Thanks guys. I'm still working at this. I'm about ready to toss GBPCHF in the trash, and assume it might just be the pair. I have no problem doing that, it's just that I'm having a hard time reconciling why the WFO Test (1 Lot still) does not look better, given these WFO cycle results:

cycle 1) GBPCHF: 53.0 29 52.0 5.00=> 4.482
cycle 2) GBPCHF: 53.0 29.0 53.0 6.99=> 3.560
cycle 3) GBPCHF: 58.0 29.0 48.0 5.01=> 1.766
cycle 4) GBPCHF: 60.0 29 49.0 6.00=> 2.878
cycle 5) GBPCHF: 60.0 29.0 46.0 8.00=> 2.404
cycle 6) GBPCHF: 61.1 35.0 46.0 2.98=> 1.301
cycle 7) GBPCHF: 44.0 29.0 47.0 6.00=> 1.237
cycle 8) GBPCHF: 54.0 37 51.0 3.99=> 1.279
cycle 9) GBPCHF: 61.1 37.0 50.0 8.00=> 3.337
cycle 10) GBPCHF: 49.0 29.0 53.0 7.00=> 1.649
last cycle) GBPCHF: 50.0 34.0 49.0 8.00=> 1.107

Every cycle returns a nice PR from what I can tell, yet the Test itself shows a loss (and the equity chart looks bad as well).

I know the strategy has some merit, because the results on EURUSD look great (both Train and Test). I carried it to GBPCHF after some prospecting procedures that showed good WFO Train results and then tweaked the optimizations for GBPCHF (I did also test the raw EURUSD params, which were not as promising looking).

Regarding overfitting: yes I know its possible. I hope I haven't introduced too much, it is constantly on my mind. But even in the case of overfitting, I would think a good Train result should also have a (decent) Test result. Usually when I see a bad Train result, then I may not even run the Test because I know it too will be bad.

To answer your second question... the history period I've chosen more philosophically than scientifically, and I'm not sure if it's a good choice. I kept it starting at 2008 only because I felt that history prior to that was less relevant (ie different market personality) for a shorter-timeframe logic. So far I have not seen a reason to think this starting point is wrong.

@jcl I'll have to go back and check the # of trades between Train/Test... I haven't done that yet.