If you’ve been following the MT5 expansion here at Algomatic Trading, you know the last few weeks have been about turning the ProRealTime strategy library into a set of MT5 Expert Advisors. Twenty strategies translated, two batches published.
But translating strategies one at a time only solves half the problem. The real question every systematic trader eventually runs into isn’t “does this EA work?” it’s “how do these EAs work together?”
That’s what MT5 Genesis is for.
MT5 Genesis is a portfolio builder that runs entirely in your browser. You drop in the backtest or trade-history exports from your MT5 strategies, CSV or XLSX, straight out of the Strategy Tester in MT5 and it reconstructs each strategy’s equity curve then combines them into a single portfolio view.
Import and parsing. The tool reads MT5’s native report formats directly, both the trade-history export and the XLSX Strategy Tester report, where it pull the actual Deals data. Balance, deposit and correction rows are filtered out so only real trades feed into the analysis.
Equity and drawdown reconstruction. Every imported strategy gets its own equity curve and drawdown series, normalized to your chosen starting balance. That gives you a like-for-like comparison across strategies that were tested on completely different instruments, timeframes or position sizes.
Combined portfolio equity curve. This is the core of the tool. Once you’ve selected which strategies to include, MT5 Genesis aligns them on a shared timeline and builds the combined portfolio equity curve so you can see what your whole portfolio actually looks like.
Pearson drawdown correlation matrix. For every pair of strategies, the tool calculates the Pearson correlation of their drawdown series and lays it out as a full matrix, with each pair labeled from high overlap through moderate correlation to excellent diversification. It also surfaces the most correlated pair and the most diversified pair automatically, so you don’t have to hunt for them.
Portfolio-level stats. CAGR, max drawdown, Calmar ratio, profit factor, win rate, total trades, average drawdown length and correlation, all calculated at both the individual and combined level, side by side.
Darwinex VaR-target sizing simulation. This is the feature built specifically with Darwinex Zero in mind, it simulates how your account would get scaled up or down under Darwinex's own risk engine. Alongside standard “as-imported” sizing, you can switch to a simulated VaR-targeting mode that rescales each strategy’s daily P&L using a rolling 21-trading-day historical VaR lookback so the resulting equity curve’s realized monthly VaR tracks toward a target you set with a slider (roughly 3.25%–6.5%). It’s built in the same style as Darwinex’s own engine, though it’s worth being upfront about that it can’t replicate the exact Darwinex VaR, since things like per-position D-leverage duration caps and intraday market-condition adjustments need data that simply isn’t in a trade-level export. Treat it as directional guidance, not an exact simulation.
Most retail systematic traders build strategies one at a time and then add them together at the end, if at all. The problem is that a portfolio isn’t just a pile of good strategies, it’s strategies that don’t all fail at the same time. A backtest that looks excellent in isolation can be nearly useless in a portfolio if it’s highly correlated with the other strategies you’re already running.
MT5 Genesis exists to answer whether a portfolio is truly diversified:
Which of my strategies are truly uncorrelated in drawdown, not just in return?
What does my combined equity curve look like, not just each piece?
If I size for a target risk level, how does the whole portfolio behave?
That last question is exactly the one anyone running or considering running a DARWIN on Darwinex Zero needs answered. Darwinex’s engine sizes your account against a monthly VaR target and a strategy or portfolio that looks great unsized can behave very differently once that sizing overlay is applied.
The same applies to prop firm accounts. Most funded programs are drawdown-limited, not return-limited, you fail by breaching a daily or overall loss limit, not by underperforming. That means the correlation matrix and combined-drawdown view matter more than the CAGR number. A portfolio of five strategies that all tend to draw down together is a much worse fit for a prop firm’s rules than three strategies with genuinely offsetting drawdown profiles, even if the five-strategy version has a higher raw return.
MT5 Genesis is built to let you see that difference before you commit capital to it, building the portfolio you actually want to run under a strict daily-loss rule, rather than finding out the hard way.
Two more strategies live
Strategy 20 and Strategy 21 have also been translated to MT5 and are now available in the library.
Strategy #20: Reversed Donchian
Strategy #21: Bollinger Trend on DAX
If you’re running more than one MT5 EA, whether from the Algomatic strategy library or your own this could be a valuable tool, it have been crucial in helping me build a Darwinex portfolio. It’s made for anyone assembling a multi-strategy portfolio for:
A Darwinex Zero DARWIN, where VaR-target sizing behavior matters.
A prop firm or funded account, where drawdown correlation is the real constraint.
Simply running a personal live or demo portfolio and wanting an honest picture of what “diversified” actually means for your specific strategies.
MT5 Genesis is available now to Paid and Premium members below. Drop in your own MT5 exports or load the built-in demo data (7 strategies) to see how the combined portfolio view and correlation matrix work before importing your own.
Comments
Nothing yet. Say the first thing.
Sign in to join the conversation.