Choose Subset of Stocks from a watchlist

Hello All,

I have a watchlist of 20 stocks out which I need to extract a subset of 5 stocks based on a criterion derived from backtested results of all possible subsets of 5 stocks(20C5), where each backtest will run on a portfolio of 5 stocks. Is there a way where I can run Backtester in Optimize mode where each optimize iteration corresponds to a single subset of 5 stocks. Of course optimization will run for 20C5 iterations in this case.

Thanks in advance !!

Rahul Jain