Thanks! But...
I'm not sure that's the answer.
As I said, the script correctly works in "Test" mode, so I select the assets correctly in the buy and sell functions. These are the buy/sell functions of my script:

Code:
void vendemosSpread(double hedgeRatio){
	asset(asset1);
	Margin = 1;
	//if (!TradeIsOpen)
	enterShort();
	
	asset(asset2);
	Margin=1*abs(hedgeRatio);
	enterLong();	
}

void compramosSpread(double hedgeRatio){
	asset(asset1);
	Margin=1;
	//if (!TradeIsOpen)
	enterLong();
	
	asset(asset2);
	Margin=1*abs(hedgeRatio);
	//if (!TradeIsOpen)
	enterShort();	
}


being asset1 and asset2 strings of 2 different assets.
But when I'm in Training mode, with these optimize lines I've just added, this is the output:

Code:
Parameter 1 step  2:  1.00 => 0.00   0/34
Selected p1[2] = +0.600  => -0.67

Parameter 2 step  1:  0.00 => 0.00   0/46
Parameter 2 step  2:  1.00 => 0.00   0/34
Selected p2[2] = +0.600  => -0.67

USD/CHF: +0.600 +0.600=> 0.000

Parameters stored in statArb5_8.par
.
Parameter 1 step  1:  0.00 => 0.00   0/ 6.

Every output gives "0", and the training only generates .par for one of the assets, not the second one...

Any ideas?