The simplest version regresses strategy returns on a few obvious factors, the market, size, value, momentum, and reads off the coefficients. If 90% of the variance is explained by a beta of 0.9 to the index, then the strategy is a levered index fund with extra steps.
A second cut splits return by bucket: by instrument, by time of day, by holding period, by market regime. Concentration is the thing to look for. If 70% of the profit came from three positions, the strategy has not been tested; three positions have.
Do this on live results as well as backtests. Divergence between the attribution of the two is usually the earliest sign of live-vs-backtest-divergence and is more informative than the headline return gap.
Related: alpha, beta-estimation, information-ratio, live-vs-backtest-divergence