SHARPE
Annualized mean excess return over return volatility. Above 1 is good; above 3 usually means a bug.
SORTINO
Sharpe with only downside deviation in the denominator.
MAX DRAWDOWN
Worst peak-to-trough decline of the equity curve.
PROFIT FACTOR
Gross profit over gross loss.
R-MULTIPLE
Trade P&L in units of initial risk.
MAE / MFE
Worst and best unrealized excursion while open.
WALK-FORWARD
Train on a rolling window, test on the next unseen one.
OOS
Out of sample: data the parameters never saw.
BASELINE
A naive forecast. If a learned model cannot beat these, it has not earned its inference cost.