Hi, I agree with MatPed, I think shortening the optimization OOS period may likely lead to overfitting and undermining the basic idea of the edge. For some reason though, the Z strategies are re-parametrized periodically, in terms of months, so I am still probably missing some parametrization fundaments in Zorro :-(.

Just my approach is to stay with the simplest original result, as you posted on 29.9.2019. Especially when you say it is consistent over many assets.
I trade it small with microlots and focus to adopt other strategies into the ensemble, to balance/compensate the flat periods and draw downs.