Max-symbols cap

Also seen as: symbols cap

Why does my screener show more matches than my strategy holds?

Because two separate limits sit between the filters and the holdings, and only one of them is the max-symbols cap.

• Max positions is the control you set yourself — its helper text reads Cap how many instruments are held at once. It decides how many positions the strategy carries at any one moment.
• The max-symbols cap sits earlier, between the screen and the run. It decides how many matches are considered as candidates at all on a screening date, before the allocation picks anything.

So a screener reporting 200 matches does not hand 200 candidates to the run, and the run does not hold every candidate it is handed. Both gaps are expected rather than errors, and Fincanva shows no notice when the cap has applied — you infer it from the distance between the match count and the holdings.

A screener's own backtest is a different measurement again: it is taken against a benchmark rather than against what a strategy ends up holding.

What happens to the matches that get dropped?

They are not considered on that screening date, and nothing else about them changes. The cap keeps the most liquid matches and drops the least liquid, so the names that fall away are the thinnest-traded ones in that match set — instruments whose trading activity is small next to the rest of the set. They stay in the screener's own results, they stay in the universe, and they keep the same permanent instrument identifier.

Being dropped is also not permanent. A screener is re-run on every screening date, so the trimming is redone each time against a fresh match set: a name outside the cap on one date can be inside it on the next, because either the match set or its liquidity ranking has moved.

Defaults in Fincanva

• The cap applies to the candidate set a simulation screens in, never to the count a screener reports on its own.
• Liquidity is the only tie-break. The cap does not prefer a sector, a country, an exchange, or an instrument that passed the filters by a wider margin.
• The cap is not a published number — Fincanva states no figure for it and shows none in the app.
• Trimming happens on every screening date, not once at the start of the run, because the screen itself is re-evaluated each time (see screener execution and caching).
• The cap changes which instruments a run may hold; it does not change any filter, any threshold, or the screener you saved.
• It is not a filter row you author. A Highest-N or Lowest-N ranking inside a screener is a row you write and can read back — see sequential filtering and Top-N ranking — whereas the cap is applied between the screen and the run and has no row of its own.

Worked example

A screener returns 200 matches on a screening date. If the cap sits below 200, the set is trimmed before anything is allocated: the most liquid of the 200 are kept, the thinnest-traded are dropped, and the allocation then chooses its holdings from the shorter list. If the cap is at or above 200, nothing is trimmed and all 200 stay candidates.

Read the two numbers apart. The 200 is what the filters found. What the strategy holds is a subset of a subset — the most liquid matches first, then as many of those as Max positions allows. If a specific thinly-traded name you expected keeps failing to appear in the holdings even though it shows up in the screener's results, the cap rather than the filters is the usual reason.