Ulcer and Pain Index and Ratios

版本 1.11.0.0 (4.5 KB) 作者: Matthaeus
Ulcer Index and Ulcer Performance Index (Martin Ratio)
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更新时间 2016/8/18

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This is the well known ulcer index and associated ulcer performance index, used as performance metrics or sometimes as technical indicators.

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Matthaeus (2024). Ulcer and Pain Index and Ratios (https://www.mathworks.com/matlabcentral/fileexchange/52348-ulcer-and-pain-index-and-ratios), MATLAB Central File Exchange. 检索时间: .

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版本 已发布 发行说明
1.11.0.0

Changed numerator (return) to CAGR (assumes input bars are 1 biz day), but gross return or mean daily return could also be used. Also added pain index/ratio, which is a similar indicator. Finally, allowed for output of moving indicator.
1.1.0.0

Revised the title
1.0.0.0