I was looking for platform to develop automated trading strategy and came to know about this site. I downloaded Zorro and executed few sample strategy scripts.
I can easily understand like-C code and make changes. I have done few years of programming in c, c++, java, python, etc. I was doing manual trading of stocks and options.

I have read the book "Quantitative Trading" by Ernest Chan. I am planning to buy another book listed in one of the forum post.

I am looking for help/guidance on where to start. I don't know probability/statistics/math used in the built-in function in Zorro. Knowing how the data is processed and used in the scripts would be great.

Any help would be appreciated.

Welcome to Zorro. The functions use standard algorithms, so if you look in Wikipedia for some math or statistics method and find a formula there, that's normally also the formula that Zorro uses. If you want to know some particular algorithm, ask here.

For starting, I suggest to first go through tutorial lessons 4-8 and then work through the book list. The book by Chan should have already given you a pretty good insight.