I have tested the system on the new .bar file over the same period as the live forward test. Results are very different. Attached are the simulated and actual equity curves. Note that the simulated equity curve used what was a slightly generous spread for the sake of being conservative. The actual equity curve was constructed from the trades.csv log (I had to present the actual results this way as there are a couple of algorithms trading on this account, and there is no way to distinguish them using myfxbook or similar).
You can see that the peaks and troughs line up in the first half of the curve, but the levels do not match and they diverge in the second half of the curve.
So it would seem that the problem lies with the data created using the new version of Zorro. Next, I am going to re-install an old version of Zorro and create the 2015 .bar files using that version and then retest.
