Looking for Ulcer Index Source Code

Viewing 9 posts - 1 through 9 (of 9 total)
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    Posts
  • 09/29/2020 at 9:42 PM #145898 quote
    flightclock91
    Participant
    Junior

    Hello, I am looking for the PRT  Ulcer Index Source Code?

    Appreciate any help thanks so much!

    09/29/2020 at 10:29 PM #145905 quote
    robertogozzi
    Moderator
    Master

    There’s a strategy based on Ulcer Index at https://www.prorealcode.com/topic/ulcer-index-system/

    09/30/2020 at 7:35 PM #146007 quote
    flightclock91
    Participant
    Junior

    Hi,

    many thanks for the reply I used your code to build the ulcer index but for some reason I cant get the Ulcer Index to match the PRT one there are slight differences

    09/30/2020 at 9:23 PM #146019 quote
    flightclock91
    Participant
    Junior

    Here is a pic of the differences any ideas how to get them the same?

    Thanks a lot

    Ulcer-Index2.png Ulcer-Index2.png
    10/01/2020 at 8:39 AM #146049 quote
    juanj
    Participant
    Master

    Try this (I coded this from memory so didn’t check syntax or result in PRT):

    N = 14
PD = ((Close - highest[N](close))/highest[N](close))*100
SquaredAverage = sqrt(summation[N](PD)/N)

UlcerIndex = sqrt(SquaredAverage)
    10/01/2020 at 10:23 AM #146068 quote
    robertogozzi
    Moderator
    Master

    @juanj

    Line 3 should read:

    SquaredAverage  = (summation[N](sqr(PD))/N)

    to replicate exactly PRT’s.

    10/01/2020 at 12:10 PM #146078 quote
    juanj
    Participant
    Master

    Thanks Robertogozzi, here is the corrected assembled code @flightclock91 can use:

    N = 14
PD = ((Close - highest[N](close))/highest[N](close))*100
SquaredAverage  = (summation[N](sqr(PD))/N)
 
UlcerIndex = sqrt(SquaredAverage)
    10/01/2020 at 3:44 PM #146099 quote
    flightclock91
    Participant
    Junior

    Thank you so much robertogozzi and juanj 

    You guys are legends have been stuck on this for a while

    03/12/2021 at 1:57 PM #163933 quote
    Mattias
    Participant
    Senior

    When used in a strategy, I couldn’t get this to work, I got error message probacktest.error.’sqr’. It worked fine in an indicator though. However, changing sqr to square did the trick.

    SquaredAverage  = (summation[N](square(PD))/N)
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Looking for Ulcer Index Source Code


ProBuilder: Indicators & Custom Tools

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flightclock91 @flightclock91 Participant
Summary

This topic contains 8 replies,
has 4 voices, and was last updated by Mattias
4 years, 11 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 09/29/2020
Status: Active
Attachments: 1 files
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