TQSim SIM06 · 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	74.0%
Cumulative Return	-16.11%
CAGR﹪	-81.78%
Sharpe	-2.61
Prob. Sharpe Ratio	18.32%
Smart Sharpe	-2.2
Sortino	-3.02
Smart Sortino	-2.54
Sortino/√2	-2.14
Smart Sortino/√2	-1.8
Omega	0.58
Max Drawdown	-26.03%
Max DD Date	2026-10-08
Max DD Period Start	2026-09-11
Max DD Period End	2026-10-09
Longest DD Days	29
Volatility (ann.)	58.47%
Calmar	-3.14
Skew	-1.09
Kurtosis	2.21
Ulcer Performance Index	-0.85
Risk-Adjusted Return	-110.51%
Risk-Return Ratio	-0.16
Avg. Return	-0.83%
Avg. Win	2.22%
Avg. Loss	-4.21%
Win/Loss Ratio	0.53
Profit Ratio	0.16
Expected Daily	-0.67%
Expected Monthly	-8.41%
Expected Yearly	-16.11%
Kelly Criterion	-37.39%
Risk of Ruin	0.0%
Daily Value-at-Risk	-6.66%
Expected Shortfall (cVaR)	-10.02%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	-0.42
Gain/Pain (1M)	-1.0
Payoff Ratio	0.53
Profit Factor	0.58
Common Sense Ratio	0.25
CPC Index	0.16
Tail Ratio	0.43
Outlier Win Ratio	4.61
Outlier Loss Ratio	2.42
MTD	-3.0%
3M	-16.11%
6M	-16.11%
YTD	-16.11%
1Y	-16.11%
3Y (ann.)	-81.78%
5Y (ann.)	-81.78%
10Y (ann.)	-81.78%
All-time (ann.)	-81.78%
Best Day	6.66%
Worst Day	-10.38%
Best Month	-3.0%
Worst Month	-13.51%
Best Year	-16.11%
Worst Year	-16.11%
Avg. Drawdown	-13.78%
Avg. Drawdown Days	15
Recovery Factor	0.61
Ulcer Index	0.19
Serenity Index	-0.1
Avg. Up Month	-
Avg. Down Month	-8.26%
Win Days	52.63%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%