HYPERLIQUID · PERPETUAL FUTURES

MERL

MERL-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-merl · fresh · feed 1s old
24h sparkline · 60 pts▼ -4.11%
realized vol (ann.)
67.95%
max drawdown
2.26%
sharpe
-70.73
ulcer index
1.29%
RMS drawdown
pain index
1.11%
mean drawdown
mod. VaR 95%
0.04%
Cornish-Fisher
martin ratio
-3721.85
ret / ulcer
CDaR 95%
2.04%
cond. drawdown
gain/pain
0.90
Σgain / Σ|loss|
sterling
-2356.36
ret / CDaR
omega (θ=0)
0.90
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-4.11%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 40%
  • 24h change -4.11%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 15.2bps — long bias
Same bundle via M2M API: /api/m2m/hl-MERL/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH995ms⏱--:--:-- UTC8NEXT8.0sUP0s--:--HIST0/30
▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·
MARK · live
$0.020
24h Δ · live
-4.11%
24h vol · live
$0.2M
MERL · live 24h price
n=25 · μ=0.0203 · σ=0.0003 · range [0.0197, 0.0209] · R²=0.928▼ FALLING -4.64%σ NORMAL 1.64%LAST 0.01970.02090.02060.02030.02000.0197μ = 0.0203max 0.0209min 0.0197dataMA(5)OLS R²=0.93μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.02
Funding direction · live
Long fee 48.1%Short fee 51.9%SHORT FEE51.9%
Σ = 0.0%
Σ-sides total = 0.00% (100.00pp arb gap)
H(p) entropy = 0.999 / 1.00 bits (100%) · max uncertainty (~50/50)
Long fee
48.1%▬ +0.00pp
Short fee
51.9%▬ +0.00pp
1h funding 0.001250% · longs pay
Hourly contract volume · live
n=25 · Σ=8,858,671 · μ=354346.8 · σ=313594.4 · CV=0.88BURSTYcumulative energy ↗ · 50% by h=140356,759713,5181,070,2771,427,036μ = 3543471,427,03650%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 1427036 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
995ms
$mark $
$0.0197
$mid $
$0.0197
◉prev-day close
$0.0205
Δ24h Δ %
-4.113%
$24h vol $
$179.92k
◐open interest $
$371.45k
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0203 · σ=0.0003 · range [0.0197, 0.0209] · R²=0.928▼ FALLING -4.64%σ NORMAL 1.64%LAST 0.01970.02090.02060.02030.02000.0197μ = 0.0203max 0.0209min 0.0197dataMA(5)OLS R²=0.93μ lineμ ± σ bandmaxmin
mark $0.0197 · 24h -4.11% · range $[0.0197, 0.0209]
OHLC candles · hourly
n=25 · up 9 · down 16 (36% up) · range [0.0197, 0.0215] · σ=0.0003 · CV=0.02 · bodyµ=39%STRONG BEARISH -4.03%CLOSE 0.0197 vs OPEN 0.0205 (-4.03%)&#9660; CLOSE 0.01970.02150.02110.02060.02010.0197μ close = 0.0203O0.021 H0.021 L0.020 C0.021 (+0.64%)O0.021 H0.021 L0.020 C0.021 (+0.64%)O0.021 H0.022 L0.021 C0.021 (+1.09%)O0.021 H0.022 L0.021 C0.021 (+1.09%)O0.021 H0.021 L0.021 C0.021 (-0.57%)O0.021 H0.021 L0.021 C0.021 (-0.57%)O0.021 H0.021 L0.021 C0.021 (-0.60%)O0.021 H0.021 L0.021 C0.021 (-0.60%)O0.021 H0.021 L0.021 C0.021 (-0.51%)O0.021 H0.021 L0.021 C0.021 (-0.51%)O0.021 H0.021 L0.021 C0.021 (+0.43%)O0.021 H0.021 L0.021 C0.021 (+0.43%)O0.021 H0.021 L0.021 C0.021 (+0.13%)O0.021 H0.021 L0.021 C0.021 (+0.13%)O0.021 H0.021 L0.020 C0.021 (+0.50%)O0.021 H0.021 L0.020 C0.021 (+0.50%)O0.021 H0.021 L0.021 C0.021 (-0.97%)O0.021 H0.021 L0.021 C0.021 (-0.97%)O0.021 H0.021 L0.020 C0.020 (-0.38%)O0.021 H0.021 L0.020 C0.020 (-0.38%)O0.020 H0.020 L0.020 C0.020 (-0.22%)O0.020 H0.020 L0.020 C0.020 (-0.22%)O0.020 H0.021 L0.020 C0.020 (+0.11%)O0.020 H0.021 L0.020 C0.020 (+0.11%)O0.020 H0.021 L0.020 C0.020 (-0.85%)O0.020 H0.021 L0.020 C0.020 (-0.85%)O0.020 H0.020 L0.020 C0.020 (-0.03%)O0.020 H0.020 L0.020 C0.020 (-0.03%)O0.020 H0.020 L0.020 C0.020 (-0.63%)O0.020 H0.020 L0.020 C0.020 (-0.63%)O0.020 H0.020 L0.020 C0.020 (+0.02%)O0.020 H0.020 L0.020 C0.020 (+0.02%)O0.020 H0.020 L0.020 C0.020 (-0.19%)O0.020 H0.020 L0.020 C0.020 (-0.19%)O0.020 H0.020 L0.020 C0.020 (-0.05%)O0.020 H0.020 L0.020 C0.020 (-0.05%)O0.020 H0.020 L0.020 C0.020 (-0.25%)O0.020 H0.020 L0.020 C0.020 (-0.25%)O0.020 H0.020 L0.020 C0.020 (+0.28%)O0.020 H0.020 L0.020 C0.020 (+0.28%)O0.020 H0.020 L0.020 C0.020 (-0.38%)O0.020 H0.020 L0.020 C0.020 (-0.38%)O0.020 H0.020 L0.020 C0.020 (-0.07%)O0.020 H0.020 L0.020 C0.020 (-0.07%)-1.4%O0.020 H0.020 L0.020 C0.020 (-1.43%)O0.020 H0.020 L0.020 C0.020 (-1.43%)O0.020 H0.020 L0.020 C0.020 (+0.32%)O0.020 H0.020 L0.020 C0.020 (+0.32%)O0.020 H0.020 L0.020 C0.020 (-0.71%)O0.020 H0.020 L0.020 C0.020 (-0.71%)#1#5#9#13#17#21#25up bar (C≥O)down bar (C<O)MA(5) closeμ closedoji (~no body)biggest body
25 bars
Hourly volume (base units)
n=25 · Σ=8,858,671 · μ=354346.8 · σ=313594.4 · CV=0.88BURSTYcumulative energy &nearr; · 50% by h=140356,759713,5181,070,2771,427,036μ = 354347151,740 · 10.6% peak151,740 · 10.6% peak947,631 · 66.4% peak947,631 · 66.4% peak518,854 · 36.4% peak518,854 · 36.4% peak152,642 · 10.7% peak152,642 · 10.7% peak166,274 · 11.7% peak166,274 · 11.7% peak132,725 · 9.3% peak132,725 · 9.3% peak125,034 · 8.8% peak125,034 · 8.8% peak216,560 · 15.2% peak216,560 · 15.2% peak454,547 · 31.9% peak454,547 · 31.9% peak78,616 · 5.5% peak78,616 · 5.5% peak798,517 · 56.0% peak798,517 · 56.0% peak343,049 · 24.0% peak343,049 · 24.0% peak249,321 · 17.5% peak249,321 · 17.5% peak345,941 · 24.2% peak345,941 · 24.2% peak374,159 · 26.2% peak374,159 · 26.2% peak531,267 · 37.2% peak531,267 · 37.2% peak1,427,0361,427,036 · 100.0% peak1,427,036 · 100.0% peak222,853 · 15.6% peak222,853 · 15.6% peak348,791 · 24.4% peak348,791 · 24.4% peak148,240 · 10.4% peak148,240 · 10.4% peak252,350 · 17.7% peak252,350 · 17.7% peak121,083 · 8.5% peak121,083 · 8.5% peak516,816 · 36.2% peak516,816 · 36.2% peak156,246 · 10.9% peak156,246 · 10.9% peak78,379 · 5.5% peak78,379 · 5.5% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 8858671 · peak 1427036 · CV 0.88

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0021 · σ=0.0051 · skew=0.28 (symmetric) · kurt=-0.39 (mesokurtic)54310 1-114.87bpbin -114.87bp · n=1 · 20.0% peakbin -114.87bp · n=1 · 20.0% peak 2-95.38bpbin -95.38bp · n=2 · 40.0% peakbin -95.38bp · n=2 · 40.0% peak 1-75.89bpbin -75.89bp · n=1 · 20.0% peakbin -75.89bp · n=1 · 20.0% peak 4-56.39bpbin -56.39bp · n=4 · 80.0% peakbin -56.39bp · n=4 · 80.0% peak 3-36.90bpbin -36.90bp · n=3 · 60.0% peakbin -36.90bp · n=3 · 60.0% peak 5-17.41bpbin -17.41bp · n=5 · 100.0% peakbin -17.41bp · n=5 · 100.0% peak 22.08bpbin 2.08bp · n=2 · 40.0% peakbin 2.08bp · n=2 · 40.0% peak21.57bp 541.07bpbin 41.07bp · n=5 · 100.0% peakbin 41.07bp · n=5 · 100.0% peak60.56bp80.05bp 199.54bpbin 99.54bp · n=1 · 20.0% peakbin 99.54bp · n=1 · 20.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 7 · negative 17
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=0.27 · kurt=-0.26 · near 22 / mid 2 / far 0 · OLS slope=1.01 intercept=-0.00MATCHES NORMAL · WELL-BEHAVEDUPPER TAIL NORMALLOWER TAIL NORMAL-3σ-3σ-2σ-2σ-1σ-1σ+0σ+0σ+1σ+1σ+2σ+2σ+3σ+3σsample ↓marginal: sample bars + theoretical N(0,1) curve →theoretical Φ⁻¹(p) →↑ sample z-quantile|Δ| < 0.3σ · on the line|Δ| < 1σ · moderate|Δ| ≥ 1σ · outliery = x refOLS fit

§3 · Spot quote

Mark price
$0.0197
Mid price
$0.0197
24h change
-4.11%
Mark–mid spread
2.54 bps
Prev-day close
$0.0205

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.25)
μ MEAN0.0203$95% CI: [0.0202$, 0.0204$]
σ STD DEV0.0003$σ² = 0.001×10⁻⁴ · CV = 1.64%
med MEDIAN0.0203$Q₁ 0.0201$ · Q₃ 0.0206$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0012$ · IQR 0.0006$ (1.349σ→0.0004$)
min 0.0197$Q₁ 0.0201$med 0.0203$Q₃ 0.0206$max 0.0209$μ
SKEWNESS · G₁-0.090approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.245platykurtic · thin tails
−30+2+4+6
μ ↔ median≈ equal · symmetric|μ−med| / σ = 0.09
σ × 1.349 ↔ IQRconsistent with normalratio = 0.81
range ↔ σconcentrated (range < 4σ)range / σ = 3.57
μ = mean · σ = standard deviation · CV = coefficient of variation. Skew (G₁): >0 right-skewed. Kurt (G₂, excess): >0 leptokurtic. 95% CI = μ ± 1.96·SE.

§5 · Returns analytics (log-returns)

Risk-adjusted performance · log-returns
RETURNS · RISK-ADJUSTEDUNPROFITABLE · SR=-33.20
μᵣ MEAN / h-0.197860%drift is negative per h · |μ|/σ = 0.355
σᵣ STD / h0.557777%σ²ᵣ = 0.311×10⁻⁴ · CV = 2.82×
σ ANNUALISED52.21%/yrscaled by √8760 (hourly→yearly) · 0.558%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-33.20negative edge
-2-10+1+2+3+4
SORTINO (annualised)-31.52downside drag
-2-10+1+2+3+4
CALMAR (return / max-DD)-100.00drawdown overwhelms returns
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁0.28approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂-0.03mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.95
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-1733.25%/yr driftμ × 8760 = annualised expectation
rₜ = ln(pₜ/pₜ₋₁). σ × √8760 = annualised. Sharpe = μ/σ scaled; Sortino uses downside-only vol; Calmar = annual return / max drawdown.

§6 · Risk metrics

Tail risk + drawdown · downside diagnostics
TAIL & DRAWDOWN RISKELEVATED · 95% VaR 0.99%
VaR₉₅ (h)0.991%5% prob of larger adverse h move
VaR₉₉ (h)1.191%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.126%expected loss given 5% tail event
MAX DRAWDOWN5.67%23h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.991%VaR₉₉−1.191%ES₉₅−1.126%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEsignificant drawdown · 23h duration
PEAK2.09$
−5.67% drawdown over 23h
1.97$TROUGH
ES / VaR · TAIL THICKNESSmild tail heaviness|ES₉₅| / |VaR₉₅| = 1.14× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.20× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONsignificant drawdownrecovery needed: +6.02% (compounding)
VaR = quantile loss · ES (CVaR) = expected loss conditional on tail · DD = peak-to-trough decline. Under normality ES₉₅/VaR₉₅ ≈ 1.25; ratio > 1.5 ⇒ fat-tail regime.

§7 · Technicals

RSI(14)
27.9 · oversold
Bollinger %B
0.055 · within band
Bollinger upper
$0.0208
Bollinger MA
$0.0202
Bollinger lower
$0.0196

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.34 + ADF rejected
ρ(1) AUTOCORR-0.335within white-noise band
ρ(2) AUTOCORR+0.113lag-2 not significant
H · HURST EXPONENT0.889strongly persistent
OLS TREND · t-STAT-17.168significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.889
H = 0.889STRONGLY PERSISTENT
0
anti-persistent0.45
mean-reverting0.5
random walk0.55
persistent1
strongly trending
AUTOCORRELATION FUNCTION · ρ(k) for k=1..5WHITE NOISE · no significant lags
k=1-0.335k=2+0.113k=3-0.360k=4+0.262k=5-0.1930+1−1+0.41−0.41+ momentum (ρ > +0.41)− reversal (ρ < −0.41)noise (within band)±2/√n threshold
OLS TREND · t-STAT · [-5, +5]SIGNIFICANT @ 1% (|t|=17.17)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.34 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=17.17)α=0.05 critical |t|=1.96 · α=0.01 |t|=2.58
ρ(k) = lag-k sample autocorrelation · H = R/S Hurst exponent · t = OLS-trend t-statistic. Significance bands at ±2/√n approximate the 95% white-noise envelope. α=0.05 critical |t|=1.96; α=0.01 |t|=2.58.

§9 · Microstructure

24h volume (USD)
$179.92k
Open interest (USD)
$371.45k
Vol / OI (turnover)
0.48x
1h funding
0.001250%
Funding (annualised)
+10.95%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
-10.000× leverage · optimal log-utility leverage
Half-Kelly
-5.000× · industry-standard conservative
Quarter-Kelly
-2.500×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=24 bars · best 1.09% · worst -1.25% · typical |Δ| 0.48%BEARISH SESSION -4.75%BEST+1.09%15hWORST-1.25%12hTYPICAL |Δ|0.48%mean absoluteCUMULATIVE-4.75%Σ signed ΔSTREAK↘ 1down-runASIA · 00-08 UTCμ -0.23% · Σ -1.87%EUROPE · 08-16 UTCμ -0.09% · Σ -0.75%US · 16-24 UTCμ -0.27% · Σ -2.13%CUMULATIVE Δ PATH · final -4.75%+1.09%-4.75%1.09% · 15h1.09% · 15h1.09%15h★ BEST-0.50% · 16h-0.50% · 16h-0.50%16h-0.55% · 17h-0.55% · 17h-0.55%17h-0.53% · 18h-0.53% · 18h-0.53%18h0.49% · 19h0.49% · 19h0.49%19h-0.18% · 20h-0.18% · 20h-0.18%20h0.51% · 21h0.51% · 21h0.51%21h-0.91% · 22h-0.91% · 22h-0.91%22h-0.46% · 23h-0.46% · 23h-0.46%23h-0.18% · 00h-0.18% · 00h-0.18%00h0.41% · 01h0.41% · 01h0.41%01h-1.01% · 02h-1.01% · 02h-1.01%02h-0.05% · 03h-0.05% · 03h-0.05%03h-0.63% · 04h-0.63% · 04h-0.63%04h-0.27% · 05h-0.27% · 05h-0.27%05h-0.18% · 06h-0.18% · 06h-0.18%06h0.04% · 07h0.04% · 07h0.04%07h-0.10% · 08h-0.10% · 08h-0.10%08h0.39% · 09h0.39% · 09h0.39%09h-0.29% · 10h-0.29% · 10h-0.29%10h-0.21% · 11h-0.21% · 11h-0.21%11h-1.25% · 12h-1.25% · 12h-1.25%12h▼ WORST0.46% · 13h0.46% · 13h0.46%13h-0.85% · 14h-0.85% · 14h-0.85%14hTIME PATTERNEurope-led (+-0.75%)RUNSup max 1 · down max 5BREADTH29% up · 71% down
7 up bars · 17 down · best 1.09% · worst -1.25% · typical |Δ| 0.481%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-4.68%)FINAL-4.68%MAX DD-5.71%RECOVERYONGOING · 23 barsMAX RUN-UP+1.09%UNDERWATER23/25 (92%)STREAK↘ 1EQUITY CURVE · end 0.9532 · peak 1.0109 · range [0.9532, 1.0109]1.01090.9532break-even = 1★ PEAK 1.0109UNDERWATER DRAWDOWN · max -5.71% · significant0%-5.71%▼ TROUGH -5.71%TOP DRAWDOWN PERIODS · 1 total#1 -5.71%bar 3-25 · 23 bars · ONGOINGDD SEVERITYsignificant (max -5.71%)RECOVERYongoing · 23 barsTIME UNDER WATER92% of session · 23/25 bars
final equity 0.9532 (-4.68%) · max DD -5.71% · time-under-water 23/25 bars

§13 · Rolling-window statistics (w = 6 bars)

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +0 / −19 (0% positive) · μ=-39.75 · σ=21.12UNPROFITABLE STRATEGYLAST -40.45 (-0.03σ vs μ)82.8941.440.00-41.44-82.89μ = -39.75-4.13-4.13-23.66-23.66-31.14-31.14-29.30-29.30-20.54-20.54-23.52-23.52-39.58-39.58-63.53-63.53-60.65-60.65-55.31-55.31-55.42-55.42-82.89-82.89-79.04-79.04-34.39-34.39-24.81-24.81-21.69-21.69-39.99-39.99-25.15-25.15-40.45-40.45v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -40.451 · range [-82.89, -4.13] · μ -39.747 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=46.2059 · σ=12.9504 · range [22.0737, 63.4476] · R²=0.132▼ FALLING -0.67%σ EXTREME 28.03%LAST 63.024663.447653.104142.760632.417122.0737μ = 46.2059max 63.4476min 22.0737dataMA(3)OLS R²=0.13μ lineμ ± σ bandmaxmin
latest 63.02% · range [22.07%, 63.45%] · μ 46.21% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +3 / −16 (16% positive) · μ=-0.283 · σ=0.220MEAN-REVERSIONLAST -0.536 (-1.15σ vs μ)0.6350.3170.000-0.317-0.635μ = -0.283-0.160-0.1600.0090.009-0.347-0.347-0.323-0.323-0.187-0.187-0.200-0.200-0.403-0.403-0.357-0.357-0.563-0.563-0.569-0.569-0.635-0.635-0.279-0.279-0.012-0.0120.1580.158-0.332-0.332-0.340-0.3400.0410.041-0.346-0.346-0.536-0.536v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.536 · |ρ| > 0.3 ⇒ regime with persistence (ρ > 0) or reversal (ρ < 0) · |ρ| ≤ 0.1 = consistent with random walk

§14 · Hypothesis tests (α = 0.05)

Formal inference at 5% significance
1 of 6 REJECT · mixed evidence1 reject·5 pass·α = 0.05
𝒩

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
0.3215
p-VALUE (log scale)
0.8515
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainednormality not rejected
ρ

Ljung-Box(h=5)

FAIL TO REJECTns

H₀: No serial autocorrelation up to lag 5

STATISTIC
10.6216
p-VALUE (log scale)
0.0588
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedconsistent with white noise
Ψ

Dickey-Fuller (τ_μ)

FAIL TO REJECTns

H₀: p has a unit root (non-stationary)

STATISTIC
-0.0466
p-VALUE (log scale)
0.9519
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedrandom-walk behaviour (crit ≈ -2.86)
±

Wald-Wolfowitz runs

FAIL TO REJECTns

H₀: Sign sequence of Δ is random

STATISTIC
1.5725
p-VALUE (log scale)
0.1158
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (14 runs)
χ

KPSS (μ stationarity)

REJECT H₀**

H₀: p IS level-stationary

STATISTIC
0.9053
p-VALUE (log scale)
0.0040
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-stationary (crit 0.463)
χ

Variance ratio q=3

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-1.5589
p-VALUE (log scale)
0.1190
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.526 ≈ 1 (RW behaviour)
Each row states an explicit null H₀, the test statistic, an approximated p-value, and the decision. REJECT means evidence against H₀. KPSS complements ADF (rejecting both ⇒ ambiguous; rejecting one ⇒ clean verdict).

§15 · Spectral analysis (DFT periodogram)

Power spectrum of Δln-r · ‖X̂(k)‖²/n
n=12 bins · noise floor μ=4.22e-5 · top T=2.00h (58.8%) · top-3 cover 77.1%STRONG CYCLE @ T≈2.0cumulative energy ↗ (1 bin above 2× noise)3.0e-42.2e-41.5e-47.4e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 2.06e-6 · 0.4% energyperiod 24.0 · power 2.06e-6 · 0.4% energyperiod 12.0 · power 9.98e-6 · 2.0% energyperiod 12.0 · power 9.98e-6 · 2.0% energyperiod 8.0 · power 7.95e-6 · 1.6% energyperiod 8.0 · power 7.95e-6 · 1.6% energyperiod 6.0 · power 4.44e-5 · 8.8% energyperiod 6.0 · power 4.44e-5 · 8.8% energyperiod 4.8 · power 4.87e-5 · 9.6% energyperiod 4.8 · power 4.87e-5 · 9.6% energyperiod 4.0 · power 3.65e-6 · 0.7% energyperiod 4.0 · power 3.65e-6 · 0.7% energyperiod 3.4 · power 1.05e-6 · 0.2% energyperiod 3.4 · power 1.05e-6 · 0.2% energyperiod 3.0 · power 4.08e-5 · 8.1% energyperiod 3.0 · power 4.08e-5 · 8.1% energyperiod 2.7 · power 8.92e-6 · 1.8% energyperiod 2.7 · power 8.92e-6 · 1.8% energyperiod 2.4 · power 2.59e-5 · 5.1% energyperiod 2.4 · power 2.59e-5 · 5.1% energyperiod 2.2 · power 1.55e-5 · 3.1% energyperiod 2.2 · power 1.55e-5 · 3.1% energyperiod 2.0 · power 2.98e-4 · 58.8% energyperiod 2.0 · power 2.98e-4 · 58.8% energy50% by T=2.0h#1 dominantT=2.00h#2T=4.80h#3T=6.00hT=2hT=3hT=4hT=6hT=8hT=12hT=16hT=24h← shorter cycle (high freq · Nyquist=½) · period T (bars per cycle) · longer cycle (low freq · 1/n) →#1 dominant#2 peak#3 peak> 2× noisenoiseμ floor2μ sig.cum energy
dominant period ≈ 2.00h (freq 0.500) · concentrates 58.8% of total energy · Σ|X̂|²/n = 5.067e-4

▸ Depth section using sovereign-store price series (5000 bars · effective 5257847 bars/year) — annualisation reflects native polling cadence, not upstream timeframes.

§16 · NOSTRADAMUS continuous quant — perp leverage & bootstrap MC

Continuous-price extension of the prediction-market quant module. Kelly growth on observed returns (Merton μ/σ² parametric vs argmax empirical), Monte-Carlo equity fan bootstrapped from the historical return distribution at quarter-Kelly leverage, and an annualized return decomposition. Sweep parameters in the simulator.

§17 · Continuous Kelly

Continuous-Kelly growth · g(f) = E[ln(1 + f·r)]
NO LONG EDGE · μ -0.001% per barparametric μ/σ² short edge (μ<0) · μ -0.001% · σ 0.03%
μ per barmean
-0.001%
σ per barvol
0.03%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-68.36×
Merton continuous-time
Half-Kelly½ f★
0.00×
~⅔ of full growth, half the variance
Quarter-Kelly¼ f★
0.00×
industry default — survives model error
-0.01%0.02%0.05%0.07%0.10%0.0×1.6×3.2×4.8×6.4×8.0×leverage fraction fexpected log-growth per bar
g(f) empiricalf★ argmaxparametric f★
Maximum expected log-growth from leveraging the historical return distribution. Empirical f★ argmaxes the sample expectation; parametric f★ = μ/σ² is Merton's continuous-time optimum.

§18 · MC equity fan

Bootstrapped equity fan at 0.10× leverage
Median CAGR/bar -0.000% · annualized Sharpe -43.08400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.019
annualized -43.08
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.00%
per-bar worst-case
CVaR 95%ES
0.01%
mean tail loss
Max DD (median)MDD
-0.0%
0.95×0.97×0.99×1.01×1.03×1.05×0120240360480600720startbar #equity multiple
median25/75 band5/95 band
Median path with 25/75 and 5/95 percentile bands across 400 simulated careers. Bars resample with replacement from the observed return distribution — preserves fat tails the parametric model misses.

§19 · Annualized breakdown

Annualized return components
APR -1000% · APY -100% · Sharpe -44.36σ ann 65% · Sortino -32.95 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-5324%-4243%-3163%-2083%-1002%78%-1000.0%APR (simple)-100.0%APY (compound)64.9%Ann. vol σ-4436.4%Sharpe (ann)-3294.7%Sortino (ann)
Simple APR vs compounded APY · annualized volatility · risk-adjusted Sharpe and Sortino. All scaled by √(periods/yr).

§20 · GARCH(1,1) volatility band

GARCH(1,1) · conditional vol envelope (±2σ)
GARCH persistence α+β = 0.980· σ̂ₜ = 1.001% · long-run σ = 2.236%
0.0190.0190.0200.0200.0210.021t-4999t-4166t-3333t-2500t-1666t-833t-0

Persistence near 1 ⇒ vol clusters strongly (slow mean reversion). Long-run σ is the unconditional target the conditional vol orbits. The ±2σ band reflects time-varying scale, unlike a flat-vol band.

Time-varying volatility band fitted to the price series. Persistence α+β > 0.98 means vol shocks decay slowly — recent moves stay relevant.

§∞ · Provenance & attestation

Upstream
api.hyperliquid.xyz
Snapshot fetched
2026-06-14 14:29:54 UTC
Snapshot age
995ms
History points
25 hourly closes
Page rendered
2026-06-14 14:29:55 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
0adba582fa513102c124b1fb7b58f9bf8b2754c58bc971d5f44bb062463541c1 · deterministic hash of the source snapshot — proves this page was rendered from this exact data
Open data licence
CC0 / public domain · free to mirror, syndicate, analyse

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Also see: /arb opportunities · RSS feed

Market depth

▸ live order book · Hyperliquid perp
Depth within 1bp
$0
bid $0 · ask $0
Depth within 5bp
$1.53K
bid $1.04K · ask $493
Depth within 10bp
$6.15K
bid $2.65K · ask $3.50K
Depth within 50bp
$34.23K
bid $15.88K · ask $18.35K
Mid price
0.019674
(best bid + best ask) / 2
Spread
6.6bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.056
ask-heavy
Imbalance (top-5)
-0.024
ask-heavy top-of-book

Slippage scenarios

▸ live book walk · Hyperliquid perp

Simulating a market order at three notionals against the live book. Slippage = avg execution price vs. mid, in basis points. Worst fill = price of the deepest level touched. Live JSON: /api/asset/hl-MERL/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0196845.26bp0.0196883FILLED
BUY$10.00K0.01970214.62bp0.01972512FILLED
BUY$100.00K0.01973129.12bp0.01978520PARTIAL
SELL$1.00K0.0196673.30bp0.0196671FILLED
SELL$10.00K0.01964215.91bp0.01962211FILLED
SELL$100.00K0.01961629.04bp0.01955420PARTIAL

Funding carry

▸ LONGS PAY · shorts receive
Hourly funding
+1.250e-5
0.00125% / hr
Annualised APR
10.958%
hourly · 24 · 365.25
Long: days to 1% carry
33.3d
longs pay
Short: days to 1% carry
33.3d
shorts receive
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGPAY-10.958%33.3d333.3d
SHORTRECEIVE10.958%33.3d333.3d

/api/asset/hl-MERL/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$8.86M

★ POC = Point of Control (highest-volume bin). Live JSON: /api/asset/hl-MERL/volprofile?priceStep=1

Order flow

▸ ASK-LEAN · -0.502 · Hyperliquid candles
Bars (buy / sell)
7 / 17
1 unclassified
Buy weight
$2.17M
real volume
Sell weight
$6.54M
real volume
Net delta
$4.37M
sellers net
Imbalance
-50.22%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
50.2%
one-sided / toxic
Impact (|Δp|/vol)
—
needs real volume

Sparkline = cumulative delta over the 25-record window./api/asset/hl-MERL/flow?rollingWindow=30

Cascade clusters

▸ DOWN · 4 found · deepest 2.12% · Hyperliquid candles

Price-only proxy for forced-unwind clusters. No exchange liquidation feed is wired — read each row as a candidate event, not a confirmed liquidation.

#WindowDurationPeak → TroughDrawdownBars
#12026-06-14 02:00:00Z4.0h0.020492→0.0200582.118%5
#22026-06-14 12:00:00Z2.0h0.020125→0.0196992.117%3
#32026-06-13 16:00:00Z3.0h0.020884→0.0205561.571%4

/api/asset/hl-MERL/cascades?windowMs=10800000&minDrawdownPct=0.005 · full list + parameters in JSON

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
64.89%
σ per bar = 0.000283
Mean return (annualised)
-2879.02%
μ per bar = -0.000005
Sharpe (rf=0)
-44.36
annualised; risk-free assumed zero
Max drawdown
2.87%
peak 0.02 → trough 0.02 over 4958 bars

/api/asset/hl-MERL/risk · same metrics, JSON