TQSim SIM04 · 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	74.0%
Cumulative Return	-14.36%
CAGR﹪	-77.75%
Sharpe	-1.7
Prob. Sharpe Ratio	28.59%
Smart Sharpe	-1.23
Sortino	-2.1
Smart Sortino	-1.51
Sortino/√2	-1.48
Smart Sortino/√2	-1.07
Omega	0.73
Max Drawdown	-26.27%
Max DD Date	2026-09-22
Max DD Period Start	2026-09-09
Max DD Period End	2026-10-09
Longest DD Days	31
Volatility (ann.)	72.64%
Calmar	-2.96
Skew	-1.01
Kurtosis	2.81
Ulcer Performance Index	-0.69
Risk-Adjusted Return	-105.07%
Risk-Return Ratio	-0.11
Avg. Return	-0.67%
Avg. Win	3.76%
Avg. Loss	-4.66%
Win/Loss Ratio	0.81
Profit Ratio	0.28
Expected Daily	-0.59%
Expected Monthly	-7.46%
Expected Yearly	-14.36%
Kelly Criterion	-17.85%
Risk of Ruin	0.0%
Daily Value-at-Risk	-8.02%
Expected Shortfall (cVaR)	-14.89%
Max Consecutive Wins	3
Max Consecutive Losses	2
Gain/Pain Ratio	-0.27
Gain/Pain (1M)	-0.76
Payoff Ratio	0.81
Profit Factor	0.73
Common Sense Ratio	0.57
CPC Index	0.28
Tail Ratio	0.79
Outlier Win Ratio	3.37
Outlier Loss Ratio	2.73
MTD	4.08%
3M	-14.36%
6M	-14.36%
YTD	-14.36%
1Y	-14.36%
3Y (ann.)	-77.75%
5Y (ann.)	-77.75%
10Y (ann.)	-77.75%
All-time (ann.)	-77.75%
Best Day	7.85%
Worst Day	-14.89%
Best Month	4.08%
Worst Month	-17.72%
Best Year	-14.36%
Worst Year	-14.36%
Avg. Drawdown	-26.27%
Avg. Drawdown Days	31
Recovery Factor	0.48
Ulcer Index	0.21
Serenity Index	-0.08
Avg. Up Month	4.08%
Avg. Down Month	-17.72%
Win Days	47.37%
Win Month	50.0%
Win Quarter	50.0%
Win Year	0.0%