Pine Script - Ulcer Index

study("Ulcer Index")
// Ulcer Index
// source:  http://en.wikipedia.org/wiki/Ulcer_index
//
// Rewrite for Tradingview "Pine Script" by Kocurekc, April 2014
// https://getsatisfaction.com/tradingview/
// https://www.tradingview.com/u/kocurekc/
// Code is provided as public domain, no warranty

len = input(title="Lookback Period", type=integer, defval=14, minval=2)

drawdown = ((close - highest(close, len)) / highest(close, len))*100
SofS = pow(sum(pow(drawdown,2),len)/len, 0.5)
hline(10, linestyle=dashed)
plot(SofS)