The 5,000-Candle Truncation Trap

Funding replies stop at 500 rows and you page forward to get the rest. Why doesn't the same trick work for candles?

• Candle replies are larger, so paging is slower
• The candle request only ever serves the most recent 5,000 candles, however you split it
• Paging works for candles too, but only at 1-hour bars

Your start check passes but your count check fails for one fold. What happens?

• Shrink that fold's training window to the bars you have
• The fold fails and the run stops, and the report says why
• Keep the fold if the Sharpe looks reasonable