Ulcer index
Measures the depth and the duration of drawdowns together.
Formula
Ulcer index = √(mean of squared drawdown %)
How to read it
Lower is better. Squaring punishes deep drawdowns, and averaging over every day punishes long ones.
How to use it
Ranks strategies by sustained pain rather than single shocks.
In Kereon
Strategies. Over every bar of the backtest's drawdown series, in percent.
Also called: ulcer index, ulcer.