Ok, but why isn't the AR calculated from the capital requirement anyways?
If that's the amount of money you invest the percentaged profit should be calculated from that amount.
Or I got something wrong.

I guess the best answer is: "Because anyone is doing it this way."

I suppose AR is defined as it is because most consider the performance of a system to be profit per risked capital. The capital used for fulfilling broker requirements, such as margin, is not under risk and thus unrelated to a system's performance.

With most strategies the drawdown is anyway much higher than the margin. Exception are systems that heavily hedge. They have low risk, but need much capital for the margin. As this capital is needed, you're theoretically right that it should affect the performance. But the AR is just not defined this way.

Thanks for the explanation.

I just noticed that the description of the Anual Return is wrong here: http://zorro-trader.com/manual/en/performance.htm

You're right. That will be fixed.

In early Zorro versions the margin requirement was not added to the capital, so the description was true back then.

FYI - just noticed that the description of Annual Return (AR) is different on the Testing and Performance Report manual pages...

Thanks - that will be corrected. The Performance page contains the most recent description.