TQSim SIM11 · 模拟盘绩效（非真实业绩） (Compounded)

18 Sep, 2026 - 2 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	73.0%
Cumulative Return	2.73%
CAGR﹪	85.28%
Sharpe	1.01
Prob. Sharpe Ratio	58.76%
Smart Sharpe	0.81
Sortino	2.87
Smart Sortino	2.31
Sortino/√2	2.03
Smart Sortino/√2	1.63
Omega	1.31
Max Drawdown	-19.78%
Max DD Date	2026-09-28
Max DD Period Start	2026-09-18
Max DD Period End	2026-09-28
Longest DD Days	11
Volatility (ann.)	154.13%
Calmar	4.31
Skew	2.77
Kurtosis	8.66
Ulcer Performance Index	0.26
Risk-Adjusted Return	116.82%
Risk-Return Ratio	0.06
Avg. Return	0.85%
Avg. Win	14.35%
Avg. Loss	-3.65%
Win/Loss Ratio	3.93
Profit Ratio	1.89
Expected Daily	0.25%
Expected Monthly	1.36%
Expected Yearly	2.73%
Kelly Criterion	5.93%
Risk of Ruin	0.0%
Daily Value-at-Risk	-15.35%
Expected Shortfall (cVaR)	-15.35%
Max Consecutive Wins	1
Max Consecutive Losses	3
Gain/Pain Ratio	0.31
Gain/Pain (1M)	-
Payoff Ratio	3.93
Profit Factor	1.31
Common Sense Ratio	2.77
CPC Index	1.29
Tail Ratio	2.11
Outlier Win Ratio	4.48
Outlier Loss Ratio	2.23
MTD	0.0%
3M	2.73%
6M	2.73%
YTD	2.73%
1Y	2.73%
3Y (ann.)	85.28%
5Y (ann.)	85.28%
10Y (ann.)	85.28%
All-time (ann.)	85.28%
Best Day	28.6%
Worst Day	-8.46%
Best Month	2.73%
Worst Month	0.0%
Best Year	2.73%
Worst Year	2.73%
Avg. Drawdown	-10.1%
Avg. Drawdown Days	7
Recovery Factor	0.34
Ulcer Index	0.1
Serenity Index	0.32
Avg. Up Month	2.73%
Avg. Down Month	-
Win Days	25.0%
Win Month	100.0%
Win Quarter	100.0%
Win Year	100.0%