I see few issues here.
Even when running WFO test with same cycle number Lookback setting heavily influences Test and Train period. For example:
LookBack = 500;
StartDate = 2005;
EndDate = 2016;
NumWFOCycles = 10;

result:
WFO test cycles 9 x 178 bars (36 weeks)
Training cycles 10 x 1008 bars (208 weeks)

and when change only LookBack:
LookBack = 200;
StartDate = 2005;
EndDate = 2016;
NumWFOCycles = 10;

result totally different:
WFO test cycles 9 x 198 bars (40 weeks)
Training cycles 10 x 1124 bars (232 weeks)

That's why I was not able to find a way to calculate WFO cycle number for fixed number of days by using
NumWFOCycles = (barsTotal-barsTrain)/barsTest + 1;

Is there a way to keep same train/test period regardless of LookBack and StartDay ans EndDay settings?

Also I think to stick to number of cycles between 5 and 10 is irrelevant because it's totally depends on testing period.

Last edited by Fiber; 01/16/18 16:03.