yirugi
/
fithia2
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
You cannot select more than 25 topics Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
main
Branches Tags
${ item.name }
Create tag ${ searchTerm }
Create branch ${ searchTerm }
from 'main'
${ noResults }
fithia2/dev/phase7_deliverables/performance_attribution_and...

2.1 KiB
Raw Permalink Blame History

Performance Attribution and Reporting

Objective

Performance reporting in Phase 7 must separate alpha quality from operational quality. A winning week is not evidence of healthy production if reconciliation is failing. A losing week is not evidence of broken alpha if execution matched plan and market conditions were adverse.

Reporting Layers

  1. Strategy-level performance
  2. Trade-level attribution
  3. Feature-family attribution
  4. Operational attribution
  5. Stage/ramp governance reporting

Daily Report

Required sections:

  • positions opened and closed
  • realized and unrealized PnL
  • gross and net exposure
  • slippage summary
  • incidents and alerts
  • reconciliation outcome
  • candidates rejected by guard reason
  • top winners and losers

Weekly Report

Required sections:

  • expectancy, hit rate, payoff ratio
  • attribution by event type
  • attribution by hold horizon bucket
  • attribution by score bucket
  • attribution by approval path
  • execution quality summary
  • parser/manual review summary
  • drift summary
  • release/change summary

Monthly Report

Required sections:

  • cumulative return and drawdown
  • risk-adjusted performance
  • capital stage history
  • configuration changes and their impact
  • recurring incident themes
  • operational debt backlog
  • recommendation: hold, ramp, freeze, or rollback

Attribution Dimensions

Every trade should be attributable by:

  • event_type
  • direction
  • score bucket
  • overlay on/off
  • sector
  • approval path
  • config version
  • parser version
  • feature version
  • live stage

Minimum Metrics

  • gross pnl
  • net pnl
  • expectancy
  • win rate
  • average win
  • average loss
  • profit factor
  • average holding period
  • turnover
  • realized slippage
  • percent of days with incidents
  • percent of trades requiring manual intervention

Interpretation Rules

  • Do not attribute alpha improvement to a release without sufficient sample.
  • Do not attribute operational issues to market conditions without evidence.
  • Compare live vs simulation using matched assumptions where possible.
  • Maintain a stable definition of score buckets across review periods.