I want to combine various non-correlated strategies into one portfolio.
Obviously each strategy has its own optimum training and test length, which results in different WFO cycle numbers.
Further, I require oversampling for some of my slower-paced strategies but do not want to use this feature on all strategies.
Is there a way to code up different WFOCycles and different NumSampleCycles for each of my strategies and test them all in one script?
Or likewise, is there something equal to the "Combine" script, which is able to handle strategies with different WFO cycle numbers?