Ulcer index
Depth and duration of every fall, in one number.
In the demo portfolio
12.5
How it is computed here
The root mean square of the drawdown at every point of the series — so a long stretch under water weighs heavily and one sharp recovered dip barely registers.
Worked example
- Every day's distance below the running high is squared, the squares are averaged, and the square root taken.
- Deep and long falls weigh most; a quick dip that recovers barely moves it.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
Unlike maximum drawdown it is not a single day, which makes it far more stable. It has no natural scale: it is for comparing two portfolios, not for reading alone.