SebR

This is the logical answer to Walk-Forwar + Optimize one parameter after other.
I do not do this for many reasons. I do 70-100% insampel at once. but always only one parameter after the other.

Ich mach das jetzt seid 6 Jahren (algo Trading) hast du gerade angefangen damit?

You are the first to address the problem directly. I have had problems with this for years.
1. yes you have to optimize the first parameter for each time window.
2. then you set the first parameter fixed for each time window. And optimize the 2 for all time windows.

Time window: 1,2,3
1st parameter: 34,12,22
2nd parameter 9,3,9
3. then you also set the fixed parameter for all time windows and make the 3 parameter.