When reviewing the results of a simulation, one of the more interesting metrics is the "Annualized Performance." But as I'm experimenting with MS, (I've had the program for a little over a week now), I've come to the understanding that this % annual return does not take into account how many days a given simulation may have had the trader out of the market. With some approaches, this can have a dramatic impact on the perception of results. For instance, I just ran a simulation that yielded an "Annualized Performance," per the Enhanced System Tester, of 9%. Not very impressive. But the simulation had me out of the market for 79% of the time. So, isn't the real, time-adjusted return on capital employed 43%? (.09) / (1 - .79) = .43 My capital would not have been tied up for the entire period of the simulation. It could well have been earning a return elsewhere. (To simplify things, I set the "money market" rate paid to me by the broker to 0%.) I find that I'm doing a lot of calculations outside of MS to convert the EST's annualized performance to a time-adjusted, annualized performance. Does anyone have any ideas on this? Is there a simpler way for me to handle this? I'm only in my second week with MS, so I could well be missing something. Thanks, Don

hey don.... you have a good point but meta is calculating the annualized performance correctly as with the standard definition of it.... your real, time-adjusted return might give some unreal results..... your absolutely correct that we should create other metrics to gauge systems by.... for time out of market most will set a money market rate, the combined will give an accuate result.... anything else is making assumptions.... you can create systems that will make several thousand % in a few months... using your real, time-adjusted return math and extrapolating that return into a yearly return is impossible, or at least is for me.... haven't seens jose's deal but i can envision his aproach and sounds his risk-normalized is what your after.....h