I guess by filters you mean indicators and not data filters. This is an example having a list of indicators (in this case SimpleMovingAverage applied on close), one per data feed.
class TestStrategy(bt.Strategy):
params = (
('maperiod', 15),
)
def __init__(self):
self.smas = []
for d in self.datas:
self.smas.append(bt.indicators.SimpleMovingAverage(d.lines.close, period=self.params.maperiod))