I'm wondering how Annual return and Max drawdown are calculated? The way I would imagine you calculate annual returns is as follows:

AR = (closing balance - opening balance)/opening balance

But when you test with Zorro the opening balance is zero. Any number divided by zero is infinity, so Zorro must not be using the above formula for AR.

Likewise, what about max draw down? Here is a quote from jcl on the Z systems: "max drawdown is about 100% of the needed capital, otherwise you'd obviously not need it." But when I test Z12, for example, I get the following:

Max drawdown -1479$ 9% (MAE -2213$ 13%)

This is obviously nowhere near 100%.

What am I missing?

Thanks!

The manual page about the performance metrics. There the parameters are explained. The annual return of a strategy is its profit divided by the capital required to achieve this profit.

Thanks. That is very helpful. I will study the manual more...