UlcerIndex - RTTA

Summary

UlcerIndex is RTTA's streaming implementation of: Drawdown-based downside-risk measure.

Update API

result = rtta.UlcerIndex().update(close)

The update(...) call consumes one observation using close. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

UlcerIndex implements the streaming form of Drawdown-based downside-risk measure. Each update(...) call consumes exactly one new observation tuple and advances the internal state before returning the current value or result struct.

Recurrence

Let \(z_t = close_t\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[H_t=\max_{i\in W_t}close_i, \qquad d_t=100\frac{close_t-H_t}{H_t}\]

\[y_t=\sqrt{\frac{1}{n}\sum_{i\in W_t}d_i^2}\]

The return value is the current scalar indicator value.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class UlcerIndex.

Reference

Background reference