Performance Engineering: Attribution, Error Taxonomy, and Process KPIs That Scale

Executive summary

Performance engineering is attribution. You separate: - edge quality (location and regime) - execution quality (fills and slippage) - management quality (exits and trails) - discipline quality (rule breaks) You build an error taxonomy and track counts. Then you remove the biggest error category. This is how a desk improves: not by new indicators, but by reducing error tax.

Learning objectives

• Run attribution like a desk
• Build an error taxonomy that scales
• Use KPIs that improve decision quality

Institutional workflow

Attribution: separate alpha from execution -> tag errors -> quantify error tax -> pick one fix per week.

Core lesson

Performance engineering is attribution. You separate:

• edge quality (location and regime)
• execution quality (fills and slippage)
• management quality (exits and trails)
• discipline quality (rule breaks)

You build an error taxonomy and track counts. Then you remove the biggest error category. This is how a desk improves: not by new indicators, but by reducing error tax.

Deep dive: Attribution and the error taxonomy

You cannot improve if you do not separate idea from execution.

Error taxonomy examples

• late entry
• poor location
• slippage
• early exit
• overtrading
• rule breaks
• posture violation

Count errors weekly. Remove the biggest one first. This is how desks improve.

Worked example: Error taxonomy scoreboard

Create a weekly scoreboard:

• late entries: __
• early exits: __
• slippage errors: __
• posture violations: __

Fix the biggest category next week.

Extra drill: One-page constraint card

Write and keep visible:

• posture rule
• net risk cap
• cluster cap
• daily and weekly loss cap

Constraints are your edge under pressure.

Operator note: What to log today

Advanced improvement comes from logs, not from inspiration. Log these items today:

• Posture sentence: regime and volatility posture in one line
• Decision zones: only the few zones that matter
• No-trade decisions: why you stood aside and what you avoided
• Execution quality: spread, fill, and any slippage notes
• Constraint compliance: did you respect net risk and loss caps?

One improvement rule

Pick one error category and write one prevention rule. Do not fix five things at once.

Implementation worksheet

Attribution template

For each trade:

• Setup: ___
• Regime: ___
• Execution quality: good/ok/poor
• Slippage note: ___
• Rule breaks: yes/no

Weekly:

• Count errors by category
• Fix one category only

Checklist you can use today

• Regime classified and posture selected (normal, reduced, flat)
• Decision zones defined on weekly and daily first
• Intraday triggers only allowed at decision zones
• Invalidation defined on the decision timeframe
• Volatility posture applied (risk scalar and frequency cap)
• Execution plan set: order type, bracket, slippage tolerance
• Portfolio constraints checked: net risk, cluster caps, loss caps
• Trade or no-trade decision logged with the same rigor

Common mistakes to avoid

• Blaming market instead of error tax, tracking vanity metrics only, no attribution discipline.

SEO FAQ

Q: What is attribution?

A: Separating edge from execution: was it the idea, the timing, the fill, or a rule break?

Q: What is an error taxonomy?

A: A categorized list of mistakes you can measure and reduce.

Q: What KPIs matter at size?

A: Mistake rate, slippage, drawdown in R, and stability across regimes.

More questions advanced traders ask

Q: What is error tax?

A: The performance drag from slippage, late entries, early exits, and rule breaks.

Q: How do I reduce error tax quickly?

A: Standardize execution, stop trading low-quality windows, and enforce risk limits.

Q: What should the weekly review include?

A: Attribution, error counts, one improvement, and posture rules for next week.

Quick quiz

1. What regime and volatility posture applies today, and why?
2. What is the single constraint that prevents your biggest failure mode?
3. What would invalidate your state label on the decision timeframe?
4. What is one measurable error tax item you will reduce next week?

Practical assignment

• Write your posture sentence and decision zones for today, then set alerts and wait.
• Log one trade or one no-trade decision with the same rigor.
• Update your playbook with one constraint or filter based on this lesson.

Key takeaways

• Advanced is constraints and consistency, not complexity.
• Execution quality and posture rules compound at size.
• Portfolio risk controls survival, and survival enables compounding.