In addition to the Emfit, I use a pulse oximeter, and you can download all the data over USB. No cloud.
It's actually a medical device, which means the software is horrible. I'm running Windows inside a VirtualBox VM on my Mac to extract data and plots from it.
It has a finger sensor that you wear all night. It measures your heart rate and SpO2 (oxygen levels, roughly). That's it. The Emfit is nice because it also tells you when you get out of bed, measures REM sleep vs. light sleep, etc.
The pulse oximeter is useful for keeping track of sleep apnea, but I was suggesting a more general consumer device to get a picture of how you sleep first. (Most people probably don't want to wear something on their finger every single night if there's no symptoms.)
Sleep apnea is incredibly common. Snoring a big indicator for it. It means you aren't breathing properly at night, which means you can't sleep properly. Brain fog is a common symptom (although personally this isn't my issue). It ranges from minor/undiagnosed to severe/life-threatening, and it's chronic so it gets worse as you get older.
But I'm sure there are other sleep disorders that can cause brain fog.
So I actually use 2 different devices -- one cloud and one not -- and they give different information.
https://www.amazon.com/CONTEC-CMS50F-oximeter-monitor-softwa...
I am not certain of the technical measuees safeguarding thus, mind you.
For tracking, I use autosleep. They say the data doesn’t leave the device. The data is done through apple health, so there might be a safeguard apple enforces which means it is not possible for the data to leave the device, but can be used by an app.
http://autosleep.tantsissa.com/privacy
This indicates that apple enforces a prohibition against health data export. https://stackoverflow.com/questions/32622306/can-i-store-hea...