| mully7 |
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Gold User, Member, TeleChart
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| Registered User |
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| Unsure |
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| Monday, January 2, 2006 |
| Thursday, January 23, 2020 4:46:30 PM |
23
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Your first formula definitely has the look of what I was seeking. Thanks again.
Here is a little more clarity in the words of the original creator:
"The Ulcer Index measures the depth and duration of percentage drawdowns in price from earlier highs.
Technically, it is the square root of the mean of the squared percentage drops in value." Peter Martin.
It was first described in The Investor's Guide to Fidelity Funds: Winning Strategies for Mutual Fund Investors, by Peter
Martin & Byron McCann originally published by John Wiley & Sons in 1989.
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It SEEMS to look right on the chart, but I am not sure from your comments if you would have created it differently. This further comment below may be useful:
To measure downside risk, the Ulcer Index computes the percentage retracement from the security's highest Closing price. The drawdown is computed on a daily basis and is averaged over time. Unlike Standard Deviation, the calculated value of Ulcer Index is essentially the same regardless of the time interval per data point.
Also, this description as posted above...
Ulcer Index = Square root of sum of squared retracements divided by number of bars.
Nevertheless, it seems to look right; can you comment on whether you are happy with it based on the information in this post?
Thanks again
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A chart diplayed on Investopedia shows this indicatior in TradeStation as:
Ulcer Index (Close,14,5)
Not being familiar with TradeStation, I believe they are suggesting a 14 period, with a smoothing of 5???
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or better yet this:
Bearish Patterns
Abandoned Baby
ABS(C2-O2)>(H2-L2)*0.50 AND
C2>O2 AND
ABS(C1-O1)<= (H1-L1)*0.05 AND
((C1+O1)/2)-L1 >= (H1-L1)*0.40 AND
((C1+O1)/2)-L1 <= (H1-L1)*0.60 AND
L1>H2 AND
C<O AND
H<L1 AND
O>C2 AND
(L>O2 OR C<L2)
*Sort in descending order*
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or more correctly this,
Bearish Patterns
Abandoned Baby
Close 2days ago as % of Open 2days ago (100.01 to MAX)
Range 2days ago 1as % of Average (100.01 to MAX)
Low 1day ago as % of High 2days Ago (100.01 to MAX)
Body Center as % of Candle 1day ago (40 to 60)
Body as % of Candle 1day ago (MIN to 10)
Gappers (gap down)
Close as % of Open (MIN to 99.99)
*Sort in descending order*
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the candle you describe is a bullish abandoned baby, I founfd this in a search:
Bullish Patterns
Abandoned Baby
C2<O2 AND
ABS(C2-O2)>(H2-L2)*0.50 AND
H1>L2 AND
(C1+O1)/2>=((H1+L1)/2)*0.40 AND
(C1+O1)/2<=((H1+L1)/2)*0.60 AND
ABS(C1-O1)<= (H1-L1)*10 AND
L>H1 AND
C<O
*Sort in ascending order*
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On Wednesday, May 25, 2005 12:38:07 PM - TomG18 wrote:
[(C-C1)/C*(C<C1)+(C1-C2)/C1*(C1<C2)]/ABS[(C<C1)+(C1<C2)] is the formula for a 2 day Ulcer Index.
yet when I pasted the above I received the error: "Error: The formula must not return a boolean value for a Formula Indicator"
An internet search found some information; can you make sense of any of this? I think I would be looking for more than 2 days of data...
The Ulcer Index (UI) is a measure of volatility over time. Lower UI values imply less daily volatility in an investment vehicle or strategy.
To compute the Ulcer Index you:
1. Square all the daily drawdowns of the vehicle or strategy.
2. Sum all the daily squared retracements.
3. UI = the square-root of the sum.
Or;
Ulcer Index = Square root of sum of squared retracements divided by number of bars.
Or;
Sqrt(Sum(Power(100*( HHV(CLOSE,Period) - CLOSE )/(HHV(CLOSE, Period)),2),Period)/Period)
Or;
The algorithm for computing UI is simple, and can be seen in the pseudo-code fragment below:
SumSq = 0
MaxValue = 0
for T = 1 to NumOfPeriods do
if Value[T] > MaxValue then MaxValue = Value[T]
else SumSq = SumSq + sqr(100 * ((Value[T] / MaxValue) - 1))
UI = sqrt(SumSq / NumOfPeriods)
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Thanks to all,
I was getting lost on the difference between WatchList and watchlist or list as in ...
"Personal WatchList" (W & L in CAPS)
"EasyScan" watchlist or list.
sometimes it's the smallest things....
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OK:
I thought of one reason I might want to create a WatchList from an existing EasyScan list: If I have an EasyScan today, and I don't want those results to be altered when the EasyScan is rerun after an update ( say I want to monitor those entries for several more days) I could create a Personal WatchList of that EasyScan. (select new Watchlist- "start with components of the active Watchlist") That Personal WatchList would remain unaltered while the EasyScan results might be changing after each update.
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thanks guys,
I'm going to go over this closely over the weekend 'til I got it squared.
Probably the semantics confused me when:
"WatchList is a group of tickers"
"EasyScan is a set of criteria that generate a WatchList"
also I need to wrap my head around:
A new Personal WatchList can be created from an existing EasyScan
A new EasyScan can be created from an existing personal WatchList
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