Understanding Ulcer Index

[nnwakaihe]

I'm trying to calculate Ulcer Index by hand using the equations provided on the Statistics Definition page, but I'm not getting the same values.
The trade performance summary is showing an ulcer of 0.01, but calculated by hand using the equation I'm getting 3775.

[NinjaTrader_ChelseaB]

Hello nnwakaihe,

Thanks for your note about this.

Let me do some research and I will follow up. I appreciate your patience.

[NinjaTrader_ChelseaB]

Hello nnwakaihe,

SQRT(Summation((cumulative currency profit - maximum realized currency profit) ^2 ) / Total # of trades)

May I see the math work you are doing to calculate this by hand?

Jim has a similar script demonstrating calculating the R2.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/104050-trade-performance-statistics?p=806953#post806953

[nnwakaihe]

Chelsea B,

I am doing the math with excel. Maybe I am mixing up what each variable means.

Please correct me if I am wrong:
cumulative currency profit is the cumulative profit after each trade
maximum realized currency profit is the max profit realized throughout a given set of trades.

[NinjaTrader_Jim]

Hello nnwakaihe,

This is Jim responding on behalf of Chelsea who is out of the office at this time.

Cumulative Currency Profit is the cumulative profit in currency after each trade, yes.

Maximum Realized Currency Profit is the maximum profit in currency seen from all trades.

Summary Display in the Strategy Analyzer shows this value as a percentage (as that is how it is most meaningful,) regardless if you have Currency, Pips, Ticks, Points, selected in the Strategy Analyzer's Display Selector. If you want to view an overall result for Currency, Pips, Ticks, Points, you may view the Analysis Display, and select a Period of Yearly, and then add Ulcer to the grid by right clicking and selecting Properties. (This assumes the backtest was less than 1 year in length.)

Cumulative Percent Profit can be calculated as: (1.0 + [Cumulative Percent Profit]) * (1.0 + [Profit as Percent from trade]) - 1;

Maximum Realized Percent Profit can be calculated as the maximum [Cumulative Percent Profit]] of all trades.

This detail should help to follow the Statistics Definitions formula from the Help Guide to get the same result the Strategy Analyzer displays.

[nnwakaihe]

Jim/Chelsea,

Attached are the images of my excel results. Am I just horrible at math???

[NinjaTrader_ChelseaB]

Hello nnwakaihe,

I don't want you to think I'm ignoring you. I'm just doing the math on each trade in a trade collection for the SampleMACrossover and it's busy work that takes some time. I'm also having to be mindful of response time with other inquiries.

i.e. i'm at the third trade out of 14.

(1.0 + [Cumulative Percent Profit]) * (1.0 + [Profit as Percent from trade]) - 1

Trade number Market pos. Qty Entry price Exit price Entry time Exit time Entry name Exit name Profit Cum. net profit
1 Short 1 14633.25 14659.50 10/11/2021 9:00:00 PM 10/12/2021 12:00:00 PM Sell short Close position -0.18% -0.18%

(1.0 + 0) * (1.0 + -.0018) - 1
1 * .9982 - 1
cumProfitPercent: -0.0018
topPercent: -0.0018

( (1 + -0.0018) / (1 + -0.0018) - 1) ^ 2
( 0.9982 / 0.9982 - 1) ^ 2
performancePercentUlcer: 0

(0 / 1) ^ 1/2 (sqr root)
0


Trade number Market pos. Qty Entry price Exit price Entry time Exit time Entry name Exit name Profit Cum. net profit
2 Long 1 14659.50 14597.25 10/12/2021 12:00:00 PM 10/12/2021 3:00:00 PM Buy Exit on session close -0.42% -0.60%

(1.0 + -0.0018) * (1.0 + -.0042) - 1
.9982 * .9958 - 1
cumProfitPercent: -0.00599244
topPercent: -0.0018

( (1 + -0.00599244) / (1 + -0.0018) - 1) ^ 2
( 0.99400756 / 0.9982 - 1) ^ 2
performancePercentUlcer: 0.99161764

(0.99161764 / 1) ^ 1/2 (sqr root)
0.9958


Trade number Market pos. Qty Entry price Exit price Entry time Exit time Entry name Exit name Profit Cum. net profit
3 Short 1 14608.50 14713.00 10/12/2021 6:00:00 PM 10/13/2021 7:00:00 AM Sell short Close position -0.72% -1.31%

(1.0 + -0.00599244) * (1.0 + -.0072) - 1
0.99400756 * 0.9928 - 1
cumProfitPercent: -0.010167271752
topPercent: -0.0018

( (1 + -0.010167271752) / (1 + -0.0018) - 1) ^ 2
( 0.989832728248 / 0.9982 - 1) ^ 2
performancePercentUlcer: 0.0000702639591696

(0.0000702639591696 / 1) ^ 1/2 (sqr root)
0.9958

[NinjaTrader_ChelseaB]

Hello nnwakaihe,

Thanks for your patience.

Our lead got some inside help from our development that can provide some output to see these calculations.

Unfortunately, I cannot provide the code to produce this as it is part of the proprietary NinjaTrader core code, but the output does allow you to track the progression of the values.

I can say that the trade profit in percent, needed for these calculations, can be retrieved from the SystemPerformance collection.
SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count-1].ProfitPoints

https://ninjatrader.com/support/helpGuides/nt8/systemperformance.htm

https://ninjatrader.com/support/helpGuides/nt8/trade.htm

Attached is the full output saved to a text file.

The key focus is the last trade:

Trades: 12
Cumulative percent profit: -0.0162785218688896 Percent profit from trade: 0.000203685134118827
(1.0 + Cumulative percent profit) * (1.0 + Percent profit from trade) - 1: -0.016078152427681 (new Cumulative percent profit)
Maximum realized percent profit : 0.00210536466201661
(1.0 + Cumulative percent profit) / (1.0 + Maximum realized percent profit) - 1) ^ 2: 0.00179784142525246
SQRT((1.0 + Cumulative percent profit) / (1.0 + Maximum realized percent profit) - 1) ^ 2 / trades): 0.0122401028905413

Also attached is a screenshot of the Strategy Analyzer summary. Note that the Ulcer index is rounded in the Analyzer.

[nnwakaihe]

Chelsea B.

Thanks for the info!