Ulcer ( int length);
Default values:
length: 14
Description
Returns the Ulcer Index of data for the last length bars. The Ulcer Index is equal to root mean square of price percentage retracement which is calculated using the formula:
Input parameters
| Parameter | Default value | Description |
|---|---|---|
| data | - | Defines data for which the Ulcer Index is found. |
| length | 14 | Defines period on which the Ulcer Index is found. |
Example
declare lower;
input length = 100;
input risk_free_rate = 0.01;
def somedate = 20000101;
def growth = close - close[length];
def days = DaysFromDate(somedate) - DaysFromDate(somedate)[length];
def annualreturn = growth / close[length] * 365 / days;
plot MartinRatio = (annualreturn - risk_free_rate) * 100 / Ulcer(close, length);
This example calculates the Martin Ratio for an instrument.