Ok sorry to be nagging, but i didn't mean to calculate them from a few weeks only, but from the beginning of the training period right into the test period to the point where zorro "walks forward" at the moment. Simply not taking into account the rest of the test period that lies "in the future" from the single trade perspective.

Could that be implemented somehow? I get huge discrepancies in backtesting with vs without factors.
I am just testing your tip from above though.. sounds pretty reasonable.

I just don't feel good backtesting if you take into account information that would practically lie in the future:)