You should be able to download data through the Download script using your Mac emulator. Why do you say it doesn't work?
Also, you can simply copy the .bar files from Windows to Mac if that helps. There is a default set and more you can download right from this website (including EURUSD all the way back to 2002)
SelectionBias... I personally think there is no way to avoid it on some level. It is not "bad" in my opinion, unless you are trying to build some strategy logic that works for everything and can hit the ground running. In other words, to me at least, that seems a bit unlikely. I'd rather choose SOME of the characteristics of the assets to be traded (for example, I might not trade EURDKK which has low history, low volume and jumpy volatility).
I could be wrong about this, but I think the FACTORS flag is only useful if you are somehow using OptimalF calculations in your script (FACTORS just tells Zorro to calculate OptimalF for each asset during training). The intent of using those factors, as I understand, is for trade weighting purposes (ie, in a basket portfolio of assets, allow a specific factor of margin to be given to a particular Asset/Algo/Direction combination)
As always, let me know if you disagree or see anything a different way!
PS: I read somewhere in the manual that if you do utilize OptimalF in your script, but don't turn on the FACTORS flag... then all factors are set to 1 (ie, equal weight)
