Certainly the most efficient way is to train them all together. Set Hedge = 1 or 2 (depending on what you want your system to do).

Next, there are many ways you can optimize the portfolio component selection process. If you are comfortable exporting and importing balance curves for each component, you can read them into another script and perform your optimization there. On that basis, you could then set up your trading script. You could also get really clever and perform your portfolio optimization in real time in the one script (I haven't done this myself, but I do believe it is possible).

If you don't want to bother with importing and exporting balance curves for each component, another way to do your analysis and optimization is to set the LOGFILE flag during the backtest. Then, open the testtrades.csv file in a spreadsheet program and create a pivot chart from the data. You can then sort the pivot chart to show the daily profit and loss of each portfolio component separately. You now have all the data you need to perform your portfolio optimization.

If you use the software, you can perform the above in R where you have access to all sorts of powerful optimization and econometric tools that would be tricky to implement in Excel.

Does that help?