TQSim SIM05 · 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	68.0%
Cumulative Return	-61.96%
CAGR﹪	-99.99%
Sharpe	-5.9
Prob. Sharpe Ratio	1.15%
Smart Sharpe	-5.39
Sortino	-6.04
Smart Sortino	-5.52
Sortino/√2	-4.27
Smart Sortino/√2	-3.9
Omega	0.3
Max Drawdown	-65.41%
Max DD Date	2026-09-30
Max DD Period Start	2026-09-16
Max DD Period End	2026-10-09
Longest DD Days	24
Volatility (ann.)	143.5%
Calmar	-1.53
Skew	-0.95
Kurtosis	0.88
Ulcer Performance Index	-1.34
Risk-Adjusted Return	-147.05%
Risk-Return Ratio	-0.37
Avg. Return	-4.94%
Avg. Win	7.3%
Avg. Loss	-10.04%
Win/Loss Ratio	0.73
Profit Ratio	0.26
Expected Daily	-3.79%
Expected Monthly	-38.32%
Expected Yearly	-61.96%
Kelly Criterion	-67.61%
Risk of Ruin	0.0%
Daily Value-at-Risk	-18.23%
Expected Shortfall (cVaR)	-22.47%
Max Consecutive Wins	2
Max Consecutive Losses	7
Gain/Pain Ratio	-0.7
Gain/Pain (1M)	-0.96
Payoff Ratio	0.73
Profit Factor	0.3
Common Sense Ratio	0.1
CPC Index	0.06
Tail Ratio	0.33
Outlier Win Ratio	3.85
Outlier Loss Ratio	2.45
MTD	2.62%
3M	-61.96%
6M	-61.96%
YTD	-61.96%
1Y	-61.96%
3Y (ann.)	-99.99%
5Y (ann.)	-99.99%
10Y (ann.)	-99.99%
All-time (ann.)	-99.99%
Best Day	11.99%
Worst Day	-25.75%
Best Month	2.62%
Worst Month	-62.93%
Best Year	-61.96%
Worst Year	-61.96%
Avg. Drawdown	-27.15%
Avg. Drawdown Days	11
Recovery Factor	1.28
Ulcer Index	0.46
Serenity Index	-0.2
Avg. Up Month	2.62%
Avg. Down Month	-62.93%
Win Days	29.41%
Win Month	50.0%
Win Quarter	50.0%
Win Year	0.0%