domains / families / business / residual-edge-analyzer

residual-edge-analyzer

separate

Separate a strategy return series into declared baseline exposure and residual edge with returns-based OLS attribution, HAC inference, rolling stability, alternate-baseline sensitivity, and regime breakdowns. Use when evaluating whether backtest, out-of-sample, or live returns contain independent alpha beyond market, equal-weight, momentum, sector, or user-supplied factor returns; when explaining whether a drawdown came from baseline exposure or strategy-specific behavior; or when a strategy needs an attribution quality gate after backtesting. Do not use for holdings-based Brinson attribution, feature-level Shapley explanations, or analysis from summary metrics without a dated return series.

When to use

• evaluating independent alpha beyond market, equal-weight, momentum, sector, or user-supplied factor returns
• explaining whether a drawdown came from baseline exposure or strategy-specific behavior
• attribution quality gate after backtesting
• returns-based OLS attribution
• HAC inference
• rolling stability analysis
• alternate-baseline sensitivity
• regime breakdowns

When not to use

• holdings-based Brinson attribution
• feature-level Shapley explanations
• analysis from summary metrics without a dated return series
• trade authorization
• changing trading exposure
• fetching data

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