In this paper, we define the $M_\alpha $-integral of real-valued functions defined on an interval $[a,b]$ and investigate important properties of the $M_{\alpha }$-integral. In particular, we show that a function $f\colon [a,b]\rightarrow R$ is $M_{\alpha }$-integrable on $[a,b]$ if and only if there exists an $ACG_{\alpha }$ function $F$ such that $F'=f$ almost everywhere on $[a,b]$. It can be seen easily that every McShane integrable function on $[a,b]$ is $M_{\alpha }$-integrable and every $M_{\alpha }$-integrable function on $[a,b]$ is Henstock integrable. In addition, we show that the $M_{\alpha }$-integral is equivalent to the $C$-integral.