Merge pull request #21 from cinar/issue-5

Ulcer Index (UI) added. Fixed #5.

README.md

@@ -52,6 +52,7 @@ The following list of indicators are currently supported by this package:
 - [Chandelier Exit](src/indicator/volatility/index.md#chandelier-exit)
 - [Moving Standard Deviation (Std)](src/indicator/volatility/index.md#moving-standard-deviation-std)
 - [Projection Oscillator (PO)](src/indicator/volatility/index.md#projection-oscillator-po)
+- [Ulcer Index (UI)](src/indicator/volatility/index.md#ulcer-index-ui)
 
 ### Volume Indicators
 

src/indicator/volatility/index.md

@@ -9,6 +9,7 @@ Volatility indicators measure the rate of movement regardless of its direction.
 - [Chandelier Exit](#chandelier-exit)
 - [Moving Standard Deviation (Std)](#moving-standard-deviation-std)
 - [Projection Oscillator (PO)](#projection-oscillator-po)
+- [Ulcer Index (UI)](#ulcer-index-ui)
 
 #### Acceleration Bands
 
@@ -117,6 +118,31 @@ import {projectionOscillator} from 'indicatorts';
 const result = projectionOscillator(period, smooth, highs, lows, closings);
 ```
 
+#### Ulcer Index (UI)
+
+The [ulcerIndex](./ulcerIndex.ts) measures downside risk. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs.
+
+```
+High Closings = Max(period, Closings)
+Percentage Drawdown = 100 * ((Closings - High Closings) / High Closings)
+Squared Average = Sma(period, Percent Drawdown * Percent Drawdown)
+Ulcer Index = Sqrt(Squared Average)
+```
+
+```TypeScript
+import {ulcerIndex} from 'indicatorts';
+
+const result = ulcerIndex(period, closings);
+```
+
+The [defaultUlcerIndex](./ulcerIndex.ts) measures the ulcer index with the default period of 14.
+
+```TypeScript
+import {defaultUlcerIndex} from 'indicatorts';
+
+const result = defaultUlcerIndex(closings);
+```
+
 ## Disclaimer
 
 The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.

src/indicator/volatility/ulcerIndex.test.ts

@@ -0,0 +1,16 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import {roundDigitsAll} from '../../index';
+import {defaultUlcerIndex} from './ulcerIndex';
+
+describe('Ulcer Index', () => {
+  it('should be able to compute UI', () => {
+    const closings = [9, 11, 7, 10, 8, 7, 7, 8, 10, 9, 5, 4, 6, 7];
+    const expected = [0, 0, 20.99, 18.74, 20.73, 24.05, 26.17, 26.31,
+      24.99, 24.39, 28.49, 32.88, 34.02, 34.19];
+
+    const actual = defaultUlcerIndex(closings);
+    expect(roundDigitsAll(2, actual)).toStrictEqual(expected);
+  });
+});

src/indicator/volatility/ulcerIndex.ts

@@ -0,0 +1,45 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import {divide, multiply, multiplyBy, sqrt, substract} from '../../helper/numArray';
+import {mmax} from '../trend/mmax';
+import {sma} from '../trend/sma';
+
+/**
+ * Default period for UI.
+ */
+export const UI_DEFAULT_PERIOD = 14;
+
+/**
+ * The Ulcer Index (UI) measures downside risk. The index increases in value
+ * as the price moves farther away from a recent high and falls as the price
+ * rises to new highs.
+ *
+ * High Closings = Max(period, Closings)
+ * Percentage Drawdown = 100 * ((Closings - High Closings) / High Closings)
+ * Squared Average = Sma(period, Percent Drawdown * Percent Drawdown)
+ * Ulcer Index = Sqrt(Squared Average)
+ *
+ * @param period window period.
+ * @param closings closing values.
+ * @returns ui values.
+ */
+export function ulcerIndex(period: number, closings: number[]): number[] {
+  const highClosings = mmax(period, closings);
+  const percentageDrawdown = multiplyBy(100, divide(substract(closings, highClosings), highClosings));
+  const squaredAverage = sma(period, multiply(percentageDrawdown, percentageDrawdown));
+  const ui = sqrt(squaredAverage);
+
+  return ui;
+}
+
+/**
+ * The default ulcer index with the default period of 14.
+ *
+ * @param closings closing values.
+ * @returns ui values.
+ */
+export function defaultUlcerIndex(closings: number[]): number[] {
+  return ulcerIndex(UI_DEFAULT_PERIOD, closings);
+}
+