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Medium · risk_management · Quant Researcher interview question · ulcer_index, drawdown, risk_metrics, momentum, trend_following
The Ulcer Index measures the severity of drawdowns by capturing both their depth and duration. Unlike maximum drawdown or volatility, it specifically penalizes the persistent underperformance characteristic of certain strategies during regime changes. This makes it a valuable tool for risk management in quantitative trading. Task Implement the function ulcer_index(prices) that accepts a list of asset prices and returns the Ulcer Index. The index is calculated as the square root of the mean of s