This is possible. Although, not in a way you think. What you would have to do is have multiple files per save (like a memory card for a Zelda game). For each file you have above 1; you must make a copy of each switch/variable you have. So if you have 3 files, you must have 3 of every switch/variable you have. Then what you do is you have the user choose what file they play on. Then they can save the overall game on the main menu. When they choose a file, you check to see what file they chose, then set the switch/variable according to such file. Here is a picture to explain how the event should look after they choose the file and you must change a file depending on the file (1 = file 1, 2 = file 2, etc.):

Understand?