Indicator: Ulcer Index

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Ulcer Index (UI) is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return ( SD             ). It is a measure of the depth and duration of drawdowns in prices from earlier highs. In other words, it is a measure of volatility , but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period.

The greater a drawdown in value, and the longer it takes to recover to earlier highs, the higher the UI. It measures the "severity" of drawdowns.

More info:
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// @author LazyBear
// Ulcer Index 
// @credits

study(title = "Ulcer Index [LazyBear]", shorttitle="UlcerIndex_LB")
ui=sqrt(sum(pow(r,2), length)/length)
sl=plot(ui, color=ui>cutoff ? red : aqua)
hline(cutoff, color=red)

LazyBear created a custom version of the Ulcer Index for me with background color alerts when the trend direction changes, based on my input.

Thanks, LazyBear!
QuantitativeExhaustion QuantitativeExhaustion
How do you combine two (or more) lengths for an average?

Want to get a Ulcer indicator to look like RSI
+3 Reply
LazyBear QuantitativeExhaustion

Allows 2 lengths and 2 cutoffs to be configured.

+2 Reply
IV is probably the best to benchmark. Ulcer is one of the best volatility price indicators out there for measuring... attempting to find perfect Overbought/Oversold Volatility Indicator(s).
+2 Reply
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