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Ulcer Index (UI)

Created by Peter Martin, the Ulcer Index is a measure of downside price volatility over a lookback window. Often called the “heart attack” score, it measures the amount of pain seen from drawdowns in financial market prices and portfolio value. [Discuss] 💬

// C# usage syntax
IEnumerable<UlcerIndexResult> results =
  quotes.GetUlcerIndex(lookbackPeriods);

Parameters

lookbackPeriods int - Number of periods (N) for review. Must be greater than 0. Default is 14.

Historical quotes requirements

You must have at least N periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<UlcerIndexResult>

• This method returns a time series of all available indicator values for the quotes provided.
• It always returns the same number of elements as there are in the historical quotes.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null values since there’s not enough data to calculate.

UlcerIndexResult

Date DateTime - Date from evaluated TQuote

UI double - Ulcer Index

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(qty)

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = quotes
    .Use(CandlePart.HL2)
    .GetAlma(..);

Results can be further processed on UI with additional chain-enabled indicators.

// example
var results = quotes
    .GetAlma(..)
    .GetRsi(..);