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
IReadOnlyList<UlcerIndexResult> results =
  bars.ToUlcerIndex(lookbackPeriods);

Parameters

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

Historical price bars requirements

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

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

Response

IReadOnlyList<UlcerIndexResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• 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

property	type	description
Timestamp	DateTime	Date from evaluated TBar
UlcerIndex	double	Ulcer Index

Utilities

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

See Utilities and helpers for more information.

Chaining

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

// example
var results = bars
    .Use(CandlePart.HL2)
    .ToUlcerIndex(..);

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

// example
var results = bars
    .ToUlcerIndex(..)
    .ToRsi(..);

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

UlcerIndexList ulcerIndexList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  ulcerIndexList.Add(bar);
}

// based on `ICollection<UlcerIndexResult>`
IReadOnlyList<UlcerIndexResult> results = ulcerIndexList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
UlcerIndexHub observer = barHub.ToUlcerIndexHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<UlcerIndexResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.