Interface VolatilityIndicatorsSingle

ulcerIndex

• ulcerIndex(prices: number[]): number

  Ulcer Index over the full window.

  Definition:

  • For each bar i, compute periodMax = max(prices[0..i]), drawdown% = 100 * (price[i] - periodMax) / periodMax.
  • Return sqrt(mean(square(drawdown%))).

  Parameters

  • prices: number[]

    Slice of prices (length >= 1).

  Returns number

  Ulcer Index (percentage points).

  Throws

  If prices is empty.