The concept of constructing a correct backtest evaluation instrument goes again to 2018–2019. On the time, the go-to resolution for anybody critical about technique evaluation was QuantAnalyzer 4 — and whereas it was a strong product, it had actual limitations. Filtering was inflexible, portfolio composition was tedious, and there was no strategy to mix reside account monitoring with backtest analysis in a single place. The hole was apparent, however the resolution wasn’t easy.
Constructing a dependable MT4/MT5 report parser, dealing with FIFO commerce pairing accurately, computing correct drawdown and Sharpe figures, and doing all of this inside an internet utility — these have been non-trivial engineering issues. The concept sat on the shelf for just a few years whereas the technical items slowly got here collectively.
What ultimately grew to become FX Monitor began as a solution to at least one query: what would a correct buying and selling analytics platform appear like should you constructed it from scratch as we speak?
What FX Monitor Has Grow to be
The backtest analyzer was at all times the core imaginative and prescient. However to get there, we constructed quite a lot of infrastructure alongside the best way — and that infrastructure changed into a platform in its personal proper.
At the moment FX Monitor is:
A reside account monitoring system related on to your MetaTrader terminals by way of a light-weight EA. No guide exports, no delays. Your trades, steadiness, fairness, and open positions replace in actual time throughout all of your accounts concurrently — one thing platforms like myfxbook merely do not provide in the identical approach.
A multi-account dashboard that permits you to see each account you run — reside, demo, or contest — in a single place. Swap between them, examine efficiency, spot correlations throughout portfolios.
A portfolio analyzer that teams your reside accounts into portfolios, computes aggregated statistics, Pearson correlation between methods, and runs Monte Carlo simulations in your precise reside buying and selling historical past.
An AI Agent related to your reside information — ask it about drawdown patterns, weak intervals, technique correlations, or get a full portfolio well being report. It reads your precise fairness curves, commerce historical past, and statistics earlier than responding.
A Telegram bot and cell PWA with push notifications — so that you’re at all times conscious of what is occurring in your accounts, wherever you might be.
A design that does not appear like it was in-built 2009. Darkish theme, clear typography, responsive structure. We care about the way it appears to be like as a result of you are going to be looking at it for hours.
And now — the characteristic we got down to construct six years in the past.
Backtest Evaluation — The Characteristic We have Been Constructing Towards
Add and Go
Export your backtest report from MetaTrader 4 or MetaTrader 5 as an HTML file and add it to FX Monitor. That is it. The system parses the report robotically — detecting encoding, pairing offers into accomplished trades utilizing FIFO logic, computing the complete statistics set — and caches all the things for fast entry each time you open the dashboard.
Multi-file add is supported so you may construct a library of all of your examined methods in a single place.
The Backtest Dashboard
The principle dashboard provides you all the things it’s essential to consider a technique truthfully:
Hero metrics — Web Revenue, Complete Trades, Win Fee, Revenue Issue, Max Drawdown, Sharpe Ratio, and Restoration Issue are entrance and middle. No searching via tables for the numbers that matter.
Stability Curve with Drawdown — the fairness curve is plotted alongside absolute and relative drawdown bars. Toggle the drawdown overlay on or off. You possibly can instantly see not simply how a technique grew, however when and how laborious it fell.
Revenue Projection — based mostly on historic distribution of returns, the system tasks ahead fairness paths so you may set life like expectations earlier than going reside.
Month-to-month Efficiency — a month-by-month breakdown exhibiting revenue, commerce depend, and win fee for every calendar month throughout the whole backtest historical past. Rapidly spot seasonal weaknesses or structural deterioration over time.
Distribution by Hour and Weekday — see when your technique really makes its cash. Some methods look nice on paper however generate 80% of income in a two-hour London window — helpful to know earlier than deploying on a distinct dealer or account sort.
Commerce Listing — the complete commerce historical past with pagination, column picker, and filters. Sortable, searchable, exportable. Helpful for recognizing outliers, reviewing the largest losers, or verifying the technique behaves as anticipated.
Superior Filters — Analyze Any Slice
That is the place the backtest dashboard goes past what most instruments provide.
You possibly can filter the whole evaluation — statistics, charts, commerce record, all the things — by:
- Time of day — give attention to a selected buying and selling session
- Day of week — exclude weekends, or check if Monday efficiency drags down the general outcomes
- Date vary — isolate a selected market regime (COVID crash, 2022 greenback rally, and so forth.) and see how your technique held up
- Image — crucial for multi-symbol methods and portfolios examined in a single run
- Technique / Remark — in case your EA runs a number of inner methods and tags trades by remark, you may isolate and analyze every sub-strategy independently
All statistics, steadiness curves, and distributions recalculate immediately based mostly in your choice. This stage of granularity is what makes the distinction between figuring out a technique has a very good Sharpe ratio and understanding why.
Lot Normalization
One of many trickiest issues when evaluating backtests is lot sizing inconsistency.
If you happen to ran Technique A on a $10,000 account with mounted 0.1 lot and Technique B on a $50,000 account with 0.5 lot, the uncooked revenue numbers are meaningless for comparability. Worse, if both check used compounding — the place lot measurement grew with the steadiness — the fairness curve is distorted. A method may appear like it has a 3% max drawdown, however that is solely as a result of the tons have been tiny within the early months and exploded on the finish.
FX Monitor solves this with two normalization modes:
Stability-based normalization — rescales all commerce outcomes to what they might have been at a constant proportion of beginning steadiness. Eliminates compounding distortion and makes any two backtests immediately comparable.
Mounted lot — strips out all lot variation and recalculates each commerce at a uniform measurement. Helpful for understanding the pure fringe of a technique, unbiased of place sizing mechanics.
Backtest Portfolios
Particular person technique evaluation is effective. Portfolio evaluation is the place actual selections get made.
The portfolio module enables you to:
- Mix a number of backtests right into a single portfolio with one click on
- Set multipliers per technique — scale every technique up or down relative to others
- Embrace or exclude particular person methods with out deleting them from the portfolio
- View aggregated statistics — mixed fairness curve, web revenue, drawdown, Sharpe, and Restoration Issue for the portfolio as an entire
- Correlation matrix — Pearson correlation between each pair of methods within the portfolio, calculated from their month-to-month return collection. Low correlation between worthwhile methods is the inspiration of excellent portfolio development
- Monte Carlo simulation for the whole portfolio — see the distribution of potential outcomes, not simply the only historic path
Monte Carlo Simulation
Out there for each particular person backtests and portfolios, in two modes:
Bootstrap — resamples precise historic trades randomly to generate 1000’s of other fairness paths. Respects the true distribution of your commerce outcomes.
Parametric — suits a statistical mannequin to your returns and samples from it. Helpful while you need smoother confidence bands or are working with a small commerce pattern.
The output features a fan chart exhibiting the distribution of potential fairness curves, histograms of ultimate fairness and most drawdown throughout all simulated runs, and chance of break — the proportion of simulated paths that hit an outlined drawdown threshold. That is the quantity that tells you whether or not your threat administration is life like.
AI Agent for Backtests
The AI Agent reads your precise backtest information — fairness curve, month-to-month breakdown, by-symbol statistics, full stats object — and solutions questions in plain language.
Particular person technique evaluation:
- The place are the weak factors on this technique?
- Which months are persistently unprofitable?
- Is the Sharpe Ratio excessive due to real edge or simply low commerce frequency?
- Does the efficiency deteriorate within the second half of the check — an indication of overfitting?
- How ought to I interpret the Restoration Issue given this drawdown profile?
Portfolio evaluation:
- Which methods are dragging down portfolio efficiency?
- Are my methods really diversified, or do all of them lose throughout the identical market situations?
- Ought to I scale back the multiplier on Technique C given its correlation with Technique A?
Portfolio composition — probably the most highly effective mode:
Choose a pool of backtests. The agent receives the complete statistics and correlation matrix for all of them, then proposes an optimum mixture — which methods to incorporate, which to depart out, and what multipliers to assign — with the objective of maximizing Sharpe and Restoration Issue whereas minimizing inter-strategy correlation. When you agree with the proposal, the portfolio is created in a single click on by way of API.
Six Years within the Making
The model of this instrument we shipped isn’t the model we imagined in 2019. It is higher — as a result of we had years of reside buying and selling, actual consumer suggestions, and hard-won expertise with what really issues when evaluating a technique.
QuantAnalyzer was the hole that began this. FX Monitor is the reply we wished to construct again then and at last can.
If you happen to run EAs, check methods, or handle a number of accounts — all the things is at fx-monitor.com. Free plan out there, no bank card required.
