Ulcer-index metric

The ulcer index measures the depth and duration of drawdowns through their root mean square. Lower values are better.

import numpy as np

from backtide.metrics import BaseMetric


class UlcerIndex(BaseMetric):
    """Return the root mean square percentage drawdown."""

    percentage = True
    greater_is_better = False

    def compute(self, equity_curve, trades):
        del trades
        equity = np.asarray(equity_curve["equity"], dtype=float)
        if equity.size == 0:
            return 0.0
        peaks = np.maximum.accumulate(equity)
        drawdowns = np.divide(equity, peaks, out=np.ones_like(equity), where=peaks != 0) - 1.0
        return float(np.sqrt(np.mean(drawdowns**2)))


UlcerIndex()

The returned fraction is displayed as a percentage because percentage is True.