I would like to know if i can backtest a strategy that would trade across multiple pairs. Not by testing 5 strategies separately and adding up the equity curve, but test a strategy that would eg:

go long 1 lot EURUSD, and 1 lot USDCHF and at an open loss of 1000 euro go short 1 lot of GBPJPY and 1 lot of AUDNZD and track the overall performance of these trades in backtest.

thank you! Maurik