UTXOs in Loss, as the name suggests, represents the absolute number of UTXOs in a given network which are currently in loss (i.e. the price at the time they were created is higher than the current price).
This metric is helpful in highlighting market bottoms by suggesting when investors might be ready to re-enter the market.
It is important to note that unlike Unrealized Loss, UTXOs in Loss does not account for the amount of loss - only the binary case of whether or not the UTXO is in loss.
UTXOs in Loss is calculated by determining which UTXOs were created when the price was higher than the current price (i.e. the price has decreased since the UTXOs were created). It represents the total absolute number of those UTXOs.
Rafael Schultze-Kraft - Dissecting Bitcoin's Unrealised On-Chain Profit/Loss