TQSim SIM15 · 模拟盘绩效（非真实业绩） (Compounded)

21 Sep, 2026 - 2 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	70.0%
Cumulative Return	-4.58%
CAGR﹪	-69.32%
Sharpe	-3.26
Prob. Sharpe Ratio	26.67%
Smart Sharpe	-2.56
Sortino	-4.07
Smart Sortino	-3.2
Sortino/√2	-2.88
Smart Sortino/√2	-2.26
Omega	0.56
Max Drawdown	-5.43%
Max DD Date	2026-09-23
Max DD Period Start	2026-09-22
Max DD Period End	2026-10-02
Longest DD Days	11
Volatility (ann.)	34.52%
Calmar	-12.76
Skew	-0.03
Kurtosis	-0.54
Ulcer Performance Index	-1.25
Risk-Adjusted Return	-99.02%
Risk-Return Ratio	-0.21
Avg. Return	-0.64%
Avg. Win	1.92%
Avg. Loss	-2.55%
Win/Loss Ratio	0.75
Profit Ratio	0.25
Expected Daily	-0.47%
Expected Monthly	-2.32%
Expected Yearly	-4.58%
Kelly Criterion	-33.29%
Risk of Ruin	0.0%
Daily Value-at-Risk	-4.02%
Expected Shortfall (cVaR)	-4.02%
Max Consecutive Wins	1
Max Consecutive Losses	2
Gain/Pain Ratio	-0.44
Gain/Pain (1M)	-1.0
Payoff Ratio	0.75
Profit Factor	0.56
Common Sense Ratio	0.42
CPC Index	0.18
Tail Ratio	0.74
Outlier Win Ratio	3.12
Outlier Loss Ratio	1.4
MTD	-1.19%
3M	-4.58%
6M	-4.58%
YTD	-4.58%
1Y	-4.58%
3Y (ann.)	-69.32%
5Y (ann.)	-69.32%
10Y (ann.)	-69.32%
All-time (ann.)	-69.32%
Best Day	3.08%
Worst Day	-3.59%
Best Month	-1.19%
Worst Month	-3.43%
Best Year	-4.58%
Worst Year	-4.58%
Avg. Drawdown	-5.43%
Avg. Drawdown Days	11
Recovery Factor	0.82
Ulcer Index	0.04
Serenity Index	-0.43
Avg. Up Month	-
Avg. Down Month	-2.31%
Win Days	42.86%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%