TQSim SIM15 · 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	80.0%
Cumulative Return	-1.96%
CAGR﹪	-63.2%
Sharpe	-2.32
Prob. Sharpe Ratio	38.57%
Smart Sharpe	-1.89
Sortino	-3.23
Smart Sortino	-2.64
Sortino/√2	-2.28
Smart Sortino/√2	-1.86
Omega	0.66
Max Drawdown	-5.43%
Max DD Date	2026-09-23
Max DD Period Start	2026-09-22
Max DD Period End	2026-09-25
Longest DD Days	4
Volatility (ann.)	40.2%
Calmar	-11.63
Skew	0.13
Kurtosis	-0.25
Ulcer Performance Index	-0.58
Risk-Adjusted Return	-78.99%
Risk-Return Ratio	-0.15
Avg. Return	-0.46%
Avg. Win	1.83%
Avg. Loss	-2.75%
Win/Loss Ratio	0.66
Profit Ratio	0.29
Expected Daily	-0.4%
Expected Monthly	-1.96%
Expected Yearly	-1.96%
Kelly Criterion	-25.35%
Risk of Ruin	0.0%
Daily Value-at-Risk	-4.54%
Expected Shortfall (cVaR)	-4.54%
Max Consecutive Wins	1
Max Consecutive Losses	2
Gain/Pain Ratio	-0.34
Gain/Pain (1M)	-1.0
Payoff Ratio	0.66
Profit Factor	0.66
Common Sense Ratio	0.53
CPC Index	0.22
Tail Ratio	0.79
Outlier Win Ratio	2.45
Outlier Loss Ratio	1.28
MTD	-1.96%
3M	-1.96%
6M	-1.96%
YTD	-1.96%
1Y	-1.96%
3Y (ann.)	-63.2%
5Y (ann.)	-63.2%
10Y (ann.)	-63.2%
All-time (ann.)	-63.2%
Best Day	3.08%
Worst Day	-3.59%
Best Month	-1.96%
Worst Month	-1.96%
Best Year	-1.96%
Worst Year	-1.96%
Avg. Drawdown	-5.43%
Avg. Drawdown Days	4
Recovery Factor	0.34
Ulcer Index	0.03
Serenity Index	-0.24
Avg. Up Month	-
Avg. Down Month	-1.96%
Win Days	50.0%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%