Ulcer Index

Downside volatility measure by Peter Martin. Root mean square of percentage drawdowns from the highest close in the window, penalizing both the depth and the duration of declines — upside moves never increase it.

Live Demo

Pick a market regime to see how Ulcer Index(14) reacts:

Usage

import {UlcerIndex} from 'trading-signals';
 
// UlcerIndex yields results once 14 inputs have been added
const ulcerIndex = new UlcerIndex(14);