README.md

Ulcer Index (UI)

UI is a measure of downside volatility over the lookback period. More info ...

// usage
IEnumerable<UlcerIndexResult> results = Indicator.GetUlcerIndex(history, lookbackPeriod);  

Parameters

name	type	notes
history	IEnumerable<Quote>	Historical Quotes data should be at any consistent frequency (day, hour, minute, etc). You must supply at least N periods of history.
lookbackPeriod	int	Number of periods (N) for review. Must be greater than 0. Default is 14.

Response

IEnumerable<UlcerIndexResult>

The first N-1 slow periods + signal period will have null values since there's not enough data to calculate. We always return the same number of elements as there are in the historical quotes.

UlcerIndexResult

name	type	notes
Index	int	Sequence of dates
Date	DateTime	Date
UI	decimal	The UlcerIndex value

Example

// fetch historical quotes from your favorite feed, in Quote format
IEnumerable<Quote> history = GetHistoryFromFeed("SPY");

// calculate UI(14)
IEnumerable<UlcerIndexResult> results = Indicator.GetUlcerIndex(history,14);

// use results as needed
DateTime evalDate = DateTime.Parse("12/31/2018");
UlcerIndexResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
Console.WriteLine("UlcerIndex on {0} was ${1}", result.Date, result.UI);

UlcerIndex on 12/31/2018 was 5.73