The screener-backtest benchmark is the reference a screener backtest measures itself against, which is why every headline figure such a backtest reports is a gap rather than a return: the screener's result minus the benchmark's result over the same holding horizon. A screen that averaged 10% a year in a stretch when the benchmark also averaged 10% a year showed no edge at all, even though 10% reads well on its own. Which series the benchmark is, and how it is put together, are not documented — Fincanva has not released either, so this page covers what the benchmark does and not what it is.
Why is a screener's result only meaningful next to its benchmark?
Because a raw return over a long window mixes two things that a screener cannot take equal credit for: the market's own move across the period, and whatever the filters added on top of it. Over a run that spans decades the first of those dominates — most instruments rose, so most screens produce a positive number, and a positive number is therefore no evidence that the filters did anything. Subtracting the benchmark removes the shared part and leaves the part attributable to the screen, the same logic that excess return applies to a strategy.
That is also why the level of the figure is not the finding. Two screens that both returned 12% a year are not equally good if one ran in a decade the benchmark returned 5% and the other in a decade it returned 14%.
How does the benchmark shape the numbers you read?
In four ways, each of which changes how a verdict should be read:
- The verdict is directional. A screener is reported as being above the benchmark, below it, or level with it — never as a bare return.
- Zero is a tie, not a win. A gap of exactly zero resolves to neutral wording rather than being rounded up into a win.
- The gap is in percentage points. It is the difference between two percentages, so a screener at 12% against a benchmark at 9% is +3 pp — three points of annualized return above the benchmark, not "3% more".
- There is one gap per holding horizon. The benchmark is measured over the same set of holding horizons as the screener, so each horizon compares like with like — and a screener can be ahead at one horizon and behind at another. The benchmark is also drawn alongside the screener on the event-time path, so the two can be read together rather than one at a time.
Can I choose the benchmark for a screener backtest?
No. Unlike a strategy's benchmark, which you pick per strategy from market presets or from one of your own live portfolios, a screener backtest arrives with its benchmark already decided: there is no benchmark control on a screener's Backtest tab. The practical consequence is that a screener verdict and a strategy's benchmark comparison are two different measurements, and a figure from one should not be read as if it came from the other.
Is the verdict a statement about what my strategy will hold?
No — it is a measurement of the screener's matches as a group. A strategy built on the same screener holds a trimmed, liquidity-ranked slice of those matches (see max-symbols cap) and applies its own allocation, exit rules, and costs on top, so its result is a different quantity from the screener's verdict. Fincanva does not tell you whether a verdict is good enough to act on — see Is this financial advice?.
Defaults in Fincanva
- Every screener-backtest figure labelled above or below the benchmark is a comparison, not an absolute return measured from zero.
- The comparison is a difference between two annualized figures, so it is read in percentage points.
- A gap of zero is reported as level with the benchmark rather than as an outperformance.
- The benchmark covers the same period and the same holding horizons as the screener, so both sides move when new market data arrives and the backtest is re-run (see screener execution and caching).
- The benchmark cannot be selected, changed, or switched off for a screener backtest.
- Not every figure in a screener backtest is a gap against this benchmark: the per-filter impact table mixes a raw return with two deltas measured against other filter sets — see filter impact lenses.
Worked example
At the 12-month holding horizon a screener's matches averaged +10.8% annualized, while the benchmark averaged +7.8% over the same horizon. The verdict is the difference: +3.0 pp annualized above the benchmark at 12 months.
The same run at the 1-month horizon tells a different story — the screener averaged +9.4% against the benchmark's +10.0%, a gap of −0.6 pp, so at that horizon the screen was behind. One screener, one run, two horizons, opposite signs. Note what the two absolute figures (+10.8% and +9.4%) cannot tell you on their own: both are solidly positive, yet one horizon beat its benchmark and the other did not. The level says how the period went; only the gap says what the screen contributed to it.
Backtests show what would have happened — not what will. Fincanva provides no financial advice — see Is this financial advice?.
Fincanva provides no financial advice. Backtests show what would have happened — not what will.
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