The documentation states that you can opt for Anchored Walk Forward Optimization by choosing a negative number (NumWFOCycles < 0). And it implies that you can choose more than one cycle to train.

Am I reading the documentation wrong and only the Rolling WFO can be trained on multiple cores?

EDIT: Here is what the documentation sais:

Number of cycles in a Walk Forward Optimization / Analysis (default = 0 = no Walk Forward Optimization). If NumWFOCycles is set to a positive number, rolling walk forward optimization is enabled with the given number of cycles; if it is set to a negative number, anchored walk forward optimization is enabled.