# Phase 5 Completion Report - Analytics & Reporting

**Project:** NT8 SDK  
**Phase:** 5 - Analytics & Reporting  
**Completion Date:** 2026-02-16  
**Status:** Completed

---

## Scope Delivered

Phase 5 analytics deliverables were implemented across the analytics module and test projects.

### Analytics Layer

- `src/NT8.Core/Analytics/AnalyticsModels.cs`
- `src/NT8.Core/Analytics/TradeRecorder.cs`
- `src/NT8.Core/Analytics/PerformanceCalculator.cs`
- `src/NT8.Core/Analytics/AttributionModels.cs`
- `src/NT8.Core/Analytics/PnLAttributor.cs`
- `src/NT8.Core/Analytics/DrawdownAnalyzer.cs`
- `src/NT8.Core/Analytics/GradePerformanceAnalyzer.cs`
- `src/NT8.Core/Analytics/RegimePerformanceAnalyzer.cs`
- `src/NT8.Core/Analytics/ConfluenceValidator.cs`
- `src/NT8.Core/Analytics/ReportModels.cs`
- `src/NT8.Core/Analytics/ReportGenerator.cs`
- `src/NT8.Core/Analytics/TradeBlotter.cs`
- `src/NT8.Core/Analytics/ParameterOptimizer.cs`
- `src/NT8.Core/Analytics/MonteCarloSimulator.cs`
- `src/NT8.Core/Analytics/PortfolioOptimizer.cs`

### Test Coverage

- `tests/NT8.Core.Tests/Analytics/TradeRecorderTests.cs` (15 tests)
- `tests/NT8.Core.Tests/Analytics/PerformanceCalculatorTests.cs` (20 tests)
- `tests/NT8.Core.Tests/Analytics/PnLAttributorTests.cs` (18 tests)
- `tests/NT8.Core.Tests/Analytics/GradePerformanceAnalyzerTests.cs` (15 tests)
- `tests/NT8.Core.Tests/Analytics/OptimizationTests.cs` (12 tests)
- `tests/NT8.Integration.Tests/Phase5IntegrationTests.cs` (10 tests)

---

## Functional Outcomes

### Trade Lifecycle Analytics

- Full entry/exit/partial-fill capture implemented in `TradeRecorder`.
- Derived metrics include PnL, R-multiple, MAE/MFE approximations, hold time, and normalized result structures.
- Thread-safe in-memory storage implemented via lock-protected collections.

### Performance Measurement

- Aggregate metrics implemented in `PerformanceCalculator`:
  - Win/loss rates
  - Profit factor
  - Expectancy
  - Sharpe ratio
  - Sortino ratio
  - Maximum drawdown

### Attribution & Drawdown

- Multi-axis attribution implemented in `PnLAttributor`:
  - Grade
  - Strategy
  - Regime
  - Time-of-day
  - Multi-dimensional breakdowns
- Drawdown analysis implemented in `DrawdownAnalyzer` with period detection and recovery metrics.

### Grade/Regime/Confluence Insights

- Grade-level edge and threshold analysis implemented in `GradePerformanceAnalyzer`.
- Regime segmentation and transition analysis implemented in `RegimePerformanceAnalyzer`.
- Confluence factor validation, weighting recommendations, and score validation implemented in `ConfluenceValidator`.

### Reporting & Export

- Daily/weekly/monthly reporting models and generation in `ReportModels` and `ReportGenerator`.
- Export support added for text/CSV/JSON.
- Real-time filter/sort trade ledger behavior implemented in `TradeBlotter`.

### Optimization Tooling

- Parameter sensitivity, grid-search, and walk-forward scaffolding in `ParameterOptimizer`.
- Monte Carlo simulation, confidence intervals, and risk-of-ruin calculations in `MonteCarloSimulator`.
- Allocation heuristics and portfolio-level Sharpe estimation in `PortfolioOptimizer`.

---

## Verification

Build and test verification was executed with:

```bat
.\verify-build.bat
```

Observed result:

- Build succeeded for all projects.
- Test suites passed, including analytics additions.
- Existing warnings (CS1998 in legacy mock/test files) remain unchanged from prior baseline.

---

## Compliance Notes

- Public analytics APIs documented.
- No interface signatures modified.
- New implementation isolated to analytics scope and analytics test scope.
- Thread-safety patterns applied to shared mutable analytics state.

---

## Known Follow-Up Opportunities

- Tighten MAE/MFE calculations with tick-level excursions when full intratrade path data is available.
- Expand walk-forward optimizer to support richer objective functions and validation windows.
- Add richer portfolio covariance modeling for larger strategy sets.

---

**Phase 5 is complete and verified.**
