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Ulcer Performance Index pwr function overflow problem
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Joined: 8/12/2005(UTC)
Posts: 73
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Years ago I found this formula for the Ulcer Performance Index. I forgot who original originally posted this. I get a power function overflow. Can anyone fix the problem or get the formula to work?
====================================================== Code:{UI = Ulcer Index Formula for MetaStock}
Period:=10; {set this to the number of periods to calculate in the formula}
Sqrt(Sum(Power(100*( HHV(CLOSE,Period) - CLOSE )/(HHV(CLOSE,
Period)),2),Period)/Period);
---
The Ulcer Performance Index (UPI) is a risk measure of downside volatility
in relation to
performance. The higher the number the better the risk-adjusted performance.
The UPI is described in Martin and McCann's book The Investor's Guide to
Fidelity Mutual Funds.
The statistic measures how well the investment performs versus a risk-free
investment
such as a money market fund.
You may calculate UPI as follows:
Code:
{UPI = (annual return - 5.4)/UI
5.4 = the average annualized return of a money market fund since September
1, 1988
UI = Ulcer Index for the period.}
{UPI = Ulcer Performance Index Formula for MetaStock}
Period:=100; {set this to the number of periods to calculate in the formula}
Fml("UI")-((Power((CLOSE-Ref(CLOSE,-Period))/Ref(CLOSE,-Period)),(365/period
))-1)*100-5.4)/Fml("UI")
Maximum Drawdown = Largest Sustained Loss of Capital
To determine Maximum Drawdown, locate the largest drop from a high point to
a subsequent low point in your capital stream. The losses need not be
concurrent. Think of Maximum Drawdown as the minimum capital required not to
go broke over the course of your wagers.
I use it in portfolio management to calculate Sterling Ratio of theportfolio and I do not use it for stocks."
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Ulcer Performance Index pwr function overflow problem
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