Stock statistics

Definitions

N^{STOCK}
The total number of all stock quotes which were registered by a strategy during it’s execution.
S_i^{STOCK}
The price of an instrument at the moment i, was the strategy is running.

Simple statistics

First Stock Date
It is the price of an instrument just after the strategy has started. It is denoted by FIRST.STOCKDATE.
Last Stock Date
It is the price of an instrument just before the strategy has stopped. It is denoted by LAST.STOCKDATE.
Highest Price Stock Reached
It is the highest price of an instrument in a time when a strategy is running. It is defined in the following way:

S_N^{MAX} = MAX_{i \in \{1, 2, \ldots N\}} S_i^{STOCK}

Lowest Price Stock Reached
It is the lowest price of an instrument in a time when a strategy is running. It is defined in the following way:

S_N^{MIN} = MIN_{i \in \{1, 2, \ldots N\}} S_i^{STOCK}

Other statistics

Max Drowdown Stock
It is the maximum drowdown of a stock prices in a time when a strategy is running. It is defined in the following way:

STOCK.DRAWDOWN = MAX_{j \in \{1, 2, \ldots N^{STOCK}\}} MAX_{i \in \{1, \ldots j\}} S_i^{STOCK} - S_j^{STOCK}

Ulcer index
The Ulcer index is computed in the following way:

ULCER = \frac{\sqrt{\sum_{i=1}^{N^{STOCK}} (100 \times \frac{S_i^{STOCK} - S_N^{MAX}}{S_N^{MAX}})^2}}{N^{STOCK}}