TQSim SIM05 · 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	-53.23%
CAGR﹪	-100.0%
Sharpe	-7.07
Prob. Sharpe Ratio	0.98%
Smart Sharpe	-5.89
Sortino	-6.97
Smart Sortino	-5.81
Sortino/√2	-4.93
Smart Sortino/√2	-4.11
Omega	0.27
Max Drawdown	-56.35%
Max DD Date	2026-09-24
Max DD Period Start	2026-09-16
Max DD Period End	2026-09-25
Longest DD Days	10
Volatility (ann.)	148.92%
Calmar	-1.77
Skew	-0.99
Kurtosis	0.75
Ulcer Performance Index	-1.7
Risk-Adjusted Return	-113.64%
Risk-Return Ratio	-0.45
Avg. Return	-4.77%
Avg. Win	6.13%
Avg. Loss	-9.14%
Win/Loss Ratio	0.67
Profit Ratio	0.75
Expected Daily	-4.64%
Expected Monthly	-53.23%
Expected Yearly	-53.23%
Kelly Criterion	-77.83%
Risk of Ruin	0.0%
Daily Value-at-Risk	-19.61%
Expected Shortfall (cVaR)	-23.33%
Max Consecutive Wins	2
Max Consecutive Losses	7
Gain/Pain Ratio	-0.73
Gain/Pain (1M)	-1.0
Payoff Ratio	0.67
Profit Factor	0.27
Common Sense Ratio	0.08
CPC Index	0.05
Tail Ratio	0.29
Outlier Win Ratio	1.69
Outlier Loss Ratio	2.74
MTD	-53.23%
3M	-53.23%
6M	-53.23%
YTD	-53.23%
1Y	-53.23%
3Y (ann.)	-100.0%
5Y (ann.)	-100.0%
10Y (ann.)	-100.0%
All-time (ann.)	-100.0%
Best Day	7.05%
Worst Day	-25.75%
Best Month	-53.23%
Worst Month	-53.23%
Best Year	-53.23%
Worst Year	-53.23%
Avg. Drawdown	-24.14%
Avg. Drawdown Days	7
Recovery Factor	1.19
Ulcer Index	0.31
Serenity Index	-0.34
Avg. Up Month	-
Avg. Down Month	-53.23%
Win Days	28.57%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%