Well. I think I had several misconceptions of Zorro's inner working.

I will try to explain my mistakes just in case it helps someone else understand Zorro's behaviour.

I noticed in my Pairs Trading script that in Trading mode, in the first candles I only received NULLs in the zScore variable. In my research I've seen that this is because series variables are not "immediatly seen".

Also, I thought that LookBack bars where bars that in Trade mode would be run after you press the "Trade" button, but the script would be doing nothing. That was my mistake. LookBack is run after INITRUN, and its purpose is to store in memory this LookBack number of candles, before a new candle arrives.
In Testing mode this is not really important, because it just runs so fast you would not notice any difference.

So, my initial code with
Code:
if (Bar > LookBack)  //ADF test

is ok.

What is not so ok is that zScore is another series variable, and the first candles I was encountering NULLs.
So I've just added an UnstablePeriod variable, and I've done this

Code:
vars zScore = series((pairRatio[0] - SMA(pairRatio,halfLife)) / StdDev(pairRatio, halfLife));
	if (Bar > LookBack+UnstablePeriod) printf("nzScore: %f",zScore[0]);

So now I see that I don't have any NULLs.
I've set UnstablePeriod to 20, just based in previous research doing printf every new run.
I don't know why it takes several runs to fully "charge" the zScore series, but that's another thing.

Well, if you've read this, thanks for reading, and sorry if I made you a mess with all my testing!