HYPERLIQUID · PERPETUAL FUTURES

ZK

ZK-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-zk · fresh · feed 1s old
24h sparkline · 60 pts▼ -5.24%
realized vol (ann.)
68.25%
max drawdown
2.47%
sharpe
-71.77
ulcer index
1.30%
RMS drawdown
pain index
1.07%
mean drawdown
mod. VaR 95%
0.04%
Cornish-Fisher
martin ratio
-3767.83
ret / ulcer
CDaR 95%
2.14%
cond. drawdown
gain/pain
0.89
Σgain / Σ|loss|
sterling
-2284.70
ret / CDaR
omega (θ=0)
0.89
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-5.24%
flow lean
—
carry
shorts_pay
-5.69%
signalNEUTRALconfidence 35%
  • 24h change -5.24%
  • funding: shorts pay — perp longs get paid to wait
  • mark cheap vs HL oracle by 17.9bps — long bias
Same bundle via M2M API: /api/m2m/hl-ZK/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH666ms⏱--:--:-- 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
$0.011
24h Δ · live
-5.24%
24h vol · live
$0.5M
ZK · live 24h price
n=25 · μ=0.0115 · σ=0.0002 · range [0.0112, 0.0118] · R²=0.539▼ FALLING -5.81%σ NORMAL 1.40%LAST 0.01120.01180.01170.01150.01130.0112μ = 0.0115max 0.0118min 0.0112dataMA(5)OLS R²=0.54μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.01
Funding direction · live
Long fee 46.4%Short fee 53.6%SHORT FEE53.6%
Σ = 0.0%
Σ-sides total = 0.00% (100.00pp arb gap)
H(p) entropy = 0.996 / 1.00 bits (100%) · max uncertainty (~50/50)
Long fee
46.4%▬ +0.00pp
Short fee
53.6%▬ +0.00pp
1h funding -0.000649% · shorts pay
Hourly contract volume · live
n=25 · Σ=41,118,609 · μ=1644744.4 · σ=2932732.4 · CV=1.78BURSTY · concentratedcumulative energy ↗ · 50% by h=1203,512,2767,024,55310,536,82914,049,105μ = 164474414,049,10550%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 14049105 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
666ms
$mark $
$0.0112
$mid $
$0.0112
◉prev-day close
$0.0118
Δ24h Δ %
-5.237%
$24h vol $
$473.02k
◐open interest $
$922.35k
%funding (1h)
-0.000649%
%funding (yr)
-5.69%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0115 · σ=0.0002 · range [0.0112, 0.0118] · R²=0.539▼ FALLING -5.81%σ NORMAL 1.40%LAST 0.01120.01180.01170.01150.01130.0112μ = 0.0115max 0.0118min 0.0112dataMA(5)OLS R²=0.54μ lineμ ± σ bandmaxmin
mark $0.0112 · 24h -5.24% · range $[0.0112, 0.0118]
OHLC candles · hourly
n=25 · up 10 · down 15 (40% up) · range [0.0112, 0.0119] · σ=0.0002 · CV=0.01 · bodyµ=45%BEARISH -5.30%CLOSE 0.0112 vs OPEN 0.0118 (-5.30%)&#9660; CLOSE 0.01120.01190.01170.01150.01140.0112μ close = 0.0115O0.012 H0.012 L0.012 C0.012 (+0.54%)O0.012 H0.012 L0.012 C0.012 (+0.54%)O0.012 H0.012 L0.012 C0.012 (-0.65%)O0.012 H0.012 L0.012 C0.012 (-0.65%)O0.012 H0.012 L0.012 C0.012 (-1.42%)O0.012 H0.012 L0.012 C0.012 (-1.42%)O0.012 H0.012 L0.012 C0.012 (+0.31%)O0.012 H0.012 L0.012 C0.012 (+0.31%)O0.012 H0.012 L0.012 C0.012 (-0.68%)O0.012 H0.012 L0.012 C0.012 (-0.68%)O0.012 H0.012 L0.011 C0.012 (+0.17%)O0.012 H0.012 L0.011 C0.012 (+0.17%)O0.012 H0.012 L0.011 C0.012 (+0.03%)O0.012 H0.012 L0.011 C0.012 (+0.03%)O0.012 H0.012 L0.011 C0.012 (+0.54%)O0.012 H0.012 L0.011 C0.012 (+0.54%)O0.012 H0.012 L0.012 C0.012 (+0.09%)O0.012 H0.012 L0.012 C0.012 (+0.09%)O0.012 H0.012 L0.011 C0.011 (-0.78%)O0.012 H0.012 L0.011 C0.011 (-0.78%)2.1%O0.012 H0.012 L0.012 C0.012 (+2.14%)O0.012 H0.012 L0.012 C0.012 (+2.14%)O0.012 H0.012 L0.012 C0.012 (-1.71%)O0.012 H0.012 L0.012 C0.012 (-1.71%)O0.012 H0.012 L0.012 C0.012 (+0.33%)O0.012 H0.012 L0.012 C0.012 (+0.33%)O0.012 H0.012 L0.012 C0.012 (+0.63%)O0.012 H0.012 L0.012 C0.012 (+0.63%)O0.012 H0.012 L0.012 C0.012 (-0.92%)O0.012 H0.012 L0.012 C0.012 (-0.92%)O0.012 H0.012 L0.012 C0.012 (-0.20%)O0.012 H0.012 L0.012 C0.012 (-0.20%)O0.012 H0.012 L0.012 C0.012 (-0.06%)O0.012 H0.012 L0.012 C0.012 (-0.06%)O0.012 H0.012 L0.011 C0.012 (-0.12%)O0.012 H0.012 L0.011 C0.012 (-0.12%)O0.012 H0.012 L0.012 C0.012 (-0.41%)O0.012 H0.012 L0.012 C0.012 (-0.41%)O0.012 H0.012 L0.011 C0.011 (-0.31%)O0.012 H0.012 L0.011 C0.011 (-0.31%)O0.011 H0.011 L0.011 C0.011 (-1.07%)O0.011 H0.011 L0.011 C0.011 (-1.07%)O0.011 H0.011 L0.011 C0.011 (+0.22%)O0.011 H0.011 L0.011 C0.011 (+0.22%)O0.011 H0.011 L0.011 C0.011 (-1.67%)O0.011 H0.011 L0.011 C0.011 (-1.67%)O0.011 H0.011 L0.011 C0.011 (-0.34%)O0.011 H0.011 L0.011 C0.011 (-0.34%)O0.011 H0.011 L0.011 C0.011 (-0.75%)O0.011 H0.011 L0.011 C0.011 (-0.75%)#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=41,118,609 · μ=1644744.4 · σ=2932732.4 · CV=1.78BURSTY · concentratedcumulative energy &nearr; · 50% by h=1203,512,2767,024,55310,536,82914,049,105μ = 1644744540,939 · 3.9% peak540,939 · 3.9% peak463,382 · 3.3% peak463,382 · 3.3% peak1,585,174 · 11.3% peak1,585,174 · 11.3% peak468,561 · 3.3% peak468,561 · 3.3% peak175,662 · 1.3% peak175,662 · 1.3% peak462,095 · 3.3% peak462,095 · 3.3% peak137,392 · 1.0% peak137,392 · 1.0% peak367,509 · 2.6% peak367,509 · 2.6% peak1,564,016 · 11.1% peak1,564,016 · 11.1% peak513,492 · 3.7% peak513,492 · 3.7% peak14,049,10514,049,105 · 100.0% peak14,049,105 · 100.0% peak3,361,482 · 23.9% peak3,361,482 · 23.9% peak568,380 · 4.0% peak568,380 · 4.0% peak6,860,579 · 48.8% peak6,860,579 · 48.8% peak548,793 · 3.9% peak548,793 · 3.9% peak901,856 · 6.4% peak901,856 · 6.4% peak684,057 · 4.9% peak684,057 · 4.9% peak820,900 · 5.8% peak820,900 · 5.8% peak1,979,347 · 14.1% peak1,979,347 · 14.1% peak437,971 · 3.1% peak437,971 · 3.1% peak959,095 · 6.8% peak959,095 · 6.8% peak1,183,716 · 8.4% peak1,183,716 · 8.4% peak973,560 · 6.9% peak973,560 · 6.9% peak1,411,183 · 10.0% peak1,411,183 · 10.0% peak100,363 · 0.7% peak100,363 · 0.7% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 41118609 · peak 14049105 · CV 1.78

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0027 · σ=0.0079 · skew=0.89 (right-skewed) · kurt=2.07 (leptokurtic (fat tails))75420 3-147.62bpbin -147.62bp · n=3 · 42.9% peakbin -147.62bp · n=3 · 42.9% peak 1-113.93bpbin -113.93bp · n=1 · 14.3% peakbin -113.93bp · n=1 · 14.3% peak 4-80.23bpbin -80.23bp · n=4 · 57.1% peakbin -80.23bp · n=4 · 57.1% peak 2-46.53bpbin -46.53bp · n=2 · 28.6% peakbin -46.53bp · n=2 · 28.6% peak 7-12.83bpbin -12.83bp · n=7 · 100.0% peakbin -12.83bp · n=7 · 100.0% peak 420.86bpbin 20.86bp · n=4 · 57.1% peakbin 20.86bp · n=4 · 57.1% peak 254.56bpbin 54.56bp · n=2 · 28.6% peakbin 54.56bp · n=2 · 28.6% peak88.26bp121.96bp155.65bp189.35bp 1223.05bpbin 223.05bp · n=1 · 14.3% peakbin 223.05bp · n=1 · 14.3% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 8 · negative 16
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=0.94 · kurt=2.33 · near 19 / mid 4 / far 1 · OLS slope=0.98 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
$0.0112
Mid price
$0.0112
24h change
-5.24%
Mark–mid spread
3.58 bps
Prev-day close
$0.0118

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25LEFT-SKEWED (G₁=-0.59)
μ MEAN0.0115$95% CI: [0.0115$, 0.0116$]
σ STD DEV0.0002$σ² = 0.000×10⁻⁴ · CV = 1.40%
med MEDIAN0.0116$Q₁ 0.0115$ · Q₃ 0.0116$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0007$ · IQR 0.0001$ (1.349σ→0.0002$)
min 0.0112$Q₁ 0.0115$med 0.0116$Q₃ 0.0116$max 0.0118$μ
SKEWNESS · G₁-0.591left-skewed
−3−10+1+3
EXCESS KURTOSIS · G₂0.220mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ < med · left-tailed|μ−med| / σ = 0.23
σ × 1.349 ↔ IQRdiverges from normalratio = 2.56
range ↔ σwide tails (range > 4σ)range / σ = 4.27
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=-27.68
μᵣ MEAN / h-0.249437%drift is negative per h · |μ|/σ = 0.296
σᵣ STD / h0.843490%σ²ᵣ = 0.711×10⁻⁴ · CV = 3.38×
σ ANNUALISED78.95%/yrscaled by √8760 (hourly→yearly) · 0.843%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-27.68negative edge
-2-10+1+2+3+4
SORTINO (annualised)-27.94downside 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 · G₁1.00right-skewed · heavy positive tail
-3-10+1+3
EXCESS KURTOSIS · G₂3.20leptokurtic · fat tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.01
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-2185.06%/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 1.50%
VaR₉₅ (h)1.501%5% prob of larger adverse h move
VaR₉₉ (h)1.615%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.581%expected loss given 5% tail event
MAX DRAWDOWN5.81%24h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−1.501%VaR₉₉−1.615%ES₉₅−1.581%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEsignificant drawdown · 24h duration
PEAK1.18$
−5.81% drawdown over 24h
1.12$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.05× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.08× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONsignificant drawdownrecovery needed: +6.17% (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)
26.3 · oversold
Bollinger %B
-0.069 · below lower band
Bollinger upper
$0.0118
Bollinger MA
$0.0115
Bollinger lower
$0.0112

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.44 + ADF rejected
ρ(1) AUTOCORR-0.436negative · reversal
ρ(2) AUTOCORR+0.189lag-2 not significant
H · HURST EXPONENT0.889strongly persistent
OLS TREND · t-STAT-5.182significant @ 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..51 SIGNIFICANT LAG · k=1
k=1 ★-0.436k=2+0.189k=3+0.244k=4-0.224k=5+0.1120+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|=5.18)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.44 + 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|=5.18)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)
$473.02k
Open interest (USD)
$922.35k
Vol / OI (turnover)
0.51x
1h funding
-0.000649%
Funding (annualised)
-5.69%/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 2.40% · worst -1.64% · typical |Δ| 0.63%BEARISH SESSION -5.99%BEST+2.40%00hWORST-1.64%01hTYPICAL |Δ|0.63%mean absoluteCUMULATIVE-5.99%Σ signed ΔSTREAK↘ 3down-runASIA · 00-08 UTCμ +0.06% · Σ +0.45%EUROPE · 08-16 UTCμ -0.52% · Σ -4.16%US · 16-24 UTCμ -0.28% · Σ -2.28%CUMULATIVE Δ PATH · final -5.99%+0.00%-5.99%-0.71% · 15h-0.71% · 15h-0.71%15h-1.52% · 16h-1.52% · 16h-1.52%16h0.05% · 17h0.05% · 17h0.05%17h-0.64% · 18h-0.64% · 18h-0.64%18h0.35% · 19h0.35% · 19h0.35%19h-0.17% · 20h-0.17% · 20h-0.17%20h0.55% · 21h0.55% · 21h0.55%21h-0.12% · 22h-0.12% · 22h-0.12%22h-0.78% · 23h-0.78% · 23h-0.78%23h2.40% · 00h2.40% · 00h2.40%00h★ BEST-1.64% · 01h-1.64% · 01h-1.64%01h▼ WORST0.37% · 02h0.37% · 02h0.37%02h0.54% · 03h0.54% · 03h0.54%03h-0.85% · 04h-0.85% · 04h-0.85%04h-0.11% · 05h-0.11% · 05h-0.11%05h0.03% · 06h0.03% · 06h0.03%06h-0.28% · 07h-0.28% · 07h-0.28%07h-0.06% · 08h-0.06% · 08h-0.06%08h-0.31% · 09h-0.31% · 09h-0.31%09h-1.12% · 10h-1.12% · 10h-1.12%10h0.27% · 11h0.27% · 11h0.27%11h-1.41% · 12h-1.41% · 12h-1.41%12h-0.19% · 13h-0.19% · 13h-0.19%13h-0.63% · 14h-0.63% · 14h-0.63%14hTIME PATTERNAsia-led (+0.45%)RUNSup max 2 · down max 4BREADTH33% up · 67% down
8 up bars · 16 down · best 2.40% · worst -1.64% · typical |Δ| 0.629%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsSEVERE DRAWDOWN -5.89%FINAL-5.89%MAX DD-5.89%RECOVERYONGOING · 24 barsMAX RUN-UP+0.00%UNDERWATER24/25 (96%)STREAK↘ 3EQUITY CURVE · end 0.9411 · peak 1.0000 · range [0.9411, 1.0000]1.00000.9411break-even = 1★ PEAK 1.0000UNDERWATER DRAWDOWN · max -5.89% · significant0%-5.89%▼ TROUGH -5.89%TOP DRAWDOWN PERIODS · 1 total#1 -5.89%bar 2-25 · 24 bars · ONGOINGDD SEVERITYsignificant (max -5.89%)RECOVERYongoing · 24 barsTIME UNDER WATER96% of session · 24/25 bars
final equity 0.9411 (-5.89%) · max DD -5.89% · time-under-water 24/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +7 / −12 (37% positive) · μ=-28.36 · σ=35.66MIXED EDGELAST -84.83 (-1.58σ vs μ)84.8342.410.00-42.41-84.83μ = -28.36-62.10-62.10-28.47-28.470.640.64-24.19-24.1931.6631.662.652.658.838.838.698.690.380.387.937.93-31.57-31.57-9.53-9.53-25.35-25.35-78.66-78.66-69.39-69.39-47.96-47.96-70.21-70.21-67.34-67.34-84.83-84.83v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -84.829 · range [-84.83, 31.66] · μ -28.358 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=75.3522 · σ=37.0561 · range [29.4614, 133.8274] · R²=0.099▼ FALLING -6.29%σ EXTREME 49.18%LAST 58.2660133.8274107.735981.644455.552929.4614μ = 75.3522max 133.8274min 29.4614dataMA(3)OLS R²=0.10μ lineμ ± σ bandmaxmin
latest 58.27% · range [29.46%, 133.83%] · μ 75.35% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +1 / −18 (5% positive) · μ=-0.418 · σ=0.254MEAN-REVERSIONLAST -0.855 (-1.72σ vs μ)0.8550.4280.000-0.428-0.855μ = -0.418-0.129-0.129-0.224-0.224-0.541-0.541-0.208-0.208-0.324-0.324-0.634-0.634-0.679-0.679-0.658-0.658-0.655-0.655-0.476-0.476-0.255-0.255-0.160-0.160-0.511-0.511-0.123-0.1230.1000.100-0.367-0.367-0.541-0.541-0.697-0.697-0.855-0.855v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.855 · |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
14.2270
p-VALUE (log scale)
0.0008
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
9.9041
p-VALUE (log scale)
0.0771
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
-1.2369
p-VALUE (log scale)
0.6560
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
1.5743
p-VALUE (log scale)
0.1154
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (15 runs)
χ

KPSS (μ stationarity)

REJECT H₀*

H₀: p IS level-stationary

STATISTIC
0.6260
p-VALUE (log scale)
0.0203
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
-1.6041
p-VALUE (log scale)
0.1087
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.512 ≈ 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=6.86e-5 · top T=2.67h (24.6%) · top-3 cover 62.5%2 SIGNIFICANT CYCLEScumulative energy ↗ (2 bins above 2× noise)2.0e-41.5e-41.0e-45.1e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 1.07e-4 · 13.0% energyperiod 24.0 · power 1.07e-4 · 13.0% energyperiod 12.0 · power 1.90e-5 · 2.3% energyperiod 12.0 · power 1.90e-5 · 2.3% energyperiod 8.0 · power 5.45e-7 · 0.1% energyperiod 8.0 · power 5.45e-7 · 0.1% energyperiod 6.0 · power 1.74e-5 · 2.1% energyperiod 6.0 · power 1.74e-5 · 2.1% energyperiod 4.8 · power 5.01e-6 · 0.6% energyperiod 4.8 · power 5.01e-6 · 0.6% energyperiod 4.0 · power 5.54e-6 · 0.7% energyperiod 4.0 · power 5.54e-6 · 0.7% energyperiod 3.4 · power 7.19e-5 · 8.7% energyperiod 3.4 · power 7.19e-5 · 8.7% energyperiod 3.0 · power 1.14e-4 · 13.8% energyperiod 3.0 · power 1.14e-4 · 13.8% energyperiod 2.7 · power 2.02e-4 · 24.6% energyperiod 2.7 · power 2.02e-4 · 24.6% energyperiod 2.4 · power 7.32e-5 · 8.9% energyperiod 2.4 · power 7.32e-5 · 8.9% energyperiod 2.2 · power 1.98e-4 · 24.1% energyperiod 2.2 · power 1.98e-4 · 24.1% energyperiod 2.0 · power 8.95e-6 · 1.1% energyperiod 2.0 · power 8.95e-6 · 1.1% energy50% by T=2.7h#1 dominantT=2.67h#2T=2.18h#3T=3.00hT=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 ≈ 2.67h (freq 0.375) · concentrates 24.6% of total energy · Σ|X̂|²/n = 8.227e-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
-86.24×
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 -64.92400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.028
annualized -64.92
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
-0.1%
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 -60.90σ ann 71% · Sortino -40.20 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-7308%-5830%-4351%-2873%-1394%85%-1000.0%APR (simple)-100.0%APY (compound)70.6%Ann. vol σ-6090.4%Sharpe (ann)-4019.6%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%
0.0110.0110.0110.0120.0120.012t-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 14:30:36 UTC
Snapshot age
666ms
History points
25 hourly closes
Page rendered
2026-06-14 14:30:37 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
dbe685976c2724b4e3a8ad8b8088b2613a22e115a0e5e030737d4dc1daa43693 · 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
$588
bid $253 · ask $335
Depth within 10bp
$5.24K
bid $1.38K · ask $3.87K
Depth within 50bp
$42.77K
bid $22.09K · ask $20.69K
Mid price
0.011169
(best bid + best ask) / 2
Spread
9.0bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.035
bid-heavy
Imbalance (top-5)
-0.068
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-ZK/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0111755.07bp0.0111752FILLED
BUY$10.00K0.01118312.66bp0.01119010FILLED
BUY$100.00K0.01119523.02bp0.01121920PARTIAL
SELL$1.00K0.0111635.15bp0.0111632FILLED
SELL$10.00K0.01114917.47bp0.01113710FILLED
SELL$100.00K0.01113629.84bp0.01111520PARTIAL

Funding carry

▸ SHORTS PAY · longs receive
Hourly funding
-6.491e-6
-0.00065% / hr
Annualised APR
-5.690%
hourly · 24 · 365.25
Long: days to 1% carry
64.2d
longs receive
Short: days to 1% carry
64.2d
shorts pay
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGRECEIVE5.690%64.2d1.76y
SHORTPAY-5.690%64.2d1.76y

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

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$41.12M

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

Order flow

▸ BID-LEAN · +0.215 · Hyperliquid candles
Bars (buy / sell)
8 / 16
1 unclassified
Buy weight
$24.64M
real volume
Sell weight
$15.93M
real volume
Net delta
$8.71M
buyers net
Imbalance
21.47%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
21.5%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 4 found · deepest 3.65% · 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 09:00:00Z5.0h0.011575→0.0111523.654%6
#22026-06-13 15:00:00Z3.0h0.011840→0.0115112.779%4
#32026-06-14 01:00:00Z5.0h0.011770→0.0115721.682%6

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
70.62%
σ per bar = 0.000308
Mean return (annualised)
-4301.11%
μ per bar = -0.000008
Sharpe (rf=0)
-60.90
annualised; risk-free assumed zero
Max drawdown
4.32%
peak 0.01 → trough 0.01 over 4887 bars

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