Segmented Performance

Break down your backtest results across 12 dimensions to understand exactly which parts of your strategy are working and which aren’t. Segmented performance automatically slices every completed backtest by instrument, asset class, sector, direction, holding period, trade size, time of year, and more — giving you the diagnostic depth of an institutional performance attribution system.

Why Segmented Performance Matters

Beyond Aggregate Numbers: A strategy with a 60% win rate and a 1.8 Sharpe might look great in aggregate — but what if all the profit comes from long trades and shorts are bleeding money? Or what if Q4 consistently underperforms? Segmented analytics reveal what aggregate metrics hide.

Data-Driven Optimization: Instead of guessing which parameters to tweak, see exactly which segments outperform and which underperform. Then make targeted adjustments — tighten stop-losses on short trades, avoid trading in specific months, or increase allocation to your best-performing sectors.

The 12 Segment Dimensions

Stratifyre automatically buckets trades into the following dimensions for analysis:

Market-Based Segments

• Instrument: Per-security performance (e.g., AAPL, SPY, ES futures)
• Asset Class: Broad category (equities, futures, options, crypto, forex, etc.)
• Sector: GICS sector classification
• Industry: GICS industry classification
• Exchange: Trading venue

Trade Characteristic Segments

• Direction: Long vs. Short
• Holding Period: Classified by trading days held (Intraday, Swing, Position, Long-Term)
• Trade Size: Position size relative to account equity (Small, Medium, Large, Concentrated)
• Return Bucket: Trade outcome category

Time-Based Segments

• Exit Day of Week: Monday through Sunday
• Exit Month: January through December
• Exit Quarter: Q1 through Q4

Exploring Segments

After every backtest completes, navigate to the Segment Analysis section:

1. Select a dimension from the dropdown (e.g., “Direction”, “Sector”, “Holding Period”).
2. Compare at a glance using summary cards showing return, win rate, profit factor, and P&L for each segment value.
3. Dive deeper with comparison bar charts, metric heatmaps, and overlaid equity curves.
4. Inspect individual segments via the detail panel showing all 80+ metrics grouped by category.

Every segment gets a full suite of independently calculated metrics. For example, you can see the Sharpe ratio of just your Short Swing trades, or the Max Drawdown of just your Technology sector trades. Understanding how each segment drives your overall strategy helps you refine rules or position sizing to maximize return and minimize risk.