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Is it possible to backtest over a trading universe and also multiple strategies?
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My first question is, if I have a 500 datasets for 500 stocks for the S&P500. Is it possible to do event driven backtesting over 500 constantly updating 'bars' and also implement indicators over them? Upon doing that I want to create signals from the 500 stocks upon the updated bars.
For the next question, is it able to backtest at a portfolio level where I have multiple strategies running in parallel. For example, if I have three strategies, I will assign a portfolio weight allocations to each strategy, 0.2, 0.4,.0.4 of my total equity. Also each strategy will also have a different market universe.
Thanks guys!
