value-at-Risk	-14.13%
Expected Shortfall (cVaR)	-14.89%
Max Consecutive Wins	3
Max Consecutive Losses	1
Gain/Pain Ratio	-0.38
Gain/Pain (1M)	-1.0
Payoff Ratio	0.31
Profit Factor	0.62
Common Sense Ratio	0.23
CPC Index	0.13
Tail Ratio	0.36
Outlier Win Ratio	1.41
Outlier Loss Ratio	1.37
MTD	-9.15%
3M	-9.15%
6M	-9.15%
YTD	-9.15%
1Y	-9.15%
3Y (ann.)	-98.22%
5Y (ann.)	-98.22%
10Y (ann.)	-98.22%
All-time (ann.)	-98.22%
Best Day	4.65%
Worst Day	-14.89%
Best Month	-9.15%
Worst Month	-9.15%
Best Year	-9.15%
Worst Year	-9.15%
Avg. Drawdown	-17.42%
Avg. Drawdown Days	3
Recovery Factor	0.45
Ulcer Index	0.08
Serenity Index	-0.42
Avg. Up Month	-
Avg. Down Month	-9.15%
Win Days	66.67%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%