Units and conventions in the Fincanva API and MCP

What does CAGR mean in a Fincanva result?

A field labelled cagr_geometric is the compound annual growth rate: the constant yearly rate that takes the starting value to the ending value over the period. It compounds, so it is never an average of yearly returns.

Applies to: backtest metrics, per-strategy analytics, start-date sensitivity.

Not to be confused with: The arithmetic annualised return, which averages instead of compounding and is higher whenever returns vary.

Label: cagr_geometric.

The definition: CAGR.

What is the arithmetic annualised return, and where does it appear?

The arithmetic annualised return is the mean daily return multiplied by 252. Backtest trust, contribution analysis and the stress test report it, labelled return_arithmetic_annualised. Because it averages instead of compounding, it is higher than the CAGR of the same returns whenever they vary, so the two are never compared with each other.

Applies to: backtest trust, contribution analysis, stress test.

Not to be confused with: CAGR, which compounds.

Label: return_arithmetic_annualised.

How are volatility and returns annualised?

Daily figures are annualised with 252 trading days a year — volatility by multiplying the daily standard deviation by the square root of 252 — and monthly figures with 12 periods a year. A field that is annualised says so in its description; a field that does not is a value for its own period.

Applies to: every operation that returns a volatility or a return.

Label: annualised_252.

The definition: Annualization.

What sign do VaR, CVaR and drawdown carry?

Value at risk and conditional value at risk are positive numbers that express a loss: a VaR of 0.021 is a loss of 2.1%. Drawdown is negative: a maximum drawdown of -0.34 is a fall of 34% from the previous peak. Compare their sizes, never their signs.

Applies to: backtest metrics, contribution analysis, instrument analytics.

Label: loss_positive_drawdown_negative.

The definition: Drawdown.

In what unit is a contribution to the Sharpe ratio?

A contribution to the Sharpe ratio is in Sharpe points: the contributions of the parts add up to the whole's Sharpe ratio. A contribution of 0.12 is 0.12 of Sharpe ratio, not 12%.

Applies to: contribution analysis.

Label: sharpe_points.

The definition: Sharpe ratio.

How are weights expressed and normalised?

Weights are fractions of the capital they apply to. Where shorting is allowed they are signed — negative is short — and normalised by the sum of their absolute values, so the absolute weights add up to 1 before leverage; leverage then scales them as a multiple of capital.

Applies to: allocation results, current holdings, allocation history.

Label: weights_gross_normalised.

Are percentages returned as fractions?

Yes. Every return, weight, rate, drawdown and threshold the app shows as a percentage is returned as a fraction: 0.07 is 7%, -0.3 is -30% and 1.5 is 150%. Screener filter values follow the same rule — a percentage filter's threshold of 0.02 is the 2.0 % the screener shows — and each target's unit says fraction.

Applies to: every operation.

Label: fraction.

How is a series labelled?

Every series carries its frequency — daily, weekly, monthly or yearly — and says whether its values are annualised. Price levels are never returned as a series; returns, drawdowns, rolling statistics and indexed growth are.

Applies to: every operation that returns a series.

Label: series_labelled.

How are dates written?

Dates are ISO 8601 calendar dates, YYYY-MM-DD, naming the trading day. Timestamps are ISO 8601 in UTC.

Applies to: every operation.

Label: iso_date.

What is the data version on a result?

dataVersion names the nightly data build a result was computed from, so you can tell which data a figure reflects. A result that computes nothing from market data, such as a catalogue listing, carries null.

Applies to: every operation.

Label: data_version.

In which currency are amounts of money?

Amounts of money are in the base currency of your simulation settings, unless the field's unit is usd, which marks figures the screener reports in US dollars, such as market capitalisation.

Applies to: every operation that returns an amount of money.

Label: base_currency.

The definition: Base currency.

How does a result tell you what it assumed?

When a request leaves out a value the operation needs, the operation uses the default its reference documents and lists it in assumed — the field as a JSON pointer, the value used and the reason. Nothing is assumed silently.

Applies to: every operation.

Label: assumed_stated.

What does the unit native mean?

native means the value is in the unit of what it describes: the unit named by the unit field beside it, or the series a rule reads — index points for the VIX, a plain ratio for the VIX ratio.

Applies to: catalogue operations, risk condition presets.

Label: native_unit.