Backtest Lens
Инструменты
Анализ локально в браузере
PORTFOLIO ANALYTICS

Trading strategy portfolio analyzer

Evaluate a group of EAs as a portfolio rather than a collection of isolated backtests. Compare combined risk, diversification, allocation and stability before committing capital.

What you get
MT4 / MT5 HTMLNo installLocal first analysis
PURPOSE-BUILT ANALYSIS

Portfolio decisions need portfolio evidence

A strong standalone backtest can still increase total risk. Portfolio analytics reveals overlapping drawdowns, correlation and dependence on individual strategies.

01

Portfolio drawdown

Measure combined risk from synchronized trades and inspect the strategies contributing to stressed periods.

02

Correlation

Compare monthly strategy behavior and identify clusters that add similar exposure.

03

Optimization without one magic score

Explore Pareto-efficient variants across return, stress drawdown and stability constraints.

PORTFOLIO CASE

Return, correlation and hidden exposure in one view

AO Extremum combines five strategies and 3,522 trades on 200,000 USD shared capital. The published snapshot shows 41.06% return, 2.90 Profit Factor and 76.21% winning trades. More importantly, the portfolio view adds correlation, contribution and a 2.89% Equity Stress drawdown instead of judging each EA by its standalone statistics.

Review the published portfolio →
5strategies
3,522trades
2.90Profit Factor
76.21%winning trades
01

What useful diversification looks like

Low correlation is not enough by itself. Strategies should also contribute across different periods without concentrating all profit in one symbol or market regime. Review monthly correlation together with combined drawdown, strategy contribution and coverage. Negative or low correlation based on only a few overlapping months should not be treated as strong evidence.

  • Inspect how many overlapping months support each correlation value.
  • Identify strategies contributing to the worst stressed interval.
  • Compare equal-weight and adjusted-lot portfolios before optimizing.
02

Using the optimizer without chasing one score

The Portfolio Optimizer searches strategy compositions and lot multipliers, then retains non-dominated choices across return and risk constraints. A Pareto front offers trade-offs rather than declaring one universally best portfolio. OOS Stability and exclusion diagnostics provide additional checks on whether a candidate survives beyond the period that selected it.

  • Set an acceptable Equity Stress limit before searching.
  • Review leaders for different portfolio sizes.
  • Validate the chosen allocation on backward and forward OOS periods.
SCOPE AND LIMITS

What this analysis does not prove

  • Monthly correlation is descriptive and can change when the market regime changes.
  • Backtest portfolios do not guarantee live fills, margin behavior or identical broker conditions.
  • The optimizer supports research decisions; it should not be used as an automatic capital-allocation recommendation.
HOW IT WORKS

From MetaTrader report to actionable evidence

1Upload and save strategy reports
2Group candidates in a portfolio folder
3Analyze correlation, stress and allocation variants
FAQ

Questions before you upload

What is a trading strategy portfolio analyzer?

It combines the results of multiple strategies to evaluate total return, drawdown, correlation and diversification.

Does the analyzer optimize strategy weights?

Yes. It can test allocation variants and present Pareto-efficient choices under risk and stability constraints.

Can I compare in-sample and out-of-sample periods?

Yes. Period comparison and OOS Stability tools help check whether portfolio behavior persists outside the selected training period.

BACKTEST LENS

Analyze the report before you trust the result.