OPEN-SOURCE SCRIPT
Sortino + Omega + PSR + Ulcer [Wall Street Pro
[Script Introduction]
Within Quantamental and macro-hedging frameworks, the traditional mean-variance theory (such as the traditional Sharpe Ratio) possesses a fatal flaw: it penalizes "good" upside volatility and fails to identify the "black swan" DNA inherent in non-normal distributions.
This script, Sortino + Omega + PSR + Ulcer [Wall Street Pro], is an institutional-grade asset "personality" diagnostic and performance attribution system. By visualizing higher-order moment statistics (Skewness, Kurtosis) alongside path-dependent drawdown risk (Ulcer Index), it is designed to help traders identify pseudo-high-yield/pseudo-high-win-rate assets that are essentially "picking up pennies in front of a steamroller," and to discover true Alpha backed by genuine microstructure advantages.
[Core Parameters & Practical Significance]
Sortino vs. Sharpe Ratio: Debunks the volatility illusion. By only penalizing downside volatility, a Sortino ratio significantly higher than the Sharpe ratio indicates that the asset possesses immense upside explosive power.
Skewness & Kurtosis: The tail-risk detectors. Specifically designed to capture hidden "fat-tail" risks (e.g., gap-downs from unexpected blow-ups). Extreme skewness and high kurtosis often signal devastating losses during liquidity dry-ups.
PSR (Probabilistic Sharpe Ratio): The performance lie detector. By incorporating non-normal distribution parameters, it calculates the statistical probability that a strategy is genuinely effective, filtering out historical backtest illusions driven purely by luck.
Ulcer Index & Global Underwater Curve: Measures the integral of "drawdown depth × duration of distress." Paired with intuitive underwater region visualizations on the main chart, it evaluates the pressure the asset exerts on capital chains and traders' psychological defenses.
Omega Ratio: The overarching profit/loss scale, evaluating the overall quality of the winning probability across the entire return distribution.
[Application Scenarios]
Liquidity stress testing for broad market indices and high-Beta assets (e.g., microstructure comparisons between SPX and MSTR).
Validation of macro-hedge allocations (e.g., testing the reduction in a portfolio's Ulcer Index after incorporating safe-haven assets like precious metals).
"Mine-sweeping" for CTA and high-dividend strategies (identifying assets with deep negative skewness).量化基本面（Quantamental）与宏观对冲框架下，传统的均值-方差理论（如传统夏普比率）存在致命缺陷：它惩罚了向上的好波动，且无法识别非正态分布下的“黑天鹅”基因。
本脚本 Sortino + Omega + PSR + Ulcer [Wall Street Pro] 是一套机构级的资产“性格”体检与业绩归因系统。它将高阶矩统计（偏度、峰度）与路径回撤风险（溃疡指数）可视化，旨在帮助交易者识别出那些“在推土机前捡硬币”的伪高息/伪高胜率资产，寻找真正具备微观结构优势的Alpha。
【核心参数与实战意义】
Sortino (索提诺比率) vs Sharpe (夏普比率)： 破解波动率错觉。只惩罚下行波动，当 Sortino 显著大于 Sharpe 时，标明该资产具备极强的向上爆发力。
Skew (偏度) & Kurt (峰度)： 尾部风险照妖镜。专门捕捉隐藏的“肥尾”风险（如暴雷跳空）。高偏度/高峰度往往意味着流动性枯竭时的毁灭性打击。
PSR (概率夏普比率)： 业绩测谎仪。引入非正态分布参数，计算策略真实有效的统计学概率，过滤掉纯靠运气的历史回测幻觉。
Ulcer Index (溃疡指数) & 全局水下曲线： 衡量“套牢深度 × 煎熬时间”的积分。配合主图直观的水下区域可视化，评估资产对资金链和交易者心理防线的压迫程度。
Omega Ratio (全分布比率)： 统揽全局的盈亏天平，评估整体赢面质量。
【适用场景】
大盘指数与高Beta资产的流动性压力测试（如 SPX 与 MSTR 的微观结构对比）。
宏观对冲配置的有效性验证（测试加入贵金属等避险资产后，组合溃疡指数的下降程度）。
CTA及高股息策略的“排雷”（识别深负偏度资产）。
【使用建议】
建议配合多锚点 VWAP (Anchored VWAP) 使用。当资产价格跌破核心机构成本线，且本指标面板中的 Sortino 出现倒挂、Ulcer 快速攀升时，往往是微观结构恶化、宏观流动性退潮的右侧确认信号。
Within Quantamental and macro-hedging frameworks, the traditional mean-variance theory (such as the traditional Sharpe Ratio) possesses a fatal flaw: it penalizes "good" upside volatility and fails to identify the "black swan" DNA inherent in non-normal distributions.
This script, Sortino + Omega + PSR + Ulcer [Wall Street Pro], is an institutional-grade asset "personality" diagnostic and performance attribution system. By visualizing higher-order moment statistics (Skewness, Kurtosis) alongside path-dependent drawdown risk (Ulcer Index), it is designed to help traders identify pseudo-high-yield/pseudo-high-win-rate assets that are essentially "picking up pennies in front of a steamroller," and to discover true Alpha backed by genuine microstructure advantages.
[Core Parameters & Practical Significance]
Sortino vs. Sharpe Ratio: Debunks the volatility illusion. By only penalizing downside volatility, a Sortino ratio significantly higher than the Sharpe ratio indicates that the asset possesses immense upside explosive power.
Skewness & Kurtosis: The tail-risk detectors. Specifically designed to capture hidden "fat-tail" risks (e.g., gap-downs from unexpected blow-ups). Extreme skewness and high kurtosis often signal devastating losses during liquidity dry-ups.
PSR (Probabilistic Sharpe Ratio): The performance lie detector. By incorporating non-normal distribution parameters, it calculates the statistical probability that a strategy is genuinely effective, filtering out historical backtest illusions driven purely by luck.
Ulcer Index & Global Underwater Curve: Measures the integral of "drawdown depth × duration of distress." Paired with intuitive underwater region visualizations on the main chart, it evaluates the pressure the asset exerts on capital chains and traders' psychological defenses.
Omega Ratio: The overarching profit/loss scale, evaluating the overall quality of the winning probability across the entire return distribution.
[Application Scenarios]
Liquidity stress testing for broad market indices and high-Beta assets (e.g., microstructure comparisons between SPX and MSTR).
Validation of macro-hedge allocations (e.g., testing the reduction in a portfolio's Ulcer Index after incorporating safe-haven assets like precious metals).
"Mine-sweeping" for CTA and high-dividend strategies (identifying assets with deep negative skewness).量化基本面（Quantamental）与宏观对冲框架下，传统的均值-方差理论（如传统夏普比率）存在致命缺陷：它惩罚了向上的好波动，且无法识别非正态分布下的“黑天鹅”基因。
本脚本 Sortino + Omega + PSR + Ulcer [Wall Street Pro] 是一套机构级的资产“性格”体检与业绩归因系统。它将高阶矩统计（偏度、峰度）与路径回撤风险（溃疡指数）可视化，旨在帮助交易者识别出那些“在推土机前捡硬币”的伪高息/伪高胜率资产，寻找真正具备微观结构优势的Alpha。
【核心参数与实战意义】
Sortino (索提诺比率) vs Sharpe (夏普比率)： 破解波动率错觉。只惩罚下行波动，当 Sortino 显著大于 Sharpe 时，标明该资产具备极强的向上爆发力。
Skew (偏度) & Kurt (峰度)： 尾部风险照妖镜。专门捕捉隐藏的“肥尾”风险（如暴雷跳空）。高偏度/高峰度往往意味着流动性枯竭时的毁灭性打击。
PSR (概率夏普比率)： 业绩测谎仪。引入非正态分布参数，计算策略真实有效的统计学概率，过滤掉纯靠运气的历史回测幻觉。
Ulcer Index (溃疡指数) & 全局水下曲线： 衡量“套牢深度 × 煎熬时间”的积分。配合主图直观的水下区域可视化，评估资产对资金链和交易者心理防线的压迫程度。
Omega Ratio (全分布比率)： 统揽全局的盈亏天平，评估整体赢面质量。
【适用场景】
大盘指数与高Beta资产的流动性压力测试（如 SPX 与 MSTR 的微观结构对比）。
宏观对冲配置的有效性验证（测试加入贵金属等避险资产后，组合溃疡指数的下降程度）。
CTA及高股息策略的“排雷”（识别深负偏度资产）。
【使用建议】
建议配合多锚点 VWAP (Anchored VWAP) 使用。当资产价格跌破核心机构成本线，且本指标面板中的 Sortino 出现倒挂、Ulcer 快速攀升时，往往是微观结构恶化、宏观流动性退潮的右侧确认信号。
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免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。