mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-29 10:07:43 +00:00
Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
48 lines
1.8 KiB
Plaintext
48 lines
1.8 KiB
Plaintext
// The MIT License (MIT)
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Ulcer Index (UI)", shorttitle="UI", format=format.price, precision=2, overlay=false)
|
|
|
|
//@function Calculates the Ulcer Index (UI).
|
|
//@param src The source series. Default is `close`.
|
|
//@param period The lookback period. Default is 14.
|
|
//@returns float The Ulcer Index value.
|
|
ui(series float src, int period) =>
|
|
if period <= 0
|
|
runtime.error("Period must be greater than 0")
|
|
var deque = array.new_int(0)
|
|
var src_buffer = array.new_float(period, na)
|
|
var int current_index = 0
|
|
float current_val = nz(src)
|
|
array.set(src_buffer, current_index, current_val)
|
|
while array.size(deque) > 0 and array.get(deque, 0) <= bar_index - period
|
|
array.shift(deque)
|
|
while array.size(deque) > 0
|
|
int last_index_in_deque = array.get(deque, array.size(deque) - 1)
|
|
int buffer_lookup_index = last_index_in_deque % period
|
|
if array.get(src_buffer, buffer_lookup_index) <= current_val
|
|
array.pop(deque)
|
|
else
|
|
break
|
|
array.push(deque, bar_index)
|
|
int highest_index = array.get(deque, 0)
|
|
int highest_buffer_index = highest_index % period
|
|
highestClose = array.get(src_buffer, highest_buffer_index)
|
|
current_index := (current_index + 1) % period
|
|
percentDrawdown = ((src - highestClose) / highestClose) * 100.0
|
|
squaredDrawdown = math.pow(percentDrawdown, 2)
|
|
sumSquaredDrawdown = math.sum(squaredDrawdown, period)
|
|
averageSquaredDrawdown = sumSquaredDrawdown / period
|
|
ui = math.sqrt(averageSquaredDrawdown)
|
|
ui
|
|
|
|
// Inputs
|
|
i_src_ui = input.source(close, "Source")
|
|
i_period_ui = input.int(14, "Period", minval=1, tooltip="Lookback period for calculating the Ulcer Index.")
|
|
|
|
// Calculation
|
|
uiValue = ui(i_src_ui, i_period_ui)
|
|
|
|
// Plot
|
|
plot(uiValue, "UI", color=color.yellow, linewidth=2)
|