Thanks danatrader.
I do not agree with you, I think Zorro (at least in the free version), uses in its optimization algorithm a "vertical" approach.
When optimizing a portfolio of assets, Zorro looks at each asset separately, and no asset influences the optimization of other one.
In a rotation strategy one might optimize in a sense that there are influences in the optimization process between the asset ("horizontal" optimization).
In a horizontal optimization one would end with different parameter values for each asset.

If I would proceed with the R code provided in the attached link, and add an optimization code, I could easily get a different "lookback" period for each of the 6 assets candidates.
I'm not saying that optimizing each asset look-back would be the best approach for this strategy, but at least it's dame a trail.