Holding horizon

Why a screener backtest reports six horizons instead of one

Filters do not work equally well over every length of hold, and one number would hide that. A screen that catches short-lived moves can look strong at one month and unremarkable at two years; a screen built on slow fundamental change can look flat early and stronger later. Measuring all six horizons on the same run makes that shape visible, and it is what the Edge by holding horizon card plots: one column per horizon, the annualized edge against the benchmark, positive above the line and negative below it.

What "the best horizon" means

The best horizon is simply the horizon with the highest annualized edge over the benchmark on this run — the one starred in the horizon label band and quoted in the verdict band as "holding picks for {n} months — the best horizon". It is a description of the run you just made, over the period it covered, not a holding period Fincanva recommends and not a prediction that the same horizon will lead next time. A run can perfectly well have a best horizon whose figure is still negative: it means every horizon trailed the benchmark and that one trailed least.

Defaults in Fincanva

• The six horizons are fixed at 1, 2, 3, 6, 12, and 24 months; you cannot add, remove, or re-length them.
• Every horizon is measured from the same selection dates on the same monthly cadence, so the six figures are directly comparable to each other.
• Horizon figures in the verdict band and the Edge by holding horizon card are edges against the benchmark, so they are quoted in percentage points (pp), not as returns.
• The per-filter impact table has its own horizon selector over the same six values, and it opens on 12 months.
• A horizon whose benchmark figure is missing shows "—" rather than a number, because an edge without a benchmark side cannot be computed.

Worked example

One run of a three-filter screener returns +4.1 pp annualized at the 3-month horizon and +0.6 pp at 12 months. Read that as: on this history, the matches beat the benchmark by about four annualized points when held for a quarter, and by only about half a point when held for a year — the advantage was concentrated shortly after selection and faded as the hold lengthened. Because 3 months carries the largest edge, it is the starred best horizon, and the verdict band's hero figure is the +4.1 pp. Note what the two numbers do not say: +4.1 pp at 3 months is not four times better than +0.6 pp at 12 months in absolute money — both are annualized rates, and each is the average across every selection date the run covered.

These figures describe what a screener's matches would have done on historical data, not what they will do. Fincanva provides no financial advice — see Is this financial advice?.