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

4 Sep, 2026 - 2 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	81.0%
Cumulative Return	-17.72%
CAGR﹪	-90.37%
Sharpe	-2.57
Prob. Sharpe Ratio	21.82%
Smart Sharpe	-1.79
Sortino	-3.09
Smart Sortino	-2.15
Sortino/√2	-2.18
Smart Sortino/√2	-1.52
Omega	0.63
Max Drawdown	-26.27%
Max DD Date	2026-09-22
Max DD Period Start	2026-09-09
Max DD Period End	2026-10-02
Longest DD Days	24
Volatility (ann.)	78.7%
Calmar	-3.44
Skew	-0.87
Kurtosis	2.08
Ulcer Performance Index	-0.88
Risk-Adjusted Return	-111.57%
Risk-Return Ratio	-0.16
Avg. Return	-0.99%
Avg. Win	3.61%
Avg. Loss	-5.09%
Win/Loss Ratio	0.71
Profit Ratio	0.36
Expected Daily	-0.92%
Expected Monthly	-9.29%
Expected Yearly	-17.72%
Kelly Criterion	-27.44%
Risk of Ruin	0.0%
Daily Value-at-Risk	-8.96%
Expected Shortfall (cVaR)	-14.89%
Max Consecutive Wins	3
Max Consecutive Losses	2
Gain/Pain Ratio	-0.37
Gain/Pain (1M)	-1.0
Payoff Ratio	0.71
Profit Factor	0.63
Common Sense Ratio	0.48
CPC Index	0.21
Tail Ratio	0.75
Outlier Win Ratio	2.99
Outlier Loss Ratio	2.59
MTD	0.0%
3M	-17.72%
6M	-17.72%
YTD	-17.72%
1Y	-17.72%
3Y (ann.)	-90.37%
5Y (ann.)	-90.37%
10Y (ann.)	-90.37%
All-time (ann.)	-90.37%
Best Day	7.85%
Worst Day	-14.89%
Best Month	0.0%
Worst Month	-17.72%
Best Year	-17.72%
Worst Year	-17.72%
Avg. Drawdown	-26.27%
Avg. Drawdown Days	24
Recovery Factor	0.64
Ulcer Index	0.2
Serenity Index	-0.13
Avg. Up Month	-
Avg. Down Month	-17.72%
Win Days	47.06%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%