Im back from holidays:p
Ok, i rechecked all my Algos(I'm having fun with them), and what i did is this:

I tested them without FACTORS
I tested them with fixed FACTORS(eg. everything on 0.1 - no idea if that helps, but i managed to test Z12 like that)
I tested them with FACTORS which where only generated in the Training period.
What i learned is you should really proceed step by step - if a script isn't profitable without FACTORS, it probably will never be - thus i ditched a few:(

Also i thought a lot about SelectionBias. I can't write a script without it - i mean you change a thing and hit Test- if it doesn't work out, you change something until you get a straight equity curve. implementing the PARAMETERS is great help for that! I first didn't grasp it - but i think a script is less biased WITH PARAMETERS than without.

Last thing to overcome SelectionBias: Im running my backtests on a MacBookPro with WinOnX. I can't download any PriceData there(but btw its much faster than on Windows8 on the same MBP), so my SelectionBias only runs until early 2013. Thus i can see if it still performs after that later.