Yes, I believe you are right in all that you have said. I'm mostly just looking at using it in some different ways, and TRYING not to break its purpose.

I do understand the purpose is for finding the optimal weight to apply on an individual trade.

I also understand that choosing which pair to trade based on something like OptimalF represents (at least) a selection bias. But then, we've already agreed that OptimalF itself breaks the OOS rules in a sense.

I do plan to eventually use OptimalF for its intended purposes, which is to get the optimal allocation factor for a given individual trade (ie, trade weighting). (But at this stage I'm still trading with minimum 1 Lots -- strategy design phase, so factors are not applied yet to margin.)

I was trying to use OptimalF in a way that somewhat mirrors my discretionary trading... where I keep track of those assets that "work" with a trade logic, and those that don't. Because I've found that one-size-does-NOT-fit-all.

Since OptimalF takes a global look at all trades of a given strategy logic (across all assets and the entire testing timeframe)... it knows which ones COULD work, and the degree to which they could work, as compared to all the rest.

I would argue that taking multiple trades is not the same as a weighting factor that you would apply to margin. I'd like if someone could poke a hole in this theory ... if so, it would invalidate the entire reason I'm using OptimalF this way, I think.

So the intent here would be:
#1: identify which assets and trade direction have worked historically (and how well they've worked)
#2: allow MORE trades of those that we know work well, eliminate those that don't have a good track record
#3: ultimately, use OptimalF to weight those trades that we do end up using