Why not use the average return and the average hold time to calculate the annualized return?
That is fine if you want to calculate the maximum annualized yield. That calculation assumes that you are 100% invested 100% of the time. With the patterns used here, that is not the case. Once in a while you will be 100% invested, but most of the time, not. If your average cash position throughout the year were 20%, then you would realize less than 80% of the calculated maximum annualized yield. Our pattern generating algorithms account for average cash holdings when optimizing the patterns.
