Yes, it was the lookback = 0 line. The TradeTest script needed no lookback, but ATR is an indicator that needs past data. So your stop loss was never set, as you can see in your log.

Without a stop loss, Zorro assumes a risk of an 1% price move. The risk can not be zero, as some estimated value is needed for the performance calculation.

And your original script was fine as far as I see, only problem was that you seemed to have wrong expectations about the risk of a trade.