Pain Index

Thomas Becker's continuous-pain risk measure. The mean drawdown depth over the trailing window, expressed as a non-negative fraction. Functionally identical to AverageDrawdown; exists as a separate type to expose the measure under its conventional name.

Quick reference

Item	Value
Family	Risk / Performance
Input type	f64 — one equity-curve sample per update
Output type	f64
Output range	[0, 1] (fraction of peak)
Default parameters	period required
Warmup period	period
Interpretation	Average drawdown depth — "continuous pain"

Formula

peak_t  = running max over window up to t
dd_t    = (peak_t - equity_t) / peak_t       (0 if no drawdown)
PainIdx = mean(dd_t over window)

Same construction as AverageDrawdown. Becker introduced "Pain Index" as a complementary metric to UlcerIndex — the Ulcer Index squares drawdowns before averaging (RMS), while Pain Index uses a plain arithmetic mean. See crates/wickra-core/src/indicators/pain_index.rs.

Parameters

Name	Type	Default	Constraint	Description
period	usize	none	> 0	Rolling window length.

Inputs / Outputs

Same as AverageDrawdown.

Warmup

warmup_period() == period.

Edge cases

• Equivalent to AverageDrawdown. Same output, different marketing name.
• Reset. Clears the rolling window.

Examples

Rust

use wickra::{BatchExt, Indicator, PainIndex};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let equity = vec![100.0, 110.0, 100.0, 95.0, 88.0, 90.0, 92.0, 95.0, 100.0, 105.0];
    let mut p = PainIndex::new(10)?;
    println!("{:?}", p.batch(&equity).last());
    Ok(())
}

Python

import numpy as np
import wickra as ta

equity = np.array([100, 110, 100, 95, 88, 90, 92, 95, 100, 105], dtype=float)
p = ta.PainIndex(10)
print(p.batch(equity))

Node

const wickra = require('wickra');
const p = new wickra.PainIndex(10);
console.log(p.batch([100, 110, 100, 95, 88, 90, 92, 95, 100, 105]));

Streaming

use wickra::{Indicator, PainIndex};

let mut p = PainIndex::new(252).unwrap();
let equity_stream: Vec<f64> = Vec::new(); // your equity-curve feed
for equity in equity_stream {
    if let Some(v) = p.update(equity) {
        // ...
    }
}

Interpretation

• Pain index value. A Pain Index of 0.05 means the strategy spent the trailing window with an average drawdown of 5% from peak.
• Pair with Sharpe. A "Pain Ratio" can be constructed as return / pain_index; useful when MDD is too sensitive to a single bad event.
• Vs Ulcer Index. Ulcer squares drawdowns first (RMS), which penalises deep drawdowns more heavily. Same equity curve gives Ulcer > Pain when drawdowns are uneven.

Common pitfalls

• Confused with MaxDrawdown. Pain measures average, not worst. They tell different stories.
• Window choice. Same as MaxDrawdown — short windows forget.

References

• Thomas Becker introduced the Pain Index in the Financial Analysts Journal; it's a sibling of the Ulcer Index (Martin & McCann, 1989).

See also

• AverageDrawdown — same metric, alternate name.
• UlcerIndex — RMS-weighted alternative.
• MaxDrawdown — worst-case sibling.
• Indicators-Overview — full taxonomy.