TQSim SIM05 · 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	-22.11%
CAGR﹪	-99.67%
Sharpe	-3.49
Prob. Sharpe Ratio	21.2%
Smart Sharpe	-3.48
Sortino	-3.98
Smart Sortino	-3.96
Sortino/√2	-2.82
Smart Sortino/√2	-2.8
Omega	0.54
Max Drawdown	-27.31%
Max DD Date	2026-09-18
Max DD Period Start	2026-09-16
Max DD Period End	2026-09-18
Longest DD Days	6
Volatility (ann.)	135.94%
Calmar	-3.65
Skew	-1.11
Kurtosis	1.18
Ulcer Performance Index	-1.79
Risk-Adjusted Return	-109.53%
Risk-Return Ratio	-0.22
Avg. Return	-2.07%
Avg. Win	6.13%
Avg. Loss	-7.54%
Win/Loss Ratio	0.81
Profit Ratio	0.78
Expected Daily	-2.25%
Expected Monthly	-22.11%
Expected Yearly	-22.11%
Kelly Criterion	-33.8%
Risk of Ruin	0.0%
Daily Value-at-Risk	-15.97%
Expected Shortfall (cVaR)	-20.9%
Max Consecutive Wins	2
Max Consecutive Losses	3
Gain/Pain Ratio	-0.46
Gain/Pain (1M)	-1.0
Payoff Ratio	0.81
Profit Factor	0.54
Common Sense Ratio	0.22
CPC Index	0.18
Tail Ratio	0.41
Outlier Win Ratio	1.42
Outlier Loss Ratio	2.65
MTD	-22.11%
3M	-22.11%
6M	-22.11%
YTD	-22.11%
1Y	-22.11%
3Y (ann.)	-99.67%
5Y (ann.)	-99.67%
10Y (ann.)	-99.67%
All-time (ann.)	-99.67%
Best Day	7.05%
Worst Day	-20.9%
Best Month	-22.11%
Worst Month	-22.11%
Best Year	-22.11%
Worst Year	-22.11%
Avg. Drawdown	-14.46%
Avg. Drawdown Days	4
Recovery Factor	0.76
Ulcer Index	0.12
Serenity Index	-0.56
Avg. Up Month	-
Avg. Down Month	-22.11%
Win Days	40.0%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%