TQSim SIM04 · 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	-15.26%
CAGR﹪	-92.63%
Sharpe	-2.52
Prob. Sharpe Ratio	25.53%
Smart Sharpe	-1.75
Sortino	-3.04
Smart Sortino	-2.11
Sortino/√2	-2.15
Smart Sortino/√2	-1.5
Omega	0.65
Max Drawdown	-26.27%
Max DD Date	2026-09-22
Max DD Period Start	2026-09-09
Max DD Period End	2026-09-25
Longest DD Days	17
Volatility (ann.)	88.01%
Calmar	-3.53
Skew	-0.82
Kurtosis	1.45
Ulcer Performance Index	-0.82
Risk-Adjusted Return	-105.26%
Risk-Return Ratio	-0.16
Avg. Return	-1.01%
Avg. Win	3.67%
Avg. Loss	-5.68%
Win/Loss Ratio	0.65
Profit Ratio	0.39
Expected Daily	-1.03%
Expected Monthly	-15.26%
Expected Yearly	-15.26%
Kelly Criterion	-27.39%
Risk of Ruin	0.0%
Daily Value-at-Risk	-10.0%
Expected Shortfall (cVaR)	-14.89%
Max Consecutive Wins	3
Max Consecutive Losses	2
Gain/Pain Ratio	-0.35
Gain/Pain (1M)	-1.0
Payoff Ratio	0.65
Profit Factor	0.65
Common Sense Ratio	0.42
CPC Index	0.21
Tail Ratio	0.65
Outlier Win Ratio	2.58
Outlier Loss Ratio	2.39
MTD	-15.26%
3M	-15.26%
6M	-15.26%
YTD	-15.26%
1Y	-15.26%
3Y (ann.)	-92.63%
5Y (ann.)	-92.63%
10Y (ann.)	-92.63%
All-time (ann.)	-92.63%
Best Day	7.85%
Worst Day	-14.89%
Best Month	-15.26%
Worst Month	-15.26%
Best Year	-15.26%
Worst Year	-15.26%
Avg. Drawdown	-26.27%
Avg. Drawdown Days	17
Recovery Factor	0.54
Ulcer Index	0.19
Serenity Index	-0.13
Avg. Up Month	-
Avg. Down Month	-15.26%
Win Days	50.0%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%