Nice library, make thinks much easier. But I have a question.

Please correct if I'm wrong:

Each runs goes though in the entire time period then the orders are selected based on the date to see if they fit to each IS / OOS windows so all the statistics are calculated.

If it's so, it means that (depending on the money management and position sizing) the orders that where executed before the IS window may affect the IS results and orders from IS window my affect the OOS results. That may even invade the other window if the strategy is not daytrade.

It's not the case if I perform a manual WFA.

Am I right?

As long it's based on files (each run save all the fluctuations into a file) it means that I can't use remote agents?

Yes, you're right. All such nuances are covered in an article about the libraries. Unortunately, it was published in Russian on 8-th June, but still is not translated.

Briefly speaking, the alternative WF approach differs from conventional method, and you should take into account that some positions can cross IS-OOS border (though, this may have negligible effect if your stratagy generates hundreds of orders per window), as well as constant lots are recommended.

You can run it in the MQL5 cloud. The files are generated on your PC from data received from agents.

Where are you supposed to put the library for MT5?  You do realize that there are no instructions for MT5 in your "User guide" right?  I renamed the file.  (You should consider naming the library the same as in the mqh file.  I rename it to wfL.ex5 and still get errors.

Please send me more info, if you still have problems.