ulcerindex: Calculate the ulcer index of equity curves

In jeanmarcgp/xtsanalytics: A library of functions to do advanced analytics of time series data (xts matrices).

Description

Calculates the ulcer index of one or multiple equity curves provided as an xts matrix.

Usage

ulcerindex(data, type = "ec", on = "days", DDthresh = 0)

Arguments

data	An xts matrix of at least one equity curve.
type	Specifies whether returns ("rets") or an equity curve ("ec") is provided for the data.
on	Specifies whether the data matrix is sampled on "days", "weeks", "months", "quarters" or "years".
DDthresh	The drawdown minimum threshold for each period's return to be considered in the ulcer index calculation. In other words, drawdowns smaller than this number do not count. Default is zero and may be expressed as either a positive or negative number.

Details

The ulcer index is implemented according to the formula described in the Wikipedia article "Ulcer Index".

Value

Returns the Ulcer Performance Index for each equity curve provided.

jeanmarcgp/xtsanalytics documentation built on May 19, 2019, 12:38 a.m.