Ulcer Index Calculator
Calculate Peter Martin’s Ulcer Index from an entered equity or index path, with every running peak, percentage drawdown and squared contribution visible.
Enter an ordered equity or index path
Use positive values under one consistent valuation and sampling rule, oldest to newest. Every observation, including each running peak, stays in the denominator.
Use positive values without currency symbols. Separate with spaces, commas, semicolons or new lines. Maximum 500.
Entered path drawdown arithmetic
Entered Risk-Adjusted Performance 1.0.0.
| Index | Value | Running peak | Drawdown | Drawdown squared |
|---|
How Ulcer Index is calculated
Drawdown%[i] = 100 × (Value[i] ÷ Peak[i] − 1)
Ulcer Index = √(Σ Drawdown%[i]² ÷ N)
Version 1.0.0 follows Peter Martin’s running-peak percentage-drawdown construction. A new peak has a zero drawdown, while a value below its running peak contributes the square of its percentage drawdown.
The sum of all squared drawdowns is divided by all N entered observations before taking the square root. That preserves both drawdown depth and time spent below a peak within this entered path.
Assumptions and limits
- Enter 3 to 500 positive equity or index values in oldest-to-newest order.
- Mixing deposits, withdrawals, currencies or valuation conventions can distort a path statistic.
- Sampling frequency and the chosen start and end observations can materially change the result.
- Version 1.0.0 uses the complete entered window and has no rolling-period control.
- No quality grade, safe threshold, forecast, signal or recommendation is produced.
Worked example from the audited fixture
The audited fixture contains 16 ordered values from 10,000 to 10,700. Nine observations sit below their running peak, the deepest percentage drawdown is −3.921569%, and the final observation is back at the 10,700 running peak.
Ulcer Index = √(62.754871 ÷ 16 observations) = 1.980449
How to interpret the result
All 16 observations remain in the denominator, including new peaks with zero drawdown. Ulcer Index therefore blends depth with how much of the entered path stays below a running peak; it is not simply the deepest drawdown and does not forecast the next decline.
Frequently asked questions
- Enter 3 to 500 positive equity or index values in oldest-to-newest order under one consistent valuation and sampling rule.
- Each value is divided by its running peak through the same observation, minus one, and multiplied by one hundred.
- Every percentage drawdown is squared, all squares are averaged across N entered observations, and the square root is taken.
- Yes. Every entered observation remains in the N-observation denominator, including a zero at each running peak.
- No. Version 1.0.0 measures one complete manually entered path and has no rolling-period control.
- More or fewer observations can change both the drawdown path and the N-observation root-mean-square calculation.
- Maximum Drawdown isolates one deepest decline; Ulcer Index combines every running-peak percentage drawdown in the entered path.
- No. It describes the entered path only and does not create a safe threshold, forecast, grade, signal or recommendation.
Sources and methodology
- Peter G. Martin — Ulcer Index — Author’s running-peak drawdown and root-mean-square pseudocode, plus frequency cautions.
Compare drawdown and return diagnostics
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Keep one broker account, benchmark, return convention, fee treatment and sampling rule across the entered observations before comparing arithmetic.
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