Struct UlcerIndexCore 

pub struct UlcerIndexCore { /* private fields */ }

Streaming Ulcer Index over any series of positive values.

Two questions, kept apart:

1. How far below its own high was the series at each point? For every value the running maximum of the last len values up to and including that point is taken, and the percentage below it recorded: 100 * (value - running_max) / running_max, at most zero. A past drawdown is never recomputed against a later high — what it felt like then is what it was, and rewriting it against today’s peak would flatter or worsen history depending on what happened afterwards.
2. How deep and how persistent were those drawdowns? The squared percentages over the last len points are averaged and the root taken.

Squaring is what separates this from an average drawdown: it weighs one deep, long decline more heavily than a series of shallow dips, which is the property the measure exists for.

Unit: percent. Zero means the series never traded below its running high in the window; there is no upper bound.

First value: after 2 * len - 1 observations — len to fill the running-maximum window, then another len - 1 so that every squared drawdown being averaged is itself fully formed.

The series must be positive: a percentage below a non-positive high has no meaning. Such a value is refused rather than folded in, and the state is left untouched.

Works on prices, on an equity curve, or on any other positive series — nothing here is specific to bars.

Implementations

impl UlcerIndexCore

pub fn new(len: usize) -> Self

pub fn warmup_period(&self) -> usize

Observations needed before UlcerIndexCore::update first returns Some.

pub fn update(&mut self, value: f64) -> Option<f64>

pub fn reset(&mut self)

Trait Implementations

impl Clone for UlcerIndexCore

fn clone(&self) -> UlcerIndexCore

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for UlcerIndexCore

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.