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Newby needs help.
I am interested in code that allows me to look at Ulcer Index and
Ulcer Performance Index for individual issues. Marcin was good enough
to point me to code written by Ken Close and then modified by TJ but
I still cannot get it to work. When run in Explore I'm told
that "variable Buy is used without being initialized".
Is it enough to place "Buy = 1" as first line in code or does this
distort results?
Here's code
Filter = Buy OR Sell;
Eq=Equity(0,0);
Per = 252;
Per2 = 40;
Cdd = (HHV(Eq,Per2) - Eq)/HHV(Eq,Per2);
MaxCdd = HHV(Cdd,252)*100;
R2 = (Sum(Cdd*Cdd,Per))/Per;
UI = 100*sqrt(R2);
Gain = Eq/Ref(Eq,-Per);
ANN = 100 * ((Gain^(252/Per)) - 1);
UPI = (ANN - 0.054)/UI;
AddColumn(MaxCdd,"MaxCdd",1.2);
AddColumn(ANN,"ANN",1.2);
AddColumn(UPI,"UPI",1.3);
AddColumn(ANN/MaxCdd,"ANN/dd",1.3);
Thanks
Dave
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