Trading Performance Attribution overview

Analyzes trading performance across multiple dimensions — calculating win-rate, profit factor, and average risk-reward ratios by strategy type, decomposing returns into timing, selection, and sizing components, computing max drawdown duration and recovery statistics, measuring risk-adjusted returns (Sharpe, Sortino, Calmar) across rolling windows, comparing realized performance against benchmark indices and peer strategies, and identifying performance clustering by market regime, time-of-day, and instrument type. Produces performance attribution reports, equity curve analysis, and strategy comparison matrices. Excludes strategy modification and trade execution.