TQSim SIM04 · 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	-13.23%
CAGR﹪	-96.13%
Sharpe	-2.9
Prob. Sharpe Ratio	25.63%
Smart Sharpe	-2.07
Sortino	-3.34
Smart Sortino	-2.38
Sortino/√2	-2.36
Smart Sortino/√2	-1.68
Omega	0.59
Max Drawdown	-24.6%
Max DD Date	2026-09-17
Max DD Period Start	2026-09-09
Max DD Period End	2026-09-18
Longest DD Days	10
Volatility (ann.)	96.01%
Calmar	-3.91
Skew	-1.22
Kurtosis	1.44
Ulcer Performance Index	-0.84
Risk-Adjusted Return	-105.63%
Risk-Return Ratio	-0.18
Avg. Return	-1.22%
Avg. Win	2.97%
Avg. Loss	-7.5%
Win/Loss Ratio	0.4
Profit Ratio	0.19
Expected Daily	-1.28%
Expected Monthly	-13.23%
Expected Yearly	-13.23%
Kelly Criterion	-40.93%
Risk of Ruin	0.0%
Daily Value-at-Risk	-11.05%
Expected Shortfall (cVaR)	-14.89%
Max Consecutive Wins	3
Max Consecutive Losses	2
Gain/Pain Ratio	-0.41
Gain/Pain (1M)	-1.0
Payoff Ratio	0.4
Profit Factor	0.59
Common Sense Ratio	0.26
CPC Index	0.14
Tail Ratio	0.44
Outlier Win Ratio	1.82
Outlier Loss Ratio	1.87
MTD	-13.23%
3M	-13.23%
6M	-13.23%
YTD	-13.23%
1Y	-13.23%
3Y (ann.)	-96.13%
5Y (ann.)	-96.13%
10Y (ann.)	-96.13%
All-time (ann.)	-96.13%
Best Day	4.65%
Worst Day	-14.89%
Best Month	-13.23%
Worst Month	-13.23%
Best Year	-13.23%
Worst Year	-13.23%
Avg. Drawdown	-24.6%
Avg. Drawdown Days	10
Recovery Factor	0.49
Ulcer Index	0.16
Serenity Index	-0.17
Avg. Up Month	-
Avg. Down Month	-13.23%
Win Days	60.0%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%