So all this has to be pre-determined by the trader, out of intuition, and not based on true facts and data. But god, these are the most important decisions, how should one "guess" them?!

And then, WFA will only be able to tell you if this construct would have worked in the past or not, thats it.

So in order to find the best trading construct, you have to use trial&error and repeat WFA step multiple times. This would then, step by step, even lead to the worst case, your "unseen" out-of-sample tests would slowly become "known" in-sample data and the whole advantage of WFA over backtesting would fade away completely.


This design related problems are already showing that WFA can not be the end of the road in terms of system analysis.

In a perfect world, you should give the analysis algorithms only the trading system and the market/timeframe, no other parameters. And then, the algorithm should tell you the best choices for all the other parts of the trading construct, based on data and facts, not the other way round.

Side Note: it should NOT just tell you how to trade your systems, it should give you the possibilities to look into the system's characteristics on your own. You should never be forced to trust any algorithms without the possibilities to check it's findings!