TQSim SIM06 · 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	-10.78%
CAGR﹪	-92.68%
Sharpe	-2.82
Prob. Sharpe Ratio	27.0%
Smart Sharpe	-2.4
Sortino	-3.32
Smart Sortino	-2.82
Sortino/√2	-2.35
Smart Sortino/√2	-2.0
Omega	0.59
Max Drawdown	-21.31%
Max DD Date	2026-09-17
Max DD Period Start	2026-09-11
Max DD Period End	2026-09-18
Longest DD Days	8
Volatility (ann.)	81.22%
Calmar	-4.35
Skew	-0.88
Kurtosis	0.55
Ulcer Performance Index	-0.8
Risk-Adjusted Return	-101.84%
Risk-Return Ratio	-0.18
Avg. Return	-1.0%
Avg. Win	2.88%
Avg. Loss	-4.88%
Win/Loss Ratio	0.59
Profit Ratio	0.41
Expected Daily	-1.03%
Expected Monthly	-10.78%
Expected Yearly	-10.78%
Kelly Criterion	-34.71%
Risk of Ruin	0.0%
Daily Value-at-Risk	-9.32%
Expected Shortfall (cVaR)	-10.02%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	-0.41
Gain/Pain (1M)	-1.0
Payoff Ratio	0.59
Profit Factor	0.59
Common Sense Ratio	0.28
CPC Index	0.17
Tail Ratio	0.47
Outlier Win Ratio	2.62
Outlier Loss Ratio	2.11
MTD	-10.78%
3M	-10.78%
6M	-10.78%
YTD	-10.78%
1Y	-10.78%
3Y (ann.)	-92.68%
5Y (ann.)	-92.68%
10Y (ann.)	-92.68%
All-time (ann.)	-92.68%
Best Day	6.66%
Worst Day	-10.38%
Best Month	-10.78%
Worst Month	-10.78%
Best Year	-10.78%
Worst Year	-10.78%
Avg. Drawdown	-11.42%
Avg. Drawdown Days	4
Recovery Factor	0.47
Ulcer Index	0.14
Serenity Index	-0.15
Avg. Up Month	-
Avg. Down Month	-10.78%
Win Days	50.0%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%