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Tomasz:
I'm not an Ulcer Performance Index expert by
any means, but your readme file was confusing to me. It defines it as: Ulcer
Performance Index - (Annual profit - Tresury notes profit)/Ulcer Index'>Ulcer
Performance Index. What had me screwed up was the inequality at the end, which
didn't make sense. So, I had to look it up. May I suggest re-expressing it as
(Annualized Profit or CAR (%) - risk-free Treasury Notes Return (%))/Ulcer
Index. In other words, omit the inequality after the expression. Also, in your
Sharpe ratio definition, you wrote that you hard coded the risk-free return at
5% whereas in the Ulcer Performance Index, you used 5.4%. Shouldn't they both be
the same for consistency? Sorry for being pedantic. Finally, do you ever plan to
include the calculation of expectancy in your output report? Thanks, and thank
you for the great new betas.
Al Venosa
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