Indicator: Ulcer Index

Ulcer Index (UI) is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return (SD). It is a measure of the depth and duration of drawdowns in prices from earlier highs. In other words, it is a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period.

The greater a drawdown in value, and the longer it takes to recover to earlier highs, the higher the UI. It measures the "severity" of drawdowns.

More info: en.wikipedia.org/wiki/Ulcer_index