Well... LOOKBACK applies to the Bar, not the Asset(s). run() is executed every Bar. If the current Bar is in the Lookback period, LOOKBACK will be set, and trade entry attempts will fail with that message. This is all correct operation - trading doesn't start until after the Lookback period. Correct Zorro operation - your script's operation is a differnt issue - you may not want your script to try to enter trades during the Lookback period.

But if you're seeing that message on a Bar after the Lookback period, then something else is causing it...

HTH.