Studies · Volatility
Ulcer Index
ulcerIndex · Martin's RMS percent drawdown from the rolling peak
Drawn in its own panelReads one column (close here)
Hover the chart to read values · practice data: a seeded random walk with no overnight gaps
What it measures
A volatility measure that only counts the downside. For each bar it takes the percent drop from the highest close in the window, then reports the root-mean-square of those drops. Deep drawdowns count much more than shallow ones.
How traders use it
- Judging how painful it is to hold something: lower is calmer.
- Risk-adjusted performance: dividing excess return by the Ulcer Index (the Martin ratio) is an alternative to the Sharpe ratio that ignores upside volatility.
- Spotting when a stock has entered a sustained drawdown.
Parameters
| Name | Value | Default | Allowed | What it does |
|---|---|---|---|---|
| period | 14 | ≥ 1 usual 5–30 | Window length, in bars. |