|
Thank you Brian,
I will study this and the links you provided.
have a great weekend,
herman
For tips on developing Real-Time Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Saturday, April 5, 2008, 7:40:56 PM, you wrote:
> 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
> ------------------------------------
> Please note that this group is for discussion between users only.
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
> <*> To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
> <*> Your email settings:
> Individual Email | Traditional
> <*> To change settings online go to:
> http://groups.yahoo.com/group/amibroker/join
> (Yahoo! ID required)
> <*> To change settings via email:
> mailto:amibroker-digest@xxxxxxxxxxxxxxx
> mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
> <*> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <*> Your use of Yahoo! Groups is subject to:
> http://docs.yahoo.com/info/terms/
__._,_.___
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
![]()
__,_._,___
|