Here is my Zorro 1.46 Z12 FXCM Demo Result:

Walk-Forward Test Z12 portfolio

Simulated account AssetsFix
Bar period 4 hours (avg 337 min)
Simulation period 29.04.2010-07.06.2016 (9495 bars)
Test period 24.01.2013-07.06.2016 (5223 bars)
Lookback period 500 bars (17 weeks)
WFO test cycles 11 x 475 bars (16 weeks)
Training cycles 12 x 4272 bars (147 weeks)
Monte Carlo cycles 200
Assumed slippage 10.0 sec

Gross win/loss 45537$ / -30714$ (+120197p)
Average profit 4404$/year, 367$/month, 17$/day
Max drawdown -903$ 6% (MAE -2024$ 14%)
Total down time 26% (TAE 85%)
Max down time 21 weeks from Jul 2013
Max open margin 1025$
Max open risk 43287$
Trade volume 5366949$ (1594370$/year)
Transaction costs -1171$ spr, -936$ slp, -281$ rol, -261$ com
Capital required 1877$

Number of trades 2335 (694/year, 14/week, 3/day)
Percent winning 50.3%
Max win/loss 556$ / -299$
Avg trade profit 6.35$ 51.5p (+314.5p / -214.5p)
Avg trade slippage -0.40$ -3.2p (+0.3p / -6.9p)
Avg trade bars 54 (+69 / -37)
Max trade bars 967 (33 weeks)
Time in market 2457%
Max open trades 51
Max loss streak 16 (uncorrelated 12)

Annual return 235%
Profit factor 1.48 (PRR 1.40)
Sharpe ratio 1.75
Kelly criterion 1.29
R2 coefficient 0.758
Ulcer index 3.7%
Prediction error 9%
Cycle performance 1.57 1.42 1.45 1.50