TQSim SIM07 · 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	-12.13%
CAGR﹪	-78.8%
Sharpe	-1.52
Prob. Sharpe Ratio	32.17%
Smart Sharpe	-1.47
Sortino	-1.82
Smart Sortino	-1.76
Sortino/√2	-1.29
Smart Sortino/√2	-1.24
Omega	0.73
Max Drawdown	-24.7%
Max DD Date	2026-09-30
Max DD Period Start	2026-09-15
Max DD Period End	2026-10-02
Longest DD Days	18
Volatility (ann.)	80.28%
Calmar	-3.19
Skew	-1.6
Kurtosis	5.11
Ulcer Performance Index	-0.7
Risk-Adjusted Return	-97.28%
Risk-Return Ratio	-0.1
Avg. Return	-0.6%
Avg. Win	3.08%
Avg. Loss	-4.74%
Win/Loss Ratio	0.65
Profit Ratio	0.28
Expected Daily	-0.61%
Expected Monthly	-6.26%
Expected Yearly	-12.13%
Kelly Criterion	-19.39%
Risk of Ruin	0.0%
Daily Value-at-Risk	-8.8%
Expected Shortfall (cVaR)	-17.04%
Max Consecutive Wins	3
Max Consecutive Losses	3
Gain/Pain Ratio	-0.27
Gain/Pain (1M)	-0.91
Payoff Ratio	0.65
Profit Factor	0.73
Common Sense Ratio	0.85
CPC Index	0.25
Tail Ratio	1.17
Outlier Win Ratio	3.2
Outlier Loss Ratio	3.11
MTD	1.0%
3M	-12.13%
6M	-12.13%
YTD	-12.13%
1Y	-12.13%
3Y (ann.)	-78.8%
5Y (ann.)	-78.8%
10Y (ann.)	-78.8%
All-time (ann.)	-78.8%
Best Day	6.91%
Worst Day	-17.04%
Best Month	1.0%
Worst Month	-13.0%
Best Year	-12.13%
Worst Year	-12.13%
Avg. Drawdown	-9.5%
Avg. Drawdown Days	7
Recovery Factor	0.41
Ulcer Index	0.17
Serenity Index	-0.1
Avg. Up Month	1.0%
Avg. Down Month	-13.0%
Win Days	52.94%
Win Month	50.0%
Win Quarter	50.0%
Win Year	0.0%