Noted. Simple enough. But can this be combined with Objective = 0 somehow?
It doesn't keep the bar ordering. Ordering depends on the trades' end time. By that time the contents of the global array have been overwritten. I'm about to use bar timestamps to restore an order to the trades and make it possible to associate inputs and outputs. Am I overlooking an easy solution here?

You must somehow store the array until the trade exits. For instance, you could use series for all signals. Then call the advise function at the exit of the trade instead of the entry, and send the signal values from the trade entry bar to the NN.

I like that.

But this is tricky and there is great room for mistakes. I want you to be aware. For example, if Entry and EntryTime are used, the position may not be entered in the same bar it is placed. In that case, TradeTime can't help you. There is no such thing as TradeOrderPlacedTime. For that, I need to store the bar number in a TradeVar myself.

The series index with the trade opening bar is (Bar-TradeBarOpen).

Right. But that may not be the same as the bar where the trade order was placed.

That's right - but don't you normally need the signals at trade open, rather than at trade placement? Anyway for the signals at placement you must indeed store the Bar value in a trade variable.

Entry can be expressed in relative terms -- as distance from the close price of the current bar. At a different bar, the effect is different.