1: Correct the Walk Forward process so that the Optimization period and Test periods(lengths) do not include weekends when you specify that they are not to be included. They are not included in the trading but included in the length of the two periods.
2: If a strategy needs back bars for computation "XMA(20)" use the last bars (20) from the training period to compute the 1st bar of the test period rather than using the test period data for the back bar. You are leaving (20) bars out of the test as a gap that should be the most productive of the test.
2: If a strategy needs back bars for computation "XMA(20)" use the last bars (20) from the training period to compute the 1st bar of the test period rather than using the test period data for the back bar. You are leaving (20) bars out of the test as a gap that should be the most productive of the test.
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