Backtest Portfolios

Backtest Portfolios allow you to combine multiple backtest reports into a single unified analysis — simulating what the results would look like if all strategies had been trading simultaneously on the same account. Instead of evaluating each strategy in isolation, you can see how they interact as a combined system: whether they smooth each other's drawdowns, how their equity curves merge, and what the aggregate risk-adjusted metrics look like.

This is the primary tool for strategy combination research and portfolio construction based on historical data. The question it answers is simple but powerful: "What would have happened if I had run all of these strategies together?"

Creating a Backtest Portfolio

Click + New Portfolio on the Backtest Portfolios page to open the creation form.

Portfolio Name — a required display name for the portfolio.

Description — optional notes about the portfolio composition or purpose.

Backtests & Weights — a list of all available backtest reports, each with a checkbox and a weight multiplier field. For each backtest you can see the strategy name, symbols covered, timeframe, deposit size, and net profit — giving you enough context to make selection decisions directly from the form.

The weight multiplier scales all monetary values from that backtest proportionally — P&L per trade, drawdown, commissions, and swap. This is essential when combining backtests run on different deposit sizes. For example, if one backtest used a $1,500 deposit and another used $5,000, you can set a multiplier of ×3.33 on the smaller one to bring both to an equivalent capital base before merging.

Click Create Portfolio to save. The platform will immediately compute the combined results.

Portfolio List View

The Backtest Portfolios page lists all created portfolios. For each portfolio the following aggregated metrics are shown inline: Net Profit, Trades (total across all included backtests), Max DD $, Max DD %, Profit Factor, Recovery Factor, BTS (number of backtest reports included), and Created date.

Each row has four action buttons: View to open the full dashboard, Share to generate a public link, Group to assign the portfolio to a named group, and Delete to remove it.

Portfolios can be organised into groups using + New Group in the toolbar — useful when you have many portfolios representing different strategy combinations or research iterations.

Portfolio Dashboard

The Backtest Portfolio dashboard is structurally identical to the individual Backtest Dashboard. All data is aggregated across the included backtests as if their trades formed a single unified trade history on one account.

Summary Cards

Seven metrics summarise the combined performance:

Total Net Profit — aggregate profit across all strategies, with percentage return based on the combined starting balance.

# of Trades — total trade count across all included backtests, broken down into wins and losses.

Win Rate — overall win percentage of the combined trade set, with gross profit and gross loss shown below.

Profit Factor — combined gross profit divided by combined gross loss, with expectancy per trade shown below.

Max Drawdown — the worst drawdown point in the combined equity curve, in currency and as a percentage of the combined balance.

Sharpe Ratio — risk-adjusted return of the combined strategy set.

Recovery Factor — combined net profit divided by max drawdown, with expected yearly profit shown below.

Balance Curve (Combined)

The main chart plots the merged equity curve across all included backtests. Key figures above the chart: Start (combined starting balance), Final (combined final balance), Return (percentage), Abs DD (absolute drawdown from initial balance), and Max DD (maximum drawdown from peak).

Toggle Show Drawdown to overlay the drawdown histogram below the balance curve.

The right-hand sidebar shows:

• Profit Projection — Yearly Avg Profit, Yearly Avg % Return, and CAGR, calculated from the full combined test duration.
• Drawdown breakdown — Max Drawdown $, Max DD % (peak), Abs DD % (initial), and Recovery Factor, each with a visual severity bar.
• Win / Loss donut — ratio of winning to losing trades with Avg Win and Avg Loss values.

Strategy Breakdown Table

Below the balance curve, a table lists each included backtest individually with its contribution to the portfolio. Toggle between $ and % display modes in the top-right corner of the section to switch all monetary values to percentage-based figures.

For each strategy the following columns are shown:

• Strategy — backtest name and symbols covered
• Weight — the applied multiplier (e.g. ×1.0000)
• Trades — total trade count from this backtest
• Net Profit — profit after weight scaling, in currency or percentage
• Win % — win rate
• PF — profit factor
• Max DD — maximum drawdown in currency or percentage
• Recovery — recovery factor
• Sharpe — Sharpe ratio
• Avg Win / Avg Loss — average winning and losing trade

Each row has an Exclude button that temporarily removes that strategy from all portfolio calculations without deleting it from the portfolio. This allows you to instantly test the impact of removing a specific strategy from the combination and see how the overall metrics change.

Summary by Symbol

An aggregated breakdown by trading instrument across all included backtests. For each symbol: Trades, Win Rate, Net Profit, Gross Profit, Gross Loss, Profit Factor, Avg Win, and Avg Loss. This reveals which instruments drive the portfolio's overall performance and which underperform across the combined strategy set.

Trade List, Analytics, and Trade Efficiency

The full merged trade list is available with the same All / Wins / Losses tabs and column configuration as the individual backtest. Monthly Performance, Trades by Hour, Trades by Weekday, and Trade Efficiency (MAE/MFE, Edge Ratio, Exit Efficiency) sections are all present and calculated from the combined trade history.

Strategy Correlation Matrix

Clicking Correlation on the portfolio dashboard opens the Strategy Correlation Matrix — a portfolio-level tool that measures the correlation between the included backtest strategies themselves, rather than between symbols within a single backtest.

Configure using Correlation By (Day / Week / Month) and Correlation Of (Profit / Loss or Overlapping Trades). The matrix shows how independently the strategies behave relative to each other. Negative or near-zero correlation values indicate the strategies tend to win and lose at different times — the ideal condition for portfolio risk reduction.

The colour coding follows the same scale as the single-backtest matrix: green (< 0.4) is low and desirable, yellow (0.4–0.7) is moderate, red (0.7–1.0) is high and unfavourable, and blue indicates inverse correlation.

Analysis Settings for Portfolios

The portfolio Analysis Settings panel contains the same tabs as the individual backtest (read about Backtest Analysis Settings) — Basic, Date / Time, Symbols, Comments — plus an additional Strategies tab specific to portfolios.

Basic — set a combined Initial Balance override, Default Lot for all included strategies, and Lot Normalisation mode.

Date / Time — filter by date range, days of week, and hour ranges across the entire combined trade history.

Symbols — the symbol list is merged from all included backtests. Toggle individual symbols to include or exclude them from all calculations across the entire portfolio.

Comments — filter by strategy comment tags across all included backtests simultaneously. A Custom Text Search field allows filtering by partial comment text (e.g. entering "ST_1 or ST_2" to include only those sub-strategies).

Strategies — toggle each included backtest on or off and adjust its multiplier directly within the settings panel. Disabling a strategy here excludes it entirely from all portfolio calculations. This is equivalent to the Exclude button on the strategy breakdown table but persisted as a saved setting.

Important: Settings Inheritance

When a portfolio is created or recalculated, it uses the trade data of each included backtest after any Analysis Settings already applied to that individual backtest. If you have enabled Lot Normalisation, a date range filter, or a symbol exclusion on a specific backtest, those settings are factored into its contribution to the portfolio. The portfolio always works from the filtered, processed version of each backtest — not the raw report data. This ensures consistency between how you analyse a strategy individually and how it contributes to a combined portfolio.