An update to say I gave up on this one... I did find in the documentation that many of the indicators Zorro uses are based on TA-Lib, however, I found the TA-Lib ADX figure in Python is different to the Zorro one. In the end I manually made an ADX figure in Zorro and this one seemed to match other platforms and then ran backtests again. Not sure if was doing something wrong (more likely) or it is a bug (less likely)!