Is Backtesting with several assets possible?

[Steven]

Can I backtest a momentum strategy where I invest in the best 5 performing assets out of 50 with a formation period of 6 months and a holding period of 1 month?

[Anagoge]

NinjaTrader supports multi-instrument strategies and momentum indicators on historical data. The NinjaTrader strategy analyzer isn't ideal for month long holdings (it works better for intraday and short term traders, IMO). There is no built-in support for making rotational momentum style strategies a trivial task, so you'll need to implement the calculations to rank your instruments and then purchase the top ranks and sell your other holdings yourself.