Tru3th - Look into high altitude turbos. They should have compressor maps with higher pressure ratios (2.5-3.0 OK), and low flow surge lines. Surge is a possibility at high altitude much more than at sea level due to the lower density air and higher boost we typically run. Remember 20 psi at 5280 is a pressure ratio of around 2.8, compared to a sea level ratio of 2.36. Some turbos really won't like that, overspeeding and ruining the bearings.
ktmrider - Sluggishness, especially if you can tell it's worse in open loop, is probably due to a mixture that's too rich. I suggest you get some wideband readings, whether installed and on the road, or even a tail pipe sniffer on a dyno. Tailpipe will run around 1.0 to 1.5 more lean than pre-cat, but you'll get an idea how rich it's running. Are you tuned, or is this the ECU? If you're just getting used to turbo lag, then welcome to the club. De-restricting your uppipe and exhaust will help immensely.
davidcommons - high altitude costs a lot of power. The SAE correction on the dyno usually adds around 50 hp to correct to sea level (stage 2 STi). The good news is that you can take more advantage of the turbo at low RPM. At altitude we can typically run 20 psi of boost without endangering the engine, since the absolute manifold pressure is still below what it would be on a slightly tuned stock car at sea level running 16.3 psi. The problem is in the turbo's compressor map (tho none exist for the VF series). 20 psi at altitude is a high pressure ratio (2.8). That high of pressure ratio pushes the speed of the turbo up, near the limits (if we knew what the limits were). Turbos get more of a workout, increasing the chances of them failing. Watch for oil consumption getting out of hand. It can mean failing turbo bearings. High altitude (high pressure ratio) turbos can last longer in this service, and provide better results. And get used to lag. You thought it was bad, but you had no idea.