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Add Ulcer Performance Index to Summary Statistics #8535

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3 tasks done
jaredbroad opened this issue Jan 15, 2025 · 0 comments
Open
3 tasks done

Add Ulcer Performance Index to Summary Statistics #8535

jaredbroad opened this issue Jan 15, 2025 · 0 comments
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@jaredbroad
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Expected Behavior

UPI Reported in the portfolio summary statistics at the end of the backtest.

Actual Behavior

Not included in our summary statistics.

Potential Solution

Calculate and add UPI as part of the baked in statistics of LEAN.
https://www.investopedia.com/terms/u/ulcerindex.asp

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  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
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@jaredbroad