Market-day and trading-calendar alignment is how Fincanva places instruments that trade on different exchanges — each with its own holidays and session days — onto the single shared date axis a backtest runs on. A simulation advances one date at a time and needs every holding to sit on the same timeline, but no two exchanges are open on exactly the same set of days. Alignment is what makes a strategy mixing a US-listed and an Italy-listed instrument computable at all, and it is why a multi-exchange strategy can show dates on which only part of the book had a fresh price.
Also seen as: trading calendar, market days, exchange holidays
Why don't two exchanges share the same trading days?
Every exchange keeps its own calendar, and the differences are larger than they look. Weekends mostly coincide, but public holidays do not: US markets close for Independence Day and Thanksgiving, Italian and other continental European markets close for Ferragosto and Santo Stefano, and the UK adds its own bank holidays. Some markets also run half-days or close for local events that the others trade straight through. Over a single year this produces a dozen or more dates on which one exchange is open and another is shut.
Fincanva tracks each exchange's closing days as part of its market data, so the simulation knows which dates were genuine sessions for each instrument rather than reading a missing price as a data error.
What a mixed-exchange strategy looks like on one date axis
On a shared axis, each date either was or was not a session for a given instrument. In a single-exchange strategy every holding always agrees; in a mixed-exchange strategy it does not, so some dates carry a fresh observation for only part of the book. That is the source of the small oddities you can see in a multi-exchange run: a day's portfolio move can be driven entirely by whichever part of the book was actually trading, and a rebalance date placed on the shared calendar may not be a trading session for every holding.
Defaults in Fincanva
- A backtest runs on one shared date axis, and every holding is evaluated against the same sequence of dates.
- Exchange closing days are part of Fincanva's market data, so a market holiday is recognised as a closed session rather than a gap in a price series.
- Rebalance dates are placed on that shared calendar, not on each instrument's own exchange calendar, so one rebalance date applies to every holding — see rebalance.
- Annualized figures count trading days rather than calendar days — see annualization.
- The date a run stops at is a market date rather than a calendar date, which is the same market-day-versus-calendar-day distinction one step further out — see data freshness and frontier.
Worked example
A strategy holds one instrument listed on NYSE and one on Borsa Italiana. On 4 July the US market is closed for Independence Day while Borsa Italiana trades normally: that date exists on the shared axis, but only the Italian instrument had a session on it. On 15 August the reverse happens — Borsa Italiana is closed for Ferragosto while NYSE is open. Across a year the two exchanges disagree on roughly a dozen dates, in both directions.
The consequences show up at the edges rather than in the headline numbers: a rebalance date on the shared calendar may not be a session for every holding, and a single day's move in the strategy can reflect only the half of the book that was open. A strategy built entirely on one exchange never meets any of this.
Where this term is used
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Fincanva provides no financial advice. Backtests show what would have happened — not what will.
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