The order of the assets affects the set up of the price history bars. The first asset in the loop is used to create an array for the bars, therefore any gaps in the price history of the first asset are reflected in the price data for subsequent assets. This will affect WFO cycles and backtest results more generally.

This is documented in the manual (somewhere!) although it is not easy to find.

I always start my asset loops with EUR/USD as this is the most complete price history I have on file. This is enough to ensure consistent results between runs.

Another useful tool: set the GapDays parameter to 2 in the initial run of the script. This will then print a warning message if any data gaps are found in any of the assets' price histories. Although it doesn't fix the gaps, at least it makes you aware that they exist and you can account for them accordingly.

Hope that helps.