Click here to Login








Ulcer Performance Index

by Tom Huggens, 2531 days ago
Share |






The Ulcer Performance Index is a measure of investment or trading strategy performance and is constructed by dividing the excess return by the Ulcer Index. The calculation is almost the same as in the Sharpe Ratio, which is computed by dividing the excess return (Total strategy return minus the risk free rate) by the strategy or investment standard deviation.

In the Ulcer Performance Index, the Ulcer Index, which is a measure of risk (It measures the duration and depth of drawdowns), replaces the standard deviation. Measuring investment performance using the Ulcer Index has many advantages. First, unlike the standard deviation the Ulcer Index calculates downward changes only (The bad risk or the risk that really matter to traders and investors). Second, the Ulcer Index calculation takes into account the strings of losses that may result in significant drawdowns.

The Ulcer Performance Index can be found in the simulator report. You can also use the current technical analysis indicator to create trading rules based on the Ulcer Performance Index of individual securities.

Example:
rule = UlcerPI(5, 250) > 2;

In the first parameter, I have specified the risk-free rate, while in the second parameter I have set the look back period or the number of trading bars that is used to calculate the total return and the Ulcer Index.


Share This ->
Share |


You have to log in to bookmark this object
What is this?
Additional Information




Type: Trading Indicator

Object ID: 842


Country:
All

Market: All

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects
Show All
Chandelier Exits (by Brian Brown, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 37 Notes Report an item
Covariance (by Stefan Kroscen, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 63 Notes Report an item
Combination Element from Lexicographical Index (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 32 Notes Report an item
Alpha/Jensen index of a Security (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 19 Notes Report an item
Ulcer Index (by Tom Huggens, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 20 Notes Report an item
Lunar Phase Indicator - New and Full Moon Cycles (by The trader, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 17 Notes Report an item
Stock/ETF Rotational System Metrics (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 70 Notes Report an item
Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

Automated Parsing in QS Trading Software

How to Create a List of Ticker Symbols

QuantShare Version 2.1.0 - Trading Software

How to create a ratio indicator using QS Trading Software

Screening with the composite indicators

Synchronize Buy/Sell List of Rules in the Trading System Optimizer

QS Trading Software: Global Script

New Ranking and Percentile Composite Functions

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2017 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.