TQSim SIM07 · 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	-4.53%
CAGR﹪	-65.39%
Sharpe	-0.46
Prob. Sharpe Ratio	46.3%
Smart Sharpe	-0.41
Sortino	-0.57
Smart Sortino	-0.52
Sortino/√2	-0.4
Smart Sortino/√2	-0.36
Omega	0.92
Max Drawdown	-21.56%
Max DD Date	2026-09-17
Max DD Period Start	2026-09-15
Max DD Period End	2026-09-18
Longest DD Days	4
Volatility (ann.)	107.95%
Calmar	-3.03
Skew	-1.56
Kurtosis	3.3
Ulcer Performance Index	-0.4
Risk-Adjusted Return	-71.86%
Risk-Return Ratio	-0.03
Avg. Return	-0.21%
Avg. Win	4.83%
Avg. Loss	-5.26%
Win/Loss Ratio	0.92
Profit Ratio	0.64
Expected Daily	-0.42%
Expected Monthly	-4.53%
Expected Yearly	-4.53%
Kelly Criterion	-4.45%
Risk of Ruin	0.0%
Daily Value-at-Risk	-11.38%
Expected Shortfall (cVaR)	-17.04%
Max Consecutive Wins	2
Max Consecutive Losses	3
Gain/Pain Ratio	-0.08
Gain/Pain (1M)	-1.0
Payoff Ratio	0.92
Profit Factor	0.92
Common Sense Ratio	0.55
CPC Index	0.42
Tail Ratio	0.6
Outlier Win Ratio	1.71
Outlier Loss Ratio	3.01
MTD	-4.53%
3M	-4.53%
6M	-4.53%
YTD	-4.53%
1Y	-4.53%
3Y (ann.)	-65.39%
5Y (ann.)	-65.39%
10Y (ann.)	-65.39%
All-time (ann.)	-65.39%
Best Day	6.91%
Worst Day	-17.04%
Best Month	-4.53%
Worst Month	-4.53%
Best Year	-4.53%
Worst Year	-4.53%
Avg. Drawdown	-8.45%
Avg. Drawdown Days	2
Recovery Factor	0.1
Ulcer Index	0.11
Serenity Index	-0.06
Avg. Up Month	-
Avg. Down Month	-4.53%
Win Days	50.0%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%