I think it has something to do with slippage. With the new Zorro there's 5 seconds default slippage. It's funny actually, because with increasing slippage the profit always increases:
slippage=0: AR 73%, SR 1.35
slippage=1: AR 89%, SR 1.57
slippage=2: AR 107%, SR 1.80
slippage=3: AR 125%, SR 2.02
slippage=4: AR 141%, SR 2.25
slippage=5: AR 157%, SR 2.48
slippage=6: AR 163%, SR 2.70
...
slippage=2000: AR 2504%, SR 15.78
Wish it worked that way:) But even with slippage=0 the results don't match the results from the old Zorro version so I guess there has to be another difference.
Btw. this should be fixed as soon as possible, the backtests with slippage are useless and people can lose money because of it. It's especially unfortunate because of the default settings (5 second slippage) so maybe an email to all current users should be considered.
