Description Usage Arguments Details Value
Calculates the ulcer index of one or multiple equity curves provided as an xts matrix.
1 | ulcerindex(data, type = "ec", on = "days", DDthresh = 0)
|
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. |
The ulcer index is implemented according to the formula described in the Wikipedia article "Ulcer Index".
Returns the Ulcer Performance Index for each equity curve provided.
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