NAME

Performance::Probability

VERSION

0.01

SYNOPSYS

use Performance::Probability qw(get_performance_probability);

my $probability = Performance::Probability::get_performance_probability(
                                 types        => [qw/CALL PUT/],
                                 payout       => [100, 100],
                                 bought_price => [75, 55],
                                 pnl          => 1000.0,
                                 underlying   => [qw/EURUSD EURUSD/],
                                 start_time   => [1461847439, 1461930839], #time in epoch
                                 sell_time    => [1461924960, 1461931561], #time in epoch
                                 );

DESCRIPTION

The performance probability is a likelihood measure of a client reaching his/her current profit and loss.

get_performance_probability

Calculate performance probability ( modified sharpe ratio );