Dual Ulcer Index [DW]

8 ธ.ค. 2017

This study is an experimental variation of Peter Martin's Ulcer Index that calculates the risk measures in the long and short direction for comparison.
The index is a measure of volatility that can be used to locate low risk trading opportunities.

10 ธ.ค. 2017

เอกสารเผยแพร่

Simple update:
Added an adjustable tolerance zone which can be used to further discern low risk opportunities.

13 ม.ค. 2019

เอกสารเผยแพร่

Updates:

Cleaned up the code. Condensed the operations into a singular function.

Shortened the default sampling period.

Added an auto threshold option, which automatically determines the tolerance threshold based on statistical average distance between long and short UIs.

Enhanced the color scheme. The fill color now reflects which direction is dominant, whether the direction is reinforcing or pulling back, and whether the downside risk for the direction is within the threshold boundary or not.

Bar colorization has been added to the script. The color scheme is the same as the fill color.

Removed the background color because it is now unnecessary.