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Ulcer Index
Source: https://fxcodebase.com/code/viewtopic.php?f=48&t=66088
Forum: 48 · Topic 66088 · 1 post(s)
Ulcer Index
Alexander.Gettinger · Wed May 02, 2018 2:54 pm
Developed by Peter Martin and Byron McCann in 1987, the Ulcer Index is a volatility indicator that measures downside risk. It’s designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Many consider the Ulcer Index superior to the standard deviation and other measures of risk.
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