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Herman
We seem to be 'dry' on UPI!
Here's a start:
http://en.wikipedia.org/wiki/Ulcer_Index
Calculation
The index is based on a given past period of N days. Working from
oldest to newest a highest price (highest closing price) seen so-far
is maintained, and any close below that is a retracement, expressed
as a percentage
Ri = 100 * ((pricei - maxprice)/maxprice)
For example if the high so far is $5.00 then a price of $4.50 is a
retracement of -10%. The first R is always 0, there being no drawdown
from a single price. The quadratic mean (or root mean square) of
these values is taken, similar to a standard deviation calculation.
Ulcer = sqrt((R1^2 + R2^2 + ....RN^2)/N)
The squares mean it doesn't matter if the R values are expressed as
positives or negatives, both come out as a positive Ulcer Index.
The calculation is relatively immune to the sampling rate used. It
gives similar results when calculated on weekly prices as it does on
daily prices.
UPI = (Return - RiskFreeReturn)/UI
The creator of UI, Peter Martin, has some comments here:
http://www.tangotools.com/ui/ui.htm
brian_z
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