There are a lot of reasons already mentioned for this, I just have another simple one: it depends on Zorro's version, sometimes. Througout the last 2 years I followed Zorro from 1.2x to the actual one and normally a version change happened while I tested sone strategies, so I'm regularly suprised about the results in different versions. Confusingly this happens not always, some strategies show the same results. Maybe these ones are the most stable?
An actual example changing from 1.46.3 to 1.47.7 (the only change: "History = .bar;" in 1.47):



It's only a simple model based script without Parameters, Factors, Rules or anything similar. Maybe those differences happen because of new features while their defaults does not match a version's environment that does not provide them at all, or maybe one result is only another one from the Monte Carlo simulation, I don't know. One can see both curves in the example are somehow parallel but the first one seems to promise something that the second one does not reveal. Strange, but in some cases it can be really interessting to run a strategy on different Zorro versions.