Yes, I confirm that. Explicitly setting the LookBack to a hard coded value seems to fix the issue. Thanks.

But I still can't understand why I have to call *asset()* before setting the StartDate and EndDate variables?

Because this:
Code:
function run() {
  LookBack = 500;
  asset("EUR/USD");
  StartDate = 2010;
  EndDate = 2015;
  ...
}

gives a totally different (worse) result comparing to this:
Code:
function run() {
  LookBack = 500;
  StartDate = 2010;
  EndDate = 2015;
  asset("EUR/USD");
  ...
}