In this case, how do I evaluate the entire portfolio instead of symbol by symbol as there will always be parameter set (WFO) in TRAIN mode ? Or I just have to run TEST after TRAIN and Zorro will automagically use the best parameter set of each symbol in TEST mode and from there I am able to judge the result of the the entire portfolio ? Or I have missed the concept of training portfolio equity in Zorro ?

If so, in TRADE mode I assume Zorro will use the last cycle (SelectWFO = -1) parameter set of symbol A (in symbol A par file) to trade symbol A, and parameter set of symbol B to trade symbol B ?