I thought that Zorro won't open a trade with 0 lots, therefore the formula for the margin needs to be surely reworked. I first used 0.5 as a factor like in the manual but that led to margin calls. With a very restrictive 0.1 it looked reasonable in the backtest, but mixed with a low OptimalF there might be not enough left for one lot, esp. when reducing Capital to 1.000.
But beside of this "pre-alpha trial of optimization" there is one fact I really wonder: why there are trades (with more than 0 lots of course) set up only in backtest and not in live trading? I will try to find it out ...