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 FormulaPrimer #1 Posted : Saturday, June 21, 2014 3:48:46 PM(UTC) Rank: Advanced MemberGroups: Registered, Registered Users, Unverified UsersJoined: 8/12/2005(UTC)Posts: 73 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 theformula 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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 phamvanquoc #2 Posted : Saturday, June 8, 2019 5:24:40 AM(UTC) Rank: NewbieGroups: Registered, Registered Users, SubscribersJoined: 11/12/2018(UTC)Posts: 1Location: HaNoi Good!
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