Looking for Ulcer Index Source Code

flightclock91 · 2020-09-29T20:42:28+00:00

Hello, I am looking for the PRT Ulcer Index Source Code? Appreciate any help thanks so much!

Viewing 9 posts - 1 through 9 (of 9 total)

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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

Legend

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

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

Legend
@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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