Although it is possible to code a strategy in a C++ Dll, it takes a bit more effort than writing it natively in C. You must write a C wrapper that acts as a Zorro strategy and calls your Dll via LoadLibrary() and GetProcAddress(). You also need to pass pointers to the indicators and trade functions that you want to use. The advantage of using the Visual Studio debugger is probably not worth the hassle.

Directly running strategies in Dlls is planned for a future Zorro version, but not yet available.