Setups are a specific combination of options contracts that matches a strategic objective. Setups are sometimes referred to as "spreads" or "strategies" (not to be confused with a Brutus Options Ranking strategy).
In order to build a custom strategy with the Brutus Options Ranker, you will need to assign a setup to your strategy. The setup will be used to generate options trading alternatives that will be evaluated and force ranked as part of your nightly strategy runs.
Annualized Return on Risk is calculated by taking the maximum possible return from the position divided by the notional risk (max loss) that could be realized in the trade. This return is then annualized for the year.