Ulcer and Pain Index and Ratios
Updated 18 Aug 2016
This is the well known ulcer index and associated ulcer performance index, used as performance metrics or sometimes as technical indicators.
Matthaeus (2023). Ulcer and Pain Index and Ratios (https://www.mathworks.com/matlabcentral/fileexchange/52348-ulcer-and-pain-index-and-ratios), MATLAB Central File Exchange. Retrieved .
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Changed numerator (return) to CAGR (assumes input bars are 1 biz day), but gross return or mean daily return could also be used. Also added pain index/ratio, which is a similar indicator. Finally, allowed for output of moving indicator.
Revised the title