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Volatility

Ulcer Index

UI

Calculates the root mean square of percentage drawdowns from the rolling peak over N periods. Unlike standard deviation, it only penalizes downside moves. Higher values mean more severe or prolonged drawdowns—more ‘stomach pain’ for the holder.

Tips

Use Ulcer Index to compare two strategies with similar returns: the one with the lower UI is less stressful to hold
A rising Ulcer Index during a rally warns that the price is making smaller new highs—the uptrend may be losing strength

Parameters

Period
2 - 100