// ULCER INDEX (UI)
public static IEnumerable <UlcerIndexResult> GetUlcerIndex <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 14)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateUlcer(history, lookbackPeriod);
// initialize
List <UlcerIndexResult> results = new List <UlcerIndexResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
UlcerIndexResult result = new UlcerIndexResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
double?sumSquared = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
int dIndex = p + 1;
decimal maxClose = 0;
for (int q = index - lookbackPeriod; q < dIndex; q++)
{
TQuote dd = historyList[q];
if (dd.Close > maxClose)
{
maxClose = dd.Close;
}
}
decimal?percentDrawdown = (maxClose == 0) ? null
: 100 * (d.Close - maxClose) / maxClose;
sumSquared += (double?)(percentDrawdown * percentDrawdown);
}
result.UI = (sumSquared == null) ? null
: (decimal)Math.Sqrt((double)sumSquared / lookbackPeriod);
}
results.Add(result);
}
return(results);
}
// ULCER INDEX (UI)
public static IEnumerable <UlcerIndexResult> GetUlcerIndex(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// exceptions
int qtyHistory = history.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Ulcer Index. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize
List <UlcerIndexResult> results = new List <UlcerIndexResult>();
// preliminary data
foreach (Quote h in history)
{
UlcerIndexResult result = new UlcerIndexResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index);
double sumSquared = 0;
foreach (Quote p in period)
{
decimal maxClose = period
.Where(x => x.Index <= p.Index)
.Select(x => x.Close)
.Max();
decimal percentDrawdown = 100 * (p.Close - maxClose) / maxClose;
sumSquared += (double)(percentDrawdown * percentDrawdown);
}
result.UI = (decimal)Math.Sqrt(sumSquared / lookbackPeriod);
}
results.Add(result);
}
return(results);
}
// ULCER INDEX (UI)
public static IEnumerable <UlcerIndexResult> GetUlcerIndex(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
Cleaners.PrepareHistory(history);
// validate parameters
ValidateUlcer(history, lookbackPeriod);
// initialize
List <Quote> historyList = history.ToList();
List <UlcerIndexResult> results = new List <UlcerIndexResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
UlcerIndexResult result = new UlcerIndexResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
List <Quote> period = historyList
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.ToList();
double sumSquared = 0;
foreach (Quote p in period)
{
decimal maxClose = period
.Where(x => x.Index <= p.Index)
.Select(x => x.Close)
.Max();
decimal percentDrawdown = 100 * (p.Close - maxClose) / maxClose;
sumSquared += (double)(percentDrawdown * percentDrawdown);
}
result.UI = (decimal)Math.Sqrt(sumSquared / lookbackPeriod);
}
results.Add(result);
}
return(results);
}
// ULCER INDEX (UI)
public static IEnumerable <UlcerIndexResult> GetUlcerIndex(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// validate parameters
ValidateUlcer(history, lookbackPeriod);
// initialize
List <UlcerIndexResult> results = new List <UlcerIndexResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
UlcerIndexResult result = new UlcerIndexResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
double sumSquared = 0;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
decimal maxClose = 0;
for (int q = (int)h.Index - lookbackPeriod; q < d.Index; q++)
{
Quote dd = historyList[q];
if (dd.Close > maxClose)
{
maxClose = dd.Close;
}
}
decimal percentDrawdown = 100 * (d.Close - maxClose) / maxClose;
sumSquared += (double)(percentDrawdown * percentDrawdown);
}
result.UI = (decimal)Math.Sqrt(sumSquared / lookbackPeriod);
}
results.Add(result);
}
return(results);
}
// ULCER INDEX (UI)
public static IEnumerable <UlcerIndexResult> GetUlcerIndex(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize
List <UlcerIndexResult> results = new List <UlcerIndexResult>();
// preliminary data
foreach (Quote h in history)
{
UlcerIndexResult result = new UlcerIndexResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index);
double sumSquared = 0;
foreach (Quote p in period)
{
decimal maxClose = period
.Where(x => x.Index <= p.Index)
.Select(x => x.Close)
.Max();
decimal percentDrawdown = 100 * (p.Close - maxClose) / maxClose;
sumSquared += (double)(percentDrawdown * percentDrawdown);
}
result.UI = (decimal)Math.Sqrt(sumSquared / lookbackPeriod);
}
results.Add(result);
}
return(results);
}