Custom parameter selection in WFO

JCL,

Objective() function returns 1 number.
I, however, want to use a more complex approach to selecting the best parameters in training.

- Is there a way to access trade/performance stats of each WFO cycle in one loop? and if yes - at which place in a script?
The alternative is to export them to a dataset in an objective() function...right?

- is there a way to oversample with different bar length(not only with BarOffset)? Can ALLCYCLE be used in any way for that?

- if one generates/overwrites *.par files manually - what is the correct approach/place in the script to do that?

- Can variables like BarPeriod/Lookback/DataSplit and NumWFOCycles be changed according to TotalCycle?

Thank you!

The statistics of single WFO cycles are not sampled. You could either calculate them by script, or use NumTotalCycles and run a single WFO cycle only. Then you get the statistics of the cycle.

Oversampling uses BarOffset only. Anything that affects bar generation, like BarPeriod or start/end dates, cannot be changed in a TotalCycle. The rest, like DataSplit etc, can normally be changed. Try it.