I checked, and there was no bug. All of the Optimal F values came through.

So now that I know it's not a bug, I think I have a strategy problem!
* I have a trend/reversion system that I use to trade a portfolio of ~50 stocks.
* Apparently, Optimal F for every walk ruins the system!
* Whereas, simple OOS test with Optimal F works very well.
* And, one Optimal F value for all combined walks also works well.

Question: If ALLCYCLES is disabled, what exactly is Optimal F "peeking" at? Future walks, or is it actually peeking at test data too?