Ulcer Index Stress Gauge
Peter Martin's Ulcer Index measures downside pain only: the root-mean-square of the percentage drawdowns from the rolling highest close. Unlike ATR or standard deviation it ignores upside volatility. The gauge compares today's value with its own history (percentile), so a "stress" reading means drawdown pain is unusually high for this market. An optional mirror line shows the same for short holder
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How to use it
Rising Ulcer = holders are suffering; risk-off or reduce size. A reading above the stress percentile followed by a fall back below it often marks capitulation ending. Length 14 (Martin's default), 500-bar percentile window ~ 3 weeks on 1h. Concept: Peter G. Martin & Byron McCann, "The Investor's Guide to Fidelity Funds" (1989) — Ulcer Index.
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Back-tests and forward tests are simulations; past results do not predict future ones. Nothing here is financial advice. Trading carries a high risk of loss.