Backtest Lens
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STRATEGY PORTFOLIO

Combine MT5 backtests

Merge separate MT5 Strategy Tester reports into one portfolio analysis. Backtest Lens synchronizes dated trades, recalculates the combined capital curve and shows where strategies diversify each other—or lose at the same time.

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

Build the portfolio on a shared timeline

Adding final profits cannot reveal overlapping drawdowns. A chronological portfolio shows combined return, capital pressure, strategy contribution and the periods where apparent diversification disappears.

01

Combined equity curve

Merge closed trades from every selected report into one chronological portfolio timeline.

02

Correlation and contribution

Compare shared calendar months and see which strategies drive profit or stressed periods.

03

Capital and lot allocation

Choose shared or separate capital assumptions, adjust lot multipliers and save allocation presets.

04

Equity Stress and OOS

Test simultaneous floating exposure and validate portfolio behavior outside the selection period.

REAL PORTFOLIO EXAMPLE

Five strategies on one capital timeline

The published AO Extremum portfolio combines five selected strategies from eleven available reports. Across 3,522 trades and 200,000 USD shared capital, the combined result is 82,124.17 USD, or 41.06%, with Profit Factor 2.90. Equity Stress DD is 2.89%, revealing simultaneous floating exposure that a simple sum of final backtest profits would miss.

Open the AO Extremum portfolio →
5strategies
3,522trades
+41.06%portfolio return
2.89%Equity Stress DD
01

How MT5 backtests are combined

Backtest Lens does not average final balances. It places every closed trade from every selected report onto one chronological timeline, applies the chosen lot multiplier and evaluates the result against shared or per-strategy capital. This exposes overlapping losses and prevents diversification from being estimated by intuition alone.

  • Upload and save each report in the same folder.
  • Choose the reports included in folder analytics.
  • Set capital mode and lot multipliers before comparing variants.
02

Shared capital or separate strategy capital

The capital assumption changes the meaning of return and drawdown. Shared capital models several EAs drawing risk from one account. Separate capital preserves an independent base for each strategy before aggregation. Backtest Lens keeps the choice explicit and applies lot multipliers before rebuilding the portfolio, so an allocation change affects both profit and risk rather than only rescaling a headline number.

  • Use shared capital when the EAs will trade one account.
  • Use separate capital when each strategy has its own dedicated allocation.
  • Compare variants with the same capital model before ranking them.
03

Date coverage and portfolio bias

Strategies often begin and end on different dates. A combined curve can look stable simply because only one strategy traded during an early period. Coverage, common-period analysis and IS/OOS boundaries help distinguish real diversification from unequal history. The optimizer should be treated as a candidate generator, followed by validation outside the selected optimization interval.

  • Compare the full history with the common overlapping period.
  • Check contribution by strategy during the maximum drawdown.
  • Prefer robust regions of allocations over one isolated optimum.
04

Read correlation, contribution and Equity Stress together

Monthly correlation describes whether strategy returns moved together during shared calendar months. Contribution shows which EA created the portfolio result, while Equity Stress estimates simultaneous floating pressure from overlapping positions. None of these measurements is sufficient alone: low correlation with a short overlap can be weak evidence, and a smooth closed-trade curve can still conceal concurrent open exposure.

  • Check the number of overlapping months behind each correlation value.
  • Identify the strategies active during the worst combined interval.
  • Reject allocations that improve return only by concentrating stress in one EA.
SCOPE AND LIMITS

What this analysis does not prove

  • Reports need usable trade timestamps and compatible currencies for meaningful aggregation.
  • Combining backtests does not model broker execution differences or portfolio-level margin calls automatically.
  • Optimization can overfit; keep forward and OOS periods outside the selection process.
HOW IT WORKS

From MetaTrader report to actionable evidence

1Upload and save each MT5 report
2Place related reports in one folder
3Select strategies and capital assumptions
4Compare the full period, common period and OOS evidence
FAQ

Questions before you upload

How are MT5 backtests combined?

Trades from saved reports are aligned chronologically and analyzed as one portfolio capital stream. Final balances are not simply added together.

Can reports cover different date ranges?

Yes. Coverage and common-period tools reveal when the combined result depends on strategies with unequal history.

Can I change strategy weights?

Yes. You can adjust lot multipliers, save allocation presets and compare portfolio variants.

Does low correlation guarantee a safer portfolio?

No. Correlation depends on the overlap and sampling period. Review it together with combined drawdown, contribution and Equity Stress.

Can I combine MT4 and MT5 reports?

Supported MT4 and MT5 reports can be stored in the same portfolio when their timestamps, currencies and capital assumptions are suitable for comparison.

BACKTEST LENS

Analyze the report before you trust the result.