TQSim SIM06 · 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	81.0%
Cumulative Return	-12.65%
CAGR﹪	-80.28%
Sharpe	-2.3
Prob. Sharpe Ratio	24.09%
Smart Sharpe	-2.0
Sortino	-2.71
Smart Sortino	-2.36
Sortino/√2	-1.92
Smart Sortino/√2	-1.67
Omega	0.63
Max Drawdown	-23.14%
Max DD Date	2026-09-21
Max DD Period Start	2026-09-11
Max DD Period End	2026-10-02
Longest DD Days	22
Volatility (ann.)	62.08%
Calmar	-3.47
Skew	-1.08
Kurtosis	2.2
Ulcer Performance Index	-0.72
Risk-Adjusted Return	-99.1%
Risk-Return Ratio	-0.14
Avg. Return	-0.7%
Avg. Win	2.26%
Avg. Loss	-4.03%
Win/Loss Ratio	0.56
Profit Ratio	0.24
Expected Daily	-0.64%
Expected Monthly	-6.54%
Expected Yearly	-12.65%
Kelly Criterion	-31.01%
Risk of Ruin	0.0%
Daily Value-at-Risk	-7.0%
Expected Shortfall (cVaR)	-10.02%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	-0.37
Gain/Pain (1M)	-0.92
Payoff Ratio	0.56
Profit Factor	0.63
Common Sense Ratio	0.27
CPC Index	0.19
Tail Ratio	0.42
Outlier Win Ratio	3.93
Outlier Loss Ratio	2.54
MTD	0.99%
3M	-12.65%
6M	-12.65%
YTD	-12.65%
1Y	-12.65%
3Y (ann.)	-80.28%
5Y (ann.)	-80.28%
10Y (ann.)	-80.28%
All-time (ann.)	-80.28%
Best Day	6.66%
Worst Day	-10.38%
Best Month	0.99%
Worst Month	-13.51%
Best Year	-12.65%
Worst Year	-12.65%
Avg. Drawdown	-12.34%
Avg. Drawdown Days	12
Recovery Factor	0.51
Ulcer Index	0.18
Serenity Index	-0.09
Avg. Up Month	0.99%
Avg. Down Month	-13.51%
Win Days	52.94%
Win Month	50.0%
Win Quarter	50.0%
Win Year	0.0%