Max drawdown calculator
The deepest fall in your account.
Free risk tools
Ulcer index calculator
How painful the ride was: how deep the drops went and how long they lasted, in one number.
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The balances
The ulcer index
The ulcer index is 3.87. Some bumps: drops you would notice, but not deep or long.
- Below a high
- 61% of the 18 values sat below the best value before them, 4.22% below on average when they did. The deepest drop was 8.55%.
- Return for the pain
- +12.50% from the first value to the last, or 3.23 points of return for each point of ulcer. Comparing two systems, the higher this number, the more return each point of pain bought.
- How it is read
- The ulcer index squares every drop before it averages, so one long, deep drop weighs far more than many small dips. Unlike volatility, rises do not count against you.
- Read it with care
- It depends on how often you sample: daily balances show more dips than month-end ones. Compare like with like.
The last values and how far each sat below the high before it. The last one is marked.
| Value | Balance | Below the high |
|---|---|---|
| 7 ago | 10,480.00 | -2.60% |
| 6 ago | 10,890.00 | At a high |
| 5 ago | 11,020.00 | At a high |
| 4 ago | 10,700.00 | -2.90% |
| 3 ago | 10,310.00 | -6.44% |
| 2 ago | 10,560.00 | -4.17% |
| 1 ago | 10,940.00 | -0.73% |
| Last | 11,250.00 | At a high |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
Risk you feel, not risk on paper
Peter Martin built the ulcer index in 1987 because volatility punishes a fund for going up fast as much as for going down. His index looks only at drops: for each value it takes how far it sits below the best value so far, squares it, averages the squares and takes the square root. Deep drops count more, and so do drops that last.
Find the single deepest fall with the max drawdown calculator, see what it takes to get back with the recovery calculator, and compare return with swings using the Sharpe ratio calculator.
Not advice. Arithmetic on the values you type; a past ride is not a promise about the next one.
Next tools
Drawdown recovery planner
How long the climb back takes, and why sizing up backfires.
Sharpe ratio calculator
Sharpe and Sortino from your monthly returns.
Pricing
Three ways in. Pick yours.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.