TQSim SIM06 · 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	-10.18%
CAGR﹪	-81.56%
Sharpe	-2.03
Prob. Sharpe Ratio	29.79%
Smart Sharpe	-1.77
Sortino	-2.42
Smart Sortino	-2.11
Sortino/√2	-1.71
Smart Sortino/√2	-1.49
Omega	0.68
Max Drawdown	-23.14%
Max DD Date	2026-09-21
Max DD Period Start	2026-09-11
Max DD Period End	2026-09-25
Longest DD Days	15
Volatility (ann.)	70.92%
Calmar	-3.52
Skew	-1.0
Kurtosis	1.22
Ulcer Performance Index	-0.62
Risk-Adjusted Return	-92.68%
Risk-Return Ratio	-0.13
Avg. Return	-0.65%
Avg. Win	2.42%
Avg. Loss	-4.75%
Win/Loss Ratio	0.51
Profit Ratio	0.24
Expected Daily	-0.67%
Expected Monthly	-10.18%
Expected Yearly	-10.18%
Kelly Criterion	-27.05%
Risk of Ruin	0.0%
Daily Value-at-Risk	-7.92%
Expected Shortfall (cVaR)	-10.02%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	-0.32
Gain/Pain (1M)	-1.0
Payoff Ratio	0.51
Profit Factor	0.68
Common Sense Ratio	0.33
CPC Index	0.2
Tail Ratio	0.48
Outlier Win Ratio	3.24
Outlier Loss Ratio	2.16
MTD	-10.18%
3M	-10.18%
6M	-10.18%
YTD	-10.18%
1Y	-10.18%
3Y (ann.)	-81.56%
5Y (ann.)	-81.56%
10Y (ann.)	-81.56%
All-time (ann.)	-81.56%
Best Day	6.66%
Worst Day	-10.38%
Best Month	-10.18%
Worst Month	-10.18%
Best Year	-10.18%
Worst Year	-10.18%
Avg. Drawdown	-12.34%
Avg. Drawdown Days	8
Recovery Factor	0.4
Ulcer Index	0.16
Serenity Index	-0.09
Avg. Up Month	-
Avg. Down Month	-10.18%
Win Days	57.14%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%