Very odd--I just downloaded Zorro 1.03 and ran this again. The results were very different and nowhere near as good:

Walk-Forward Test TheSeven portfolio - performance report

Simulation period 05.04.2008-02.11.2012
Test period 24.04.2010-02.11.2012
WFO test cycles 7 x 112 bars (23 weeks)
Training cycles 8 x 634 bars (131 weeks)
Lookback time 80 bars (16 weeks)

Gross win/loss 1426$ / -1265$ (+2017p)
Average profit 64$/year, 5$/month, 0$/day
Max drawdown -217$ (MAE -438$)
Max down time 83 weeks from Nov 2010
Largest margin 67$
Trade volume 122446$ (48454$/year)
Transaction costs -28$ spr, -3$ slp, -24$ rol
Capital required $303

Number of trades 141 (55/year)
Percent winning 46%
Max win/loss 98$ / -56$
Avg trade profit 1$ 14.3p (+22$ / -17$)
Avg trade bars 25 (+27 / -23)
Max trade bars 187 (38 weeks)
Time in market 455%
Max open trades 14
Max loss streak 8 (uncorrelated 9)

Annual return 27%
Profit factor 1.13 (PRR 0.89)
Sharpe ratio 0.16
Kelly criterion 0.12
OptimalF .022
Ulcer index 66%
Prediction error 43%

Portfolio analysis OptF ProF Win/Loss Cycles

AUD/USD avg .017 0.65 18/31 \X\\/\X
EUR/USD avg .036 1.91 21/20 /XX/.XX
USD/CHF avg .010 1.12 26/25 X//\XXX

AUD/USD:L .017 1.18 11/13 \/\\/\/
AUD/USD:S .000 0.47 7/18 \\\./\\
EUR/USD:L .030 1.88 12/6 /\//.\/
EUR/USD:S .042 1.93 9/14 ./\/./\
USD/CHF:L .012 1.13 12/11 \//.//\
USD/CHF:S .009 1.12 14/14 ///\\\/