Ulcer ( int length);

Default values:

length: 14


Returns the Ulcer Index of data for the last length bars. The Ulcer Index is equal to root mean square of price percentage retracement which is calculated using the formula:

Input parameters

Parameter Default value Description
data - Defines data for which the Ulcer Index is found.
length 14 Defines period on which the Ulcer Index is found.


declare lower;
input length = 100;
input risk_free_rate = 0.01;

def somedate = 20000101;
def growth = close - close[length];
def days = DaysFromDate(somedate) - DaysFromDate(somedate)[length];
def annualreturn = growth / close[length] * 365 / days;

plot MartinRatio = (annualreturn - risk_free_rate) * 100 / Ulcer(close, length);

This example calculates the Martin Ratio for an instrument.