Is it possible to generate multiple trades per signal using the custom backtester? I am working on a long only system that is sensitive to the direction the broad market and want to see how the system performs while hedging market risk.
Logically, what I want to happen is that when the system receives a buy signal it simultaneously (1) enters a long trade on the stock and (2) shorts an equal dollar amount the market. Upon exiting the long trade (via sell signal or via stop loss), the system will simultaneously cover the market short. The "normal" mode wont allow you to generate trades on two different systems at the same time, but can this be done via the CBT? If this sort of thing can be done, it could also be useful for pair trading strategies. Is there any example code around that might be helpful?
