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

18 Sep, 2026 - 9 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	63.0%
Cumulative Return	-15.87%
CAGR﹪	-93.42%
Sharpe	-1.31
Prob. Sharpe Ratio	38.55%
Smart Sharpe	-1.13
Sortino	-2.38
Smart Sortino	-2.06
Sortino/√2	-1.69
Smart Sortino/√2	-1.45
Omega	0.71
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.)	141.49%
Calmar	-4.72
Skew	2.29
Kurtosis	8.83
Ulcer Performance Index	-1.63
Risk-Adjusted Return	-148.29%
Risk-Return Ratio	-0.08
Avg. Return	-1.17%
Avg. Win	14.35%
Avg. Loss	-5.06%
Win/Loss Ratio	2.84
Profit Ratio	0.71
Expected Daily	-1.07%
Expected Monthly	-8.28%
Expected Yearly	-15.87%
Kelly Criterion	-8.18%
Risk of Ruin	0.0%
Daily Value-at-Risk	-15.39%
Expected Shortfall (cVaR)	-15.64%
Max Consecutive Wins	1
Max Consecutive Losses	3
Gain/Pain Ratio	-0.29
Gain/Pain (1M)	-0.63
Payoff Ratio	2.84
Profit Factor	0.71
Common Sense Ratio	0.5
CPC Index	0.4
Tail Ratio	0.71
Outlier Win Ratio	6.78
Outlier Loss Ratio	2.88
MTD	-18.11%
3M	-15.87%
6M	-15.87%
YTD	-15.87%
1Y	-15.87%
3Y (ann.)	-93.42%
5Y (ann.)	-93.42%
10Y (ann.)	-93.42%
All-time (ann.)	-93.42%
Best Day	28.6%
Worst Day	-15.64%
Best Month	2.73%
Worst Month	-18.11%
Best Year	-15.87%
Worst Year	-15.87%
Avg. Drawdown	-19.11%
Avg. Drawdown Days	10
Recovery Factor	0.59
Ulcer Index	0.1
Serenity Index	-0.56
Avg. Up Month	2.73%
Avg. Down Month	-18.11%
Win Days	20.0%
Win Month	50.0%
Win Quarter	50.0%
Win Year	0.0%