Hi,
I’ve been trying out Zipline-reloaded and was wondering if the current version is able to backtest a futures strategy (eg. trend following) with universe containing futures listed on different international exchanges and in different currencies. So for example, one global strategy trading several futures on the CME trading in USD and several futures on Eurex trading in EUR.
My impression is that the current version is not able to handle more than one exchange and one currency in a single backtest. However, I’m still new to zipline and was hoping someone might be able to confirm that is true and suggest an alternative backtester or even better tell me I’m wrong and point me towards a way to do that in zipline-reloaded.
Thank you in advance!