If he already knows it’s upsetting you I’m not sure why he’s not stopping this, you know him best but I do think stating outright when he does it your feelings is a good idea. I don’t think it’s fair that he’s doing this when you’re trying your best to move positively forward.

Edit: I’m referring to when he’s talking about painful episodes in your past in the above. I read your reply to Azul, if he’s just referring to general events in the past (like before you were born) then I would honestly try and divert the conversation to present day.

My parents relive stories many times but they are both elderly now, for them it’s a comfort, a surety, but I’m getting the impression your dad might not be that old.