Yes, you must set TimeFrame _before_ the series that should get that time frame, not afterwards. When you set first the series and afterwards the time frame, it has no effect. The ATRs looked ok, but price series and lowpass functions were wrong. The other differences between BarPeriod and TimeFrame are explained in the manual under "TimeFrame".
Make first sure to set up the test so that trades are not entered and exited at the same price tick, otherwise the result is meaningless anyway. Read about backtest realism here:
http://manual.zorro-project.com/testing.htm. Then experiment with time frames and their difference to bar periods. When you still don't understand the results, heed my advice and check your signals and trades in the log, from entry to exit. If you have a question about a particular trade result, just ask here.
