TQSim SIM05 · 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	75.0%
Cumulative Return	-62.93%
CAGR﹪	-100.0%
Sharpe	-7.47
Prob. Sharpe Ratio	0.16%
Smart Sharpe	-6.86
Sortino	-7.17
Smart Sortino	-6.59
Sortino/√2	-5.07
Smart Sortino/√2	-4.66
Omega	0.22
Max Drawdown	-65.41%
Max DD Date	2026-09-30
Max DD Period Start	2026-09-16
Max DD Period End	2026-10-02
Longest DD Days	17
Volatility (ann.)	147.75%
Calmar	-1.53
Skew	-1.02
Kurtosis	0.42
Ulcer Performance Index	-1.56
Risk-Adjusted Return	-133.33%
Risk-Return Ratio	-0.47
Avg. Return	-5.84%
Avg. Win	6.13%
Avg. Loss	-10.19%
Win/Loss Ratio	0.6
Profit Ratio	0.33
Expected Daily	-4.84%
Expected Monthly	-39.11%
Expected Yearly	-62.93%
Kelly Criterion	-95.19%
Risk of Ruin	0.0%
Daily Value-at-Risk	-19.69%
Expected Shortfall (cVaR)	-22.47%
Max Consecutive Wins	2
Max Consecutive Losses	7
Gain/Pain Ratio	-0.78
Gain/Pain (1M)	-1.0
Payoff Ratio	0.6
Profit Factor	0.22
Common Sense Ratio	0.06
CPC Index	0.04
Tail Ratio	0.3
Outlier Win Ratio	2.53
Outlier Loss Ratio	2.44
MTD	0.0%
3M	-62.93%
6M	-62.93%
YTD	-62.93%
1Y	-62.93%
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	0.0%
Worst Month	-62.93%
Best Year	-62.93%
Worst Year	-62.93%
Avg. Drawdown	-27.15%
Avg. Drawdown Days	9
Recovery Factor	1.34
Ulcer Index	0.4
Serenity Index	-0.28
Avg. Up Month	-
Avg. Down Month	-62.93%
Win Days	26.67%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%