TQSim SIM13 · 模拟盘绩效（非真实业绩） (Compounded)

21 Sep, 2026 - 9 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	60.0%
Cumulative Return	-7.23%
CAGR﹪	-71.64%
Sharpe	-1.3
Prob. Sharpe Ratio	37.83%
Smart Sharpe	-0.69
Sortino	-1.78
Smart Sortino	-0.94
Sortino/√2	-1.26
Smart Sortino/√2	-0.67
Omega	0.76
Max Drawdown	-11.8%
Max DD Date	2026-10-09
Max DD Period Start	2026-10-09
Max DD Period End	2026-10-09
Longest DD Days	17
Volatility (ann.)	75.68%
Calmar	-6.07
Skew	-0.24
Kurtosis	2.3
Ulcer Performance Index	-1.48
Risk-Adjusted Return	-119.41%
Risk-Return Ratio	-0.08
Avg. Return	-0.65%
Avg. Win	6.14%
Avg. Loss	-4.05%
Win/Loss Ratio	1.52
Profit Ratio	0.34
Expected Daily	-0.5%
Expected Monthly	-3.68%
Expected Yearly	-7.23%
Kelly Criterion	-10.61%
Risk of Ruin	0.0%
Daily Value-at-Risk	-8.23%
Expected Shortfall (cVaR)	-11.8%
Max Consecutive Wins	1
Max Consecutive Losses	2
Gain/Pain Ratio	-0.24
Gain/Pain (1M)	-1.0
Payoff Ratio	1.52
Profit Factor	0.76
Common Sense Ratio	0.9
CPC Index	0.38
Tail Ratio	1.19
Outlier Win Ratio	4.19
Outlier Loss Ratio	2.66
MTD	-5.07%
3M	-7.23%
6M	-7.23%
YTD	-7.23%
1Y	-7.23%
3Y (ann.)	-71.64%
5Y (ann.)	-71.64%
10Y (ann.)	-71.64%
All-time (ann.)	-71.64%
Best Day	8.73%
Worst Day	-11.8%
Best Month	-2.28%
Worst Month	-5.07%
Best Year	-7.23%
Worst Year	-7.23%
Avg. Drawdown	-10.18%
Avg. Drawdown Days	9
Recovery Factor	0.5
Ulcer Index	0.05
Serenity Index	-0.49
Avg. Up Month	-
Avg. Down Month	-3.67%
Win Days	33.33%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%