Metrics

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Forven computes these metrics on every backtest. IS values are in-sample; OOS values are walk-forward out-of-sample. Always prioritize OOS.

• Sharpe (ex post, ex ante)
• Sortino
• Max drawdown + time to recover
• Win rate + payoff ratio
• Average trade duration
• Exposure % (fraction of bars in a position)
• Slippage reconciliation (simulated vs. realized fill)

The lab renders IS and OOS side-by-side. A strategy that looks great IS and bad OOS is overfit. A strategy that looks decent in both is a candidate.