QuantConnect / QuantConnect/Lean
Add Ulcer Performance Index to Summary Statistics
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feature
- Dominant language
- C#
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Description
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
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
The issue concerns portfolio summary statistics produced at the end of a backtest; start by locating the code that assembles those statistics and review the linked Ulcer Index definition. Done means UPI is included in the built-in summary output and its value can be verified in an end-of-backtest report.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant, performance
- Issue type
- Feature
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100