I have never had to do this and my power is shut off by the main power switch shuts the whole boat down and never had to recalibrate.
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Good to know, I have only had to disconnect the heading sensor 3 times and each time I did I had to recalibrate. Once was when transferring the TM to a new boat so heading sensor was of course moved to a different spot (line of sight changed). The other two times was replacing live well pumps and then new batteries. Maybe I just done it without it being necessary. I still don't think it's necessary to cutoff the heading sensor power after each trip unless the boat will sit for long periods without a maintainer charge from time to time. To each their own though, I will have information in case I ever need to disconnect it in the future though so thanks!