a) The return is calculated for the highest likeliness, while the capital is calculated for the worst case. Therefore the average margin is used for the return and maximum margin for the capital. Early Zorro versions didn't use the margin for the return calculation at all.

b) Yes.

c) That is up to you - I normally use CR, but 2*CR is certainly safer. But I would stop a system anyway when CR is lost.

d) Yes, correct.

e) Normally not. Going down to 20% of the CR right at the start is rather unlikely, and could be a sign of expiration of the strategy. In that case it would be better to prepare for terminating the system when it goes down further, instead of investing 5*CR.