I got this from a Backtest:

Tests run.. assets..
BackTest: Tests portfolio 2011..2013
Profit 41$ MI 2$ DD 10$ Capital 297$
Trades 459 Win 50% Avg +1.1p Bars 36
AR 40% PF 1.32 SR 0.61 UI 5.6% Error 23%

My Profit is 41$. Even if it was only over one year the AR should not be higher than 41/297=13%. Still my AR is 40%.
Am I missing something?

A very rough estimate of AR is annual profit divided by drawdown. This would be more than 100% in your case. But the real formula is more complicated - I'll check and post it here. I'll also check how the capital is calculated, and why it is unusually high in your case.

Thanks, looking forward to see the formula

However, I don't necessarily think that the capital is unusually high as I have a largest margin of 247$ because I have 51 trades open at some point. The profit is just unusually low.

This is the result with a maximum of 3 open trades (largest margin: 15$):

ForumTopic compiling.............. assets..
BackTest: ForumTopic portfolio 2011..2013
Profit 16$ MI 1$ DD 6$ Capital 65$
Trades 204 Win 50% Avg +0.9p Bars 34
AR 15% PF 1.17 SR 0.89 UI 11.3% Error 34%
Generate Chart - please wait... ok

Looking forward to the formulas.

It's on my todo list to get better acquainted with Zorro's performance metrics.

Ok, here's the formula that I got:

3_Year_Drawdown = DrawDown * sqrt(3_Years/Testperiod);

AR = 100 * 1_Year/Testperiod * (Win-Loss)/Max(Margin,3_Year_Drawdown);

The drawdown is assumed to be at least as high as the margin, otherwise a too small drawdown would cause unrealistic high returns.

Thanks for the formula!

I'm not sure what the variables stand for, though.
If I apply the formula to the examples I don't get the correct result:
I assumed that win-loss=profit
and Margin = Largest margin
The TestPeriod should be 2 years

1)
100*1/2*41/247 = 8.3
it should be 40
247 is the largest margin

2)
100*1/2*16/15 = 53.3
it should be 15

By the way, can you also post the formula of the capital requirements?
It behaves somewhat strangely below 100$ capital

Margin = 50 in your case, for 1 lot on a mini account. Your test period is probably 2.5 years - you can see it at the top of the performance report.

The capital requirement is simply

Capital = 3_Year_DrawDown + Max_Total_Margin;

Max_Total_Margin is the largest open margin during the test.

Thank you, I get the correct results now

I thought the tests were simulated on a micro account
(http://zorro-trader.com/manual/en/testing.htm)

Yes, but for some reason that I don't know, the drawdown minimum is the margin of a mini account. I've already made a note to the developers about that.

Normally the drawdown is way higher than that margin, so it does not matter, but in your case I think the AR is too pessimistic, due to the too high drawdown minimum.