I agree that something looks wrong with that equity curve. I suspect the conversion algorithm: Are you sure that it does not use any future peeking? Does any Renko bar absolutely not contain any info from prices used for the next bar?
Yes, I'm pretty sure that the data is clean of future peeking. My conversion script is running linearly, tick by tick. What I suspect is that Zorro somehow peeks one bar into the future, but I don't know why and how. For example I can destroy the profitability if I use priceOpen() instead of priceClose() in the strategy, but that shouldn't be needed. That is an artificial one bar lag that can easily destroy any strategy.
But I'll recheck the data once again. Maybe I put here the conversion example of a few bars, so more eyes can peek at it and show me where I did something stupid. Data munging can be hard at times.
Any slight mistake here will generate such an equity curve.
Sure, been there - done that.
