Class UlcerIndexRTIndicator

java.lang.Object

com.wualabs.qtsurfer.engine.indicators.core.AbstractRTIndicator

com.wualabs.qtsurfer.engine.indicators.statistics.pro.ratios.UlcerIndexRTIndicator

All Implemented Interfaces:

Resettable, RTIndicator

public class UlcerIndexRTIndicator
extends AbstractRTIndicator

Rolling Ulcer Index with O(n) per-tick updates.

The Ulcer Index measures downside volatility based on drawdown depth and duration (Peter Martin, 1987). Unlike standard deviation which treats upside and downside equally, UI focuses exclusively on drawdowns:

  UI = sqrt(mean(drawdown%²))

where drawdown% = (peak - price) / peak * 100.

Stores prices in a circular buffer. On each tick, recomputes the rolling peak and squared drawdown sum in O(n). This is necessary because evicting the oldest price may remove the peak.

Returns 0 until the window has at least 1 value. Exposes getMaxDrawdownPercent() for the current window's max drawdown percentage.

Constructor Summary

Constructors

Constructor	Description
UlcerIndexRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
double	getMaxDrawdownPercent()	Returns the maximum drawdown percentage in the current window.
int	getPeriods()
boolean	isReady()	Returns whether this indicator has received enough data to produce meaningful values.
void	reset()
double	update(double price)

Methods inherited from class AbstractRTIndicator

equals, getDisplayHint, getMeta, getValue, hashCode, hide, isPoison, setValue, toString, toString, withDisplayHint, withMeta

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface RTIndicator

getId, isHidden, ro, update, update

Constructor Details

UlcerIndexRTIndicator

public UlcerIndexRTIndicator(int periods)

Method Details

getPeriods

public int getPeriods()

isReady

public boolean isReady()

Description copied from interface: RTIndicator

Returns whether this indicator has received enough data to produce meaningful values.

During the warmup period, RTIndicator.getValue() may return 0 or a partial estimate that should not be used for trading decisions. Once this method returns true, the indicator's output is statistically valid.

The default implementation returns true for backward compatibility. Indicators with warmup requirements should override this method.

For composite indicators (e.g. Bollinger Bands, MACD), readiness is determined by the slowest internal component.

Returns:

true if the indicator has completed its warmup period

getMaxDrawdownPercent

public double getMaxDrawdownPercent()

Returns the maximum drawdown percentage in the current window.

reset

public void reset()

Specified by:

reset in interface Resettable

Overrides:

reset in class AbstractRTIndicator

update

public double update(double price)

Specified by:

update in interface RTIndicator

Overrides:

update in class AbstractRTIndicator