TQSim SIM14 · 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	40.0%
Cumulative Return	1.02%
CAGR﹪	18.57%
Sharpe	0.7
Prob. Sharpe Ratio	56.52%
Smart Sharpe	0.43
Sortino	1.03
Smart Sortino	0.63
Sortino/√2	0.73
Smart Sortino/√2	0.44
Omega	1.25
Max Drawdown	-5.05%
Max DD Date	2026-09-29
Max DD Period Start	2026-09-29
Max DD Period End	2026-10-09
Longest DD Days	11
Volatility (ann.)	30.57%
Calmar	3.68
Skew	-0.18
Kurtosis	6.49
Ulcer Performance Index	0.26
Risk-Adjusted Return	46.42%
Risk-Return Ratio	0.04
Avg. Return	0.21%
Avg. Win	1.6%
Avg. Loss	-2.56%
Win/Loss Ratio	0.62
Profit Ratio	0.03
Expected Daily	0.07%
Expected Monthly	0.51%
Expected Yearly	1.02%
Kelly Criterion	13.27%
Risk of Ruin	0.0%
Daily Value-at-Risk	-3.08%
Expected Shortfall (cVaR)	-5.05%
Max Consecutive Wins	1
Max Consecutive Losses	1
Gain/Pain Ratio	0.25
Gain/Pain (1M)	-
Payoff Ratio	0.62
Profit Factor	1.25
Common Sense Ratio	1.86
CPC Index	0.52
Tail Ratio	1.49
Outlier Win Ratio	9.08
Outlier Loss Ratio	1.7
MTD	1.19%
3M	1.02%
6M	1.02%
YTD	1.02%
1Y	1.02%
3Y (ann.)	18.57%
5Y (ann.)	18.57%
10Y (ann.)	18.57%
All-time (ann.)	18.57%
Best Day	5.0%
Worst Day	-5.05%
Best Month	1.19%
Worst Month	-0.17%
Best Year	1.02%
Worst Year	1.02%
Avg. Drawdown	-2.56%
Avg. Drawdown Days	6
Recovery Factor	0.25
Ulcer Index	0.04
Serenity Index	0.09
Avg. Up Month	1.19%
Avg. Down Month	-0.17%
Win Days	66.67%
Win Month	50.0%
Win Quarter	50.0%
Win Year	100.0%