Thank you for the tip; that would work. Finally, I separated the variable parts into multiple files, and this way I can mix them more easily to produce the test cases. Like this:
...
#include "var_tradingrules/8.cpp"
...
DLLFUNC void run() {
//
// INIT RUN
//
#include "var_period/12.cpp"
#include "var_asset/3.cpp"
...
}
