HYPERLIQUID · PERPETUAL FUTURES

SOPH

SOPH-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-soph · fresh · feed 1s old
24h sparkline · 60 pts▼ -5.39%
realized vol (ann.)
56.91%
max drawdown
2.29%
sharpe
-94.76
ulcer index
1.24%
RMS drawdown
pain index
1.04%
mean drawdown
mod. VaR 95%
0.04%
Cornish-Fisher
martin ratio
-4335.62
ret / ulcer
CDaR 95%
2.11%
cond. drawdown
gain/pain
0.85
Σgain / Σ|loss|
sterling
-2560.85
ret / CDaR
omega (θ=0)
0.85
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-5.39%
flow lean
—
carry
longs_pay
10.95%
signalSHORTconfidence 40%suggested side: SELL
  • 24h change -5.39%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 14.4bps — long bias
Same bundle via M2M API: /api/m2m/hl-SOPH/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH1.4s⏱--:--:-- 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
$0.006
24h Δ · live
-5.39%
24h vol · live
$0.3M
SOPH · live 24h price
n=25 · μ=0.0058 · σ=0.0001 · range [0.0055, 0.0059] · R²=0.900▼ FALLING -5.39%σ NORMAL 2.08%LAST 0.00550.00590.00580.00570.00560.0055μ = 0.0058max 0.0059min 0.0055dataMA(5)OLS R²=0.90μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.01
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=52,913,574 · μ=2116543.0 · σ=2884168.7 · CV=1.36BURSTY · concentratedcumulative energy ↗ · 50% by h=1502,539,0825,078,1647,617,24510,156,327μ = 211654310,156,32750%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 10156327 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
1.4s
$mark $
$0.0055
$mid $
$0.0056
◉prev-day close
$0.0059
Δ24h Δ %
-5.388%
$24h vol $
$301.68k
◐open interest $
$197.04k
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0058 · σ=0.0001 · range [0.0055, 0.0059] · R²=0.900▼ FALLING -5.39%σ NORMAL 2.08%LAST 0.00550.00590.00580.00570.00560.0055μ = 0.0058max 0.0059min 0.0055dataMA(5)OLS R²=0.90μ lineμ ± σ bandmaxmin
mark $0.0055 · 24h -5.39% · range $[0.0055, 0.0059]
OHLC candles · hourly
n=25 · up 7 · down 18 (28% up) · range [0.0055, 0.0059] · σ=0.0001 · CV=0.02 · bodyµ=43%STRONG BEARISH -5.33%CLOSE 0.0055 vs OPEN 0.0059 (-5.33%)&#9660; CLOSE 0.00550.00590.00580.00570.00560.0055μ close = 0.0058O0.006 H0.006 L0.006 C0.006 (+0.07%)O0.006 H0.006 L0.006 C0.006 (+0.07%)O0.006 H0.006 L0.006 C0.006 (+0.85%)O0.006 H0.006 L0.006 C0.006 (+0.85%)O0.006 H0.006 L0.006 C0.006 (-0.30%)O0.006 H0.006 L0.006 C0.006 (-0.30%)O0.006 H0.006 L0.006 C0.006 (-0.25%)O0.006 H0.006 L0.006 C0.006 (-0.25%)O0.006 H0.006 L0.006 C0.006 (-0.83%)O0.006 H0.006 L0.006 C0.006 (-0.83%)O0.006 H0.006 L0.006 C0.006 (+0.31%)O0.006 H0.006 L0.006 C0.006 (+0.31%)O0.006 H0.006 L0.006 C0.006 (-0.42%)O0.006 H0.006 L0.006 C0.006 (-0.42%)O0.006 H0.006 L0.006 C0.006 (+0.20%)O0.006 H0.006 L0.006 C0.006 (+0.20%)O0.006 H0.006 L0.006 C0.006 (-0.36%)O0.006 H0.006 L0.006 C0.006 (-0.36%)O0.006 H0.006 L0.006 C0.006 (+1.11%)O0.006 H0.006 L0.006 C0.006 (+1.11%)-3.2%O0.006 H0.006 L0.006 C0.006 (-3.18%)O0.006 H0.006 L0.006 C0.006 (-3.18%)O0.006 H0.006 L0.006 C0.006 (-0.16%)O0.006 H0.006 L0.006 C0.006 (-0.16%)O0.006 H0.006 L0.006 C0.006 (-0.42%)O0.006 H0.006 L0.006 C0.006 (-0.42%)O0.006 H0.006 L0.006 C0.006 (-0.07%)O0.006 H0.006 L0.006 C0.006 (-0.07%)O0.006 H0.006 L0.006 C0.006 (-0.91%)O0.006 H0.006 L0.006 C0.006 (-0.91%)O0.006 H0.006 L0.006 C0.006 (-0.12%)O0.006 H0.006 L0.006 C0.006 (-0.12%)O0.006 H0.006 L0.006 C0.006 (-0.14%)O0.006 H0.006 L0.006 C0.006 (-0.14%)O0.006 H0.006 L0.006 C0.006 (-0.07%)O0.006 H0.006 L0.006 C0.006 (-0.07%)O0.006 H0.006 L0.006 C0.006 (+0.60%)O0.006 H0.006 L0.006 C0.006 (+0.60%)O0.006 H0.006 L0.006 C0.006 (-0.37%)O0.006 H0.006 L0.006 C0.006 (-0.37%)O0.006 H0.006 L0.006 C0.006 (-0.11%)O0.006 H0.006 L0.006 C0.006 (-0.11%)O0.006 H0.006 L0.006 C0.006 (+0.04%)O0.006 H0.006 L0.006 C0.006 (+0.04%)O0.006 H0.006 L0.006 C0.006 (-1.04%)O0.006 H0.006 L0.006 C0.006 (-1.04%)O0.006 H0.006 L0.006 C0.006 (-0.46%)O0.006 H0.006 L0.006 C0.006 (-0.46%)O0.006 H0.006 L0.006 C0.006 (-0.48%)O0.006 H0.006 L0.006 C0.006 (-0.48%)#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=52,913,574 · μ=2116543.0 · σ=2884168.7 · CV=1.36BURSTY · concentratedcumulative energy &nearr; · 50% by h=1502,539,0825,078,1647,617,24510,156,327μ = 2116543521,566 · 5.1% peak521,566 · 5.1% peak824,225 · 8.1% peak824,225 · 8.1% peak1,248,587 · 12.3% peak1,248,587 · 12.3% peak558,295 · 5.5% peak558,295 · 5.5% peak2,899,843 · 28.6% peak2,899,843 · 28.6% peak311,077 · 3.1% peak311,077 · 3.1% peak1,170,799 · 11.5% peak1,170,799 · 11.5% peak173,743 · 1.7% peak173,743 · 1.7% peak318,680 · 3.1% peak318,680 · 3.1% peak2,173,790 · 21.4% peak2,173,790 · 21.4% peak2,220,220 · 21.9% peak2,220,220 · 21.9% peak4,996,099 · 49.2% peak4,996,099 · 49.2% peak351,344 · 3.5% peak351,344 · 3.5% peak160,673 · 1.6% peak160,673 · 1.6% peak10,156,32710,156,327 · 100.0% peak10,156,327 · 100.0% peak1,305,895 · 12.9% peak1,305,895 · 12.9% peak9,008,228 · 88.7% peak9,008,228 · 88.7% peak227,524 · 2.2% peak227,524 · 2.2% peak8,272,885 · 81.5% peak8,272,885 · 81.5% peak1,099,874 · 10.8% peak1,099,874 · 10.8% peak360,630 · 3.6% peak360,630 · 3.6% peak608,611 · 6.0% peak608,611 · 6.0% peak714,208 · 7.0% peak714,208 · 7.0% peak2,641,298 · 26.0% peak2,641,298 · 26.0% peak589,153 · 5.8% peak589,153 · 5.8% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 52913574 · peak 10156327 · CV 1.36

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0023 · σ=0.0071 · skew=-0.94 (left-skewed) · kurt=2.21 (leptokurtic (fat tails))65320 1-246.56bpbin -246.56bp · n=1 · 16.7% peakbin -246.56bp · n=1 · 16.7% peak-215.36bp-184.16bp-152.96bp 1-121.76bpbin -121.76bp · n=1 · 16.7% peakbin -121.76bp · n=1 · 16.7% peak 1-90.56bpbin -90.56bp · n=1 · 16.7% peakbin -90.56bp · n=1 · 16.7% peak 5-59.36bpbin -59.36bp · n=5 · 83.3% peakbin -59.36bp · n=5 · 83.3% peak 6-28.16bpbin -28.16bp · n=6 · 100.0% peakbin -28.16bp · n=6 · 100.0% peak 43.04bpbin 3.04bp · n=4 · 66.7% peakbin 3.04bp · n=4 · 66.7% peak 334.25bpbin 34.25bp · n=3 · 50.0% peakbin 34.25bp · n=3 · 50.0% peak 165.45bpbin 65.45bp · n=1 · 16.7% peakbin 65.45bp · n=1 · 16.7% peak 296.65bpbin 96.65bp · n=2 · 33.3% peakbin 96.65bp · n=2 · 33.3% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 7 · negative 15
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.99 · kurt=2.71 · near 18 / mid 5 / far 1 · OLS slope=0.97 intercept=-0.00LEPTOKURTIC — FAT TAILSUPPER 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
$0.0055
Mid price
$0.0056
24h change
-5.39%
Mark–mid spread
3.60 bps
Prev-day close
$0.0059

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.48)
μ MEAN0.0058$95% CI: [0.0057$, 0.0058$]
σ STD DEV0.0001$σ² = 0.000×10⁻⁴ · CV = 2.08%
med MEDIAN0.0057$Q₁ 0.0057$ · Q₃ 0.0059$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0004$ · IQR 0.0002$ (1.349σ→0.0002$)
min 0.0055$Q₁ 0.0057$med 0.0057$Q₃ 0.0059$max 0.0059$μ
SKEWNESS · G₁-0.023approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.481platykurtic · thin tails
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.17
σ × 1.349 ↔ IQRdiverges from normalratio = 0.77
range ↔ σconcentrated (range < 4σ)range / σ = 3.13
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=-28.53
μᵣ MEAN / h-0.230891%drift is negative per h · |μ|/σ = 0.305
σᵣ STD / h0.757389%σ²ᵣ = 0.574×10⁻⁴ · CV = 3.28×
σ ANNUALISED70.89%/yrscaled by √8760 (hourly→yearly) · 0.757%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-28.53negative edge
-2-10+1+2+3+4
SORTINO (annualised)-24.82downside 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 · G₁-1.05left-skewed · heavy negative tail
-3-10+1+3
EXCESS KURTOSIS · G₂3.67leptokurtic · fat tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.87
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-2022.61%/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 RISKHIGH · 95% VaR 1.29%
VaR₉₅ (h)1.285%5% prob of larger adverse h move
VaR₉₉ (h)2.333%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.994%expected loss given 5% tail event
MAX DRAWDOWN6.33%23h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−1.285%VaR₉₉−2.333%ES₉₅−1.994%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEsignificant drawdown · 23h duration
PEAK0.59$
−6.33% drawdown over 23h
0.55$TROUGH
ES / VaR · TAIL THICKNESSmoderate fat tail|ES₉₅| / |VaR₉₅| = 1.55× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONextreme-tail dominated · severe outliersratio = 1.82× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONsignificant drawdownrecovery needed: +6.76% (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)
26.6 · oversold
Bollinger %B
0.091 · within band
Bollinger upper
$0.0059
Bollinger MA
$0.0057
Bollinger lower
$0.0055

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.40 + ADF rejected
ρ(1) AUTOCORR-0.401within white-noise band
ρ(2) AUTOCORR+0.211lag-2 not significant
H · HURST EXPONENT0.880strongly persistent
OLS TREND · t-STAT-14.348significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.880
H = 0.880STRONGLY 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=1-0.401k=2+0.211k=3-0.210k=4+0.200k=5-0.2090+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|=14.35)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.40 + 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|=14.35)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)
$301.68k
Open interest (USD)
$197.04k
Vol / OI (turnover)
1.53x
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 1.12% · worst -2.62% · typical |Δ| 0.55%BEARISH SESSION -5.54%BEST+1.12%23hWORST-2.62%00hTYPICAL |Δ|0.55%mean absoluteCUMULATIVE-5.54%Σ signed ΔSTREAK↘ 3down-runASIA · 00-08 UTCμ -0.59% · Σ -4.69%EUROPE · 08-16 UTCμ -0.09% · Σ -0.71%US · 16-24 UTCμ -0.02% · Σ -0.14%CUMULATIVE Δ PATH · final -5.54%+1.00%-5.54%1.00% · 15h1.00% · 15h1.00%15h0.00% · 16h0.00% · 16h·16h-0.32% · 17h-0.32% · 17h-0.32%17h-0.49% · 18h-0.49% · 18h-0.49%18h0.42% · 19h0.42% · 19h0.42%19h-0.58% · 20h-0.58% · 20h-0.58%20h0.20% · 21h0.20% · 21h0.20%21h-0.49% · 22h-0.49% · 22h-0.49%22h1.12% · 23h1.12% · 23h1.12%23h★ BEST-2.62% · 00h-2.62% · 00h-2.62%00h▼ WORST0.00% · 01h0.00% · 01h·01h-0.47% · 02h-0.47% · 02h-0.47%02h0.07% · 03h0.07% · 03h0.07%03h-0.82% · 04h-0.82% · 04h-0.82%04h-0.28% · 05h-0.28% · 05h-0.28%05h-0.25% · 06h-0.25% · 06h-0.25%06h-0.32% · 07h-0.32% · 07h-0.32%07h0.76% · 08h0.76% · 08h0.76%08h-0.37% · 09h-0.37% · 09h-0.37%09h-0.04% · 10h-0.04% · 10h-0.04%10h0.19% · 11h0.19% · 11h0.19%11h-1.37% · 12h-1.37% · 12h-1.37%12h-0.34% · 13h-0.34% · 13h-0.34%13h-0.56% · 14h-0.56% · 14h-0.56%14hTIME PATTERNUS-led (+-0.14%)RUNSup max 1 · down max 4BREADTH29% up · 63% down · 8% flat
7 up bars · 15 down · best 1.12% · worst -2.62% · typical |Δ| 0.546%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsSEVERE DRAWDOWN -5.46%FINAL-5.46%MAX DD-6.40%RECOVERYONGOING · 22 barsMAX RUN-UP+1.00%UNDERWATER22/25 (88%)STREAK↘ 3EQUITY CURVE · end 0.9454 · peak 1.0100 · range [0.9454, 1.0100]1.01000.9454break-even = 1★ PEAK 1.0100UNDERWATER DRAWDOWN · max -6.40% · significant0%-6.40%▼ TROUGH -6.40%TOP DRAWDOWN PERIODS · 1 total#1 -6.40%bar 4-25 · 22 bars · ONGOINGDD SEVERITYsignificant (max -6.40%)RECOVERYongoing · 22 barsTIME UNDER WATER88% of session · 22/25 bars
final equity 0.9454 (-5.46%) · max DD -6.40% · time-under-water 22/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +2 / −17 (11% positive) · μ=-35.74 · σ=29.07UNPROFITABLE STRATEGYLAST -71.74 (-1.24σ vs μ)110.1055.050.00-55.05-110.10μ = -35.740.870.87-29.65-29.65-46.67-46.674.284.28-23.52-23.52-29.53-29.53-28.24-28.24-30.20-30.20-33.99-33.99-64.25-64.25-83.80-83.80-110.10-110.10-24.95-24.95-38.32-38.32-17.98-17.98-0.64-0.64-25.06-25.06-25.50-25.50-71.74-71.74v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -71.741 · range [-110.10, 4.28] · μ -35.736 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=68.2850 · σ=33.6888 · range [27.4486, 120.6233] · R²=0.073▼ FALLING -11.83%σ EXTREME 49.34%LAST 50.3775120.623397.329674.036050.742327.4486μ = 68.2850max 120.6233min 27.4486dataMA(3)OLS R²=0.07μ lineμ ± σ bandmaxmin
latest 50.38% · range [27.45%, 120.62%] · μ 68.29% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +0 / −19 (0% positive) · μ=-0.437 · σ=0.202MEAN-REVERSIONLAST -0.285 (+0.75σ vs μ)0.7380.3690.000-0.369-0.738μ = -0.437-0.158-0.158-0.688-0.688-0.738-0.738-0.529-0.529-0.480-0.480-0.586-0.586-0.577-0.577-0.585-0.585-0.591-0.591-0.234-0.234-0.589-0.589-0.631-0.631-0.125-0.125-0.153-0.153-0.418-0.418-0.479-0.479-0.285-0.285-0.166-0.166-0.285-0.285v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.285 · |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
2 of 6 REJECT · mixed evidence2 reject·4 pass·α = 0.05
𝒩

Jarque-Bera

REJECT H₀***

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
17.8756
p-VALUE (log scale)
0.0001
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-normal · fat tails or skew present
ρ

Ljung-Box(h=5)

FAIL TO REJECTns

H₀: No serial autocorrelation up to lag 5

STATISTIC
9.5932
p-VALUE (log scale)
0.0867
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
-0.1889
p-VALUE (log scale)
0.9339
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
1.7528
p-VALUE (log scale)
0.0796
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
0.8872
p-VALUE (log scale)
0.0044
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
-1.4791
p-VALUE (log scale)
0.1391
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.550 ≈ 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=6.70e-5 · top T=2.00h (35.8%) · top-3 cover 61.5%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)2.9e-42.2e-41.4e-47.2e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 1.28e-5 · 1.6% energyperiod 24.0 · power 1.28e-5 · 1.6% energyperiod 12.0 · power 3.11e-5 · 3.9% energyperiod 12.0 · power 3.11e-5 · 3.9% energyperiod 8.0 · power 1.13e-5 · 1.4% energyperiod 8.0 · power 1.13e-5 · 1.4% energyperiod 6.0 · power 7.74e-5 · 9.6% energyperiod 6.0 · power 7.74e-5 · 9.6% energyperiod 4.8 · power 2.53e-6 · 0.3% energyperiod 4.8 · power 2.53e-6 · 0.3% energyperiod 4.0 · power 7.68e-5 · 9.6% energyperiod 4.0 · power 7.68e-5 · 9.6% energyperiod 3.4 · power 4.70e-5 · 5.8% energyperiod 3.4 · power 4.70e-5 · 5.8% energyperiod 3.0 · power 4.32e-5 · 5.4% energyperiod 3.0 · power 4.32e-5 · 5.4% energyperiod 2.7 · power 7.28e-6 · 0.9% energyperiod 2.7 · power 7.28e-6 · 0.9% energyperiod 2.4 · power 1.11e-4 · 13.8% energyperiod 2.4 · power 1.11e-4 · 13.8% energyperiod 2.2 · power 9.53e-5 · 11.9% energyperiod 2.2 · power 9.53e-5 · 11.9% energyperiod 2.0 · power 2.88e-4 · 35.8% energyperiod 2.0 · power 2.88e-4 · 35.8% energy50% by T=2.4h#1 dominantT=2.00h#2T=2.40h#3T=2.18hT=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 35.8% of total energy · Σ|X̂|²/n = 8.036e-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 -0.000% per barparametric μ/σ² short edge (μ<0) · μ -0.000% · σ 0.02%
μ per barmean
-0.000%
σ per barvol
0.02%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-89.34×
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
-0.00%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 -51.85400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.023
annualized -51.85
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 -48.05σ ann 54% · Sortino -29.29 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-5765%-4599%-3433%-2267%-1101%65%-1000.0%APR (simple)-100.0%APY (compound)53.8%Ann. vol σ-4804.5%Sharpe (ann)-2929.4%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 = 1.000% · long-run σ = 2.236%
0.0050.0050.0060.0060.0060.006t-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 14:31:24 UTC
Snapshot age
1.4s
History points
25 hourly closes
Page rendered
2026-06-14 14:31:26 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
a3cf8d448de3e37b05d7afcf2fb710698fb78bf6ba0d92040d6970a03e541185 · 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
$2.44K
bid $678 · ask $1.76K
Depth within 10bp
$5.42K
bid $3.66K · ask $1.76K
Depth within 50bp
$17.53K
bid $7.04K · ask $10.49K
Mid price
0.005551
(best bid + best ask) / 2
Spread
7.2bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.103
ask-heavy
Imbalance (top-5)
-0.013
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-SOPH/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0055533.60bp0.0055531FILLED
BUY$10.00K0.00556321.17bp0.0055747FILLED
BUY$100.00K0.005685241.38bp0.00581120PARTIAL
SELL$1.00K0.0055494.26bp0.0055473FILLED
SELL$10.00K0.00553431.49bp0.0055119FILLED
SELL$100.00K0.005451180.45bp0.00535720PARTIAL

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-SOPH/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$52.91M

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

Order flow

▸ ASK-LEAN · -0.474 · Hyperliquid candles
Bars (buy / sell)
8 / 16
1 unclassified
Buy weight
$13.77M
real volume
Sell weight
$38.62M
real volume
Net delta
$24.84M
sellers net
Imbalance
-47.42%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
47.4%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 6 found · deepest 3.04% · 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 00:00:00Z2.0h0.005913→0.0057333.044%3
#22026-06-14 12:00:00Z2.0h0.005673→0.0055462.239%3
#32026-06-14 04:00:00Z3.0h0.005760→0.0056422.049%4

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
53.78%
σ per bar = 0.000235
Mean return (annualised)
-2583.71%
μ per bar = -0.000005
Sharpe (rf=0)
-48.05
annualised; risk-free assumed zero
Max drawdown
2.92%
peak 0.01 → trough 0.01 over 4968 bars

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