Hi Spirit i compared the Max DD mt4 ($200) to MAE ($110). Still almost twice which is significant. considering that profits are at $340 and $380, respectively (which doest not vary greatly).

The system operates as follows:
0.01 lots per trade
max 1 trade at any given time
daily bars used
stoploss = atr*2
ATR is 20 periods
buy at HH,
short at LL
spread is 5
Date tested: 2005-2015.

Even if there are other differences, i think it must not make much difference. It maybe have something to how the entry/exit prices are done(?) and tick data available(?).

1. how is the atr different?
2. and wondering how people who experienced both use the mt4 and zorro differently, i.e. they use zorro for optimising and mt4 for getting the worst drawdown, etc. Is zorro MAE too optimistic and its much better to use Mt4 max DD?