I don't know what type of algo you're trying to code, but in general the procedure is like you have stated.

First code your entry logic (with simple static exit), optimize entries (with WF and Montecarlo), add some exit logic, perform optimization (WF and Montecarlo always), compare, change exit if necessary, repeat, etc...

You must just add optimize instructions in your exit logic, keeping the optimizes in entries as well. First only entries and then the two of them.

The goal is to compare and see if your exit logic improves the ratios.

Maybe someone else can tell you something i don't know.