TQSim SIM17 · 模拟盘绩效（非真实业绩） (Compounded)

1 Oct, 2026 - 9 Oct, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	43.0%
Cumulative Return	-6.84%
CAGR﹪	-92.21%
Sharpe	-6.69
Prob. Sharpe Ratio	7.81%
Smart Sharpe	-3.43
Sortino	-6.82
Smart Sortino	-3.5
Sortino/√2	-4.82
Smart Sortino/√2	-2.47
Omega	0.19
Max Drawdown	-8.36%
Max DD Date	2026-10-09
Max DD Period Start	2026-10-08
Max DD Period End	2026-10-09
Longest DD Days	2
Volatility (ann.)	37.05%
Calmar	-11.03
Skew	-0.94
Kurtosis	-0.66
Ulcer Performance Index	-1.81
Risk-Adjusted Return	-214.43%
Risk-Return Ratio	-0.42
Avg. Return	-2.3%
Avg. Win	1.66%
Avg. Loss	-4.27%
Win/Loss Ratio	0.39
Profit Ratio	0.03
Expected Daily	-1.01%
Expected Monthly	-6.84%
Expected Yearly	-6.84%
Kelly Criterion	-138.61%
Risk of Ruin	0.01%
Daily Value-at-Risk	-4.82%
Expected Shortfall (cVaR)	-4.82%
Max Consecutive Wins	1
Max Consecutive Losses	2
Gain/Pain Ratio	-0.81
Gain/Pain (1M)	-1.0
Payoff Ratio	0.39
Profit Factor	0.19
Common Sense Ratio	0.05
CPC Index	0.03
Tail Ratio	0.26
Outlier Win Ratio	4.7
Outlier Loss Ratio	1.07
MTD	-6.84%
3M	-6.84%
6M	-6.84%
YTD	-6.84%
1Y	-6.84%
3Y (ann.)	-92.21%
5Y (ann.)	-92.21%
10Y (ann.)	-92.21%
All-time (ann.)	-92.21%
Best Day	1.66%
Worst Day	-4.62%
Best Month	-6.84%
Worst Month	-6.84%
Best Year	-6.84%
Worst Year	-6.84%
Avg. Drawdown	-8.36%
Avg. Drawdown Days	2
Recovery Factor	0.82
Ulcer Index	0.04
Serenity Index	-0.51
Avg. Up Month	-
Avg. Down Month	-6.84%
Win Days	33.33%
Win Month	0.0%
Win Quarter	0.0%
Win Year	0.0%