Bit late, but thank you for this! Just got this working and now I can actually play around with models in R. The default implementation made that unrealistic, took like 5 minutes to predict just 5000 bars and then I gave up. With this, Zorro can run through 600k bars in maybe 20 seconds (after the predictions were created). Regular backtest speed basically, because it doesn't need to call R anymore after the predictions are loaded at the start.

Imo something like this should be a built-in option to choose in Zorro directly because it really is a game changer.