TQSim SIM14 · 模拟盘绩效（非真实业绩） (Compounded)

21 Sep, 2026 - 25 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	40.0%
Cumulative Return	0.12%
CAGR﹪	6.42%
Sharpe	3.87
Prob. Sharpe Ratio	72.93%
Smart Sharpe	2.69
Sortino	11.94
Smart Sortino	8.31
Sortino/√2	8.44
Smart Sortino/√2	5.88
Omega	2.68
Max Drawdown	-0.07%
Max DD Date	2026-09-23
Max DD Period Start	2026-09-23
Max DD Period End	2026-09-23
Longest DD Days	1
Volatility (ann.)	1.61%
Calmar	87.27
Skew	1.65
Kurtosis	3.52
Ulcer Performance Index	3.36
Risk-Adjusted Return	16.04%
Risk-Return Ratio	0.24
Avg. Return	0.06%
Avg. Win	0.2%
Avg. Loss	-0.07%
Win/Loss Ratio	2.68
Profit Ratio	0.17
Expected Daily	0.02%
Expected Monthly	0.12%
Expected Yearly	0.12%
Kelly Criterion	31.35%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.14%
Expected Shortfall (cVaR)	-0.14%
Max Consecutive Wins	1
Max Consecutive Losses	1
Gain/Pain Ratio	1.68
Gain/Pain (1M)	-
Payoff Ratio	2.68
Profit Factor	2.68
Common Sense Ratio	7.19
CPC Index	3.59
Tail Ratio	2.68
Outlier Win Ratio	3.84
Outlier Loss Ratio	0.96
MTD	0.12%
3M	0.12%
6M	0.12%
YTD	0.12%
1Y	0.12%
3Y (ann.)	6.42%
5Y (ann.)	6.42%
10Y (ann.)	6.42%
All-time (ann.)	6.42%
Best Day	0.2%
Worst Day	-0.07%
Best Month	0.12%
Worst Month	0.12%
Best Year	0.12%
Worst Year	0.12%
Avg. Drawdown	-0.07%
Avg. Drawdown Days	1
Recovery Factor	1.68
Ulcer Index	0.0
Serenity Index	4.64
Avg. Up Month	0.12%
Avg. Down Month	-
Win Days	50.0%
Win Month	100.0%
Win Quarter	100.0%
Win Year	100.0%