I wanted to try Petra's code for the blog post “High-Conviction Trading.”
However, neither the download via Yahoo (“too many requests” – I don't have a VPN running) nor the download of the COT data works for me, even though I have stored the API key in Zorro S and in Z.ini.
Who can help me?

Hi Pr0logic
I do not know which blog post you are referring but if your are interested I've extracted many Futures only (legacy) COT report and convert it into t6 files to test J. Shapiro COT index for Futures trading.
let me know if you want those files : 6A, 6B, 6C, 6E, 6J, 6N, 6S, 6Z, BTC, CC, CL, CT, EMD, ES, GC, GE, HG, HO, KC, KE, LB, LE, MBT, MCL, MES, MNQ... etc.

I am reverse enginerring the COT index from J. Shapiro to backtest the lookback period per future contract.
I am totally new with zorro and I am struggling in finding free price data (EOD) for those futures contract (perpetual as I want to backtest). Any advice on how to find good quality free data EndOfDay welcome...

The COT report from Quandl is indeed not available anymore, since NASDAQ has acquired them. All remaining Quandl data is now also behind a paywall. The best way to get the COT report is reading it directly from its original website (https://www.cftc.gov/dea/newcot/FinFutWk.txt).

Continuous futures data is usually not free, at least not in higher resolution. You can get free ES data from our download page.

Sorry, I was not clear.
I already have all COT report data and I've transformed those COT report into t6 files. My point is about how to get PRICE data about all futures markets (example : historical price data for the perpetual Gold contract) from a free source?... I did not find a way.