If no parameter combination produces a 'positive' value for objective in a specific WFO cycle, i would like to skip trades in the oos test period for such cycle.

This is probably possible to achieve by parsing the objective from .par files and then determining whether to trade or not, but having such functionality out-of-the-box would be very helpful.

Thank you.

Rather than parsing .par files, store and read the objectives with putvar / getvar. There is also an undocumented variable "ObjectiveLong" and "ObjectiveShort", but since it's undocumented I don't know if it does exactly what you want.

Isn't this useful broadly enough to warrant adding to Zorro's out-of-the-box (or even default) functionality?

I have no idea for what it could be useful. But we will still implement it when it is backed by other users.

Then, what's your conceptual thinking on the subject?

Why do you think this is irrelevant?

I like the idea of this 'penalty' method and it might result in a better alpha, provided that you use wide parameter ranges.