ulcer_index: Ulcer index
In maxto/qapi: Low-level functions for quantitative analysis
ulcer_index R Documentation
Ulcer index
Description
RUlcer Index of Peter G. Martin (1987). The impact of long, deep drawdowns will have significant impact because the underperformance since the last peak is squared
Usage
ulcer_index(x, is_geom = TRUE)
Arguments
x
asset returns
is_geom
TRUE geometric, FALSE simple
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
ulcer_index(xx)
maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.
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| ulcer_index | R Documentation |
Ulcer index
Description
RUlcer Index of Peter G. Martin (1987). The impact of long, deep drawdowns will have significant impact because the underperformance since the last peak is squared
Usage
ulcer_index(x, is_geom = TRUE)
Arguments
x |
asset returns |
is_geom |
TRUE geometric, FALSE simple |
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
ulcer_index(xx)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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