Pain Index Calculation

This macro calculates the Pain Index, defined as the average of 'drawdowns' (cumulative losses) over the analysis period. It differs from the Ulcer Index because drawdowns are not squared, and from the average drawdown because the denominator is the total number of observations. It depends on the external macros %get_number_column_names, %ranname, and %drawdowns.

Data Analysis

Type : EXTERNAL

Data is provided via the 'returns' macro parameter. Processing also depends on external utility macros.

1 Code Block

MACRO DEFINITION

Explanation :
Macro definition, declaration of local variables, and initialization of temporary table names via %ranname. Retrieval of numeric columns via %get_number_column_names.

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1	%macro pain_index(returns,
2	method= DISCRETE,
3	dateColumn= DATE,
4	outData= painindex);
5
6	%local vars drawdown stat_mean i;
7
8	%let vars= %get_number_column_names(_table= &returns, _exclude= &dateColumn);
9	%put VARS IN Pain_Index: (&vars);
10
11	%let drawdown= %ranname();
12	%let stat_mean= %ranname();
13	%let i = %ranname();

2 Code Block

MACRO CALL Data

Explanation :
Call to the external macro %drawdowns to calculate the initial drawdown series.

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1	%drawdowns(&returns, method= &method, dateColumn= &dateColumn, outData= &drawdown)

3 Code Block

DATA STEP Data

Explanation :
Data transformation: removal of the first observation and taking the absolute value of drawdowns for mean calculation.

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1	DATA &drawdown(drop=&i);
2	SET &drawdown(firstobs=2);
3	array ret[*] &vars;
4
5	DO &i= 1 to dim(ret);
6	ret[&i]= abs(ret[&i]);
7	END;
8	RUN;

4 Code Block

PROC MEANS Data

Explanation :
Calculation of the mean of drawdowns (absolute values) to obtain the Pain Index.

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1
2	PROC MEANS
3	DATA= &drawdown mean noprint;
4	OUTPUT out= &stat_mean mean=;
5	RUN;
6

5 Code Block

DATA STEP Data

Explanation :
Formatting of the final output table, adding a '_STAT_' label.

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1	DATA &outData (keep=_stat_ &vars);
2	FORMAT _STAT_ $32.;
3	SET &stat_mean;
4	_STAT_= 'Pain Index';
5	RUN;

6 Code Block

PROC DATASETS

Explanation :
Cleanup of generated temporary tables and end of the macro.

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1	PROC DATASETS lib=work nolist;
2	delete &drawdown &stat_mean;
3	RUN;
4	QUIT;
5
6	%mend;

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