Finally it did work !
These are the settings for TB6600:
#define X_ENABLE_ON 1
#define Y_ENABLE_ON 1
#define Z_ENABLE_ON 1
#define STEPPER_HIGH_DELAY 40
#define DIRECTION_DELAY 2
#define STEP_DOUBLER_FREQUENCY 12000
#define ALLOW_QUADSTEPPING 1
#define DOUBLE_STEP_DELAY 2 // time in microseconds
The key point was to keep direction delay low at 2μs and increase STEPPER_HIGH_DELAY to 40.
Thank you RayWB and Repetier
