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DBokhart

New User

Posts: 3

Joined: 10/11/2012
Location: Dallas

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Subject : RE: What's your favorite risk-return measure?
Posted : 4/10/2014 7:31 PM
Post #29728 - In reply to #29721

Steve I prefer Ulcer Index and Ulcer Performance Index, similar to Sharpe ratio but it only measures the top half of the standard deviation ---essentially. Things that go up but not down, obviously everything goes down sometime, but it measures how close it comes to the ideal. The problem with just the UI is that a bank CD is perfect but returns are low, so you put in returns also to get the UPI as a measure of persistent moderate to high growth.

Ulcer = \sqrt { R_1^2 + R_2^2 + \cdots R_N^2 \over N }

UPI = { Return - RiskFreeReturn \over ulcer \, index }


http://en.wikipedia.org/wiki/Ulcer_index

After Peter Martin wrote his book in 1988 Fast TRack Software was developed to use it to trade Fidelity select funds as I understand it.
It is widely used in ETF and mutual fund trading. Its slow, but a great measure of longer term persistency.

http://www.fasttrack.net/newhelp/ulcer.asp





http://stockcharts.com/help/doku.php?id=chart_school:technical_indicators:ulcer_index

http://www.tangotools.com/ui/ui.htm

I have the .pdf of Dr Gary Elsner's article and S & C magazine from about 10 years ago if you would like it, he's probably the current expert on it.
This article has a better method of calculating than the original Peter Martin version.

Ed has committed to putting it into OT when he gets time, (hint Ed)

And Thanks for all the work you have done on OV.

email me at dbokhart@aol.com if you would like a copy of the .pdf




Deleting message 29728 : RE: What's your favorite risk-return measure?


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