HYPERLIQUID · PERPETUAL FUTURES

ALGO

ALGO-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-algo · fresh · feed 4s old
24h sparkline · 60 pts▲ 3.41%
realized vol (ann.)
68.69%
max drawdown
1.60%
sharpe
-4.80
ulcer index
1.02%
RMS drawdown
pain index
0.90%
mean drawdown
mod. VaR 95%
0.04%
Cornish-Fisher
martin ratio
-323.11
ret / ulcer
CDaR 95%
1.52%
cond. drawdown
gain/pain
0.99
Σgain / Σ|loss|
sterling
-216.16
ret / CDaR
omega (θ=0)
0.99
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
3.41%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 34%
  • 24h change +3.41%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 13.6bps — long bias
Same bundle via M2M API: /api/m2m/hl-algo/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH4.0s⏱--:--:-- 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
$0.092
24h Δ · live
3.41%
24h vol · live
$0.8M
ALGO · live 24h price
n=25 · μ=0.0902 · σ=0.0016 · range [0.0878, 0.0925] · R²=0.651▲ RISING +2.96%σ NORMAL 1.82%LAST 0.09160.09250.09130.09010.08900.0878μ = 0.0902max 0.0925min 0.0878dataMA(5)OLS R²=0.65μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.09
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=8,520,707 · μ=340828.3 · σ=350413.4 · CV=1.03BURSTYcumulative energy ↗ · 50% by h=140338,481676,9611,015,4421,353,922μ = 3408281,353,92250%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 1353922 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
4.0s
$mark $
$0.0917
$mid $
$0.0916
◉prev-day close
$0.0886
Δ24h Δ %
+3.413%
$24h vol $
$768.02k
◐open interest $
$1.96M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0902 · σ=0.0016 · range [0.0878, 0.0925] · R²=0.651▲ RISING +2.96%σ NORMAL 1.82%LAST 0.09160.09250.09130.09010.08900.0878μ = 0.0902max 0.0925min 0.0878dataMA(5)OLS R²=0.65μ lineμ ± σ bandmaxmin
mark $0.0917 · 24h 3.41% · range $[0.0878, 0.0925]
OHLC candles · hourly
n=25 · up 14 · down 11 (56% up) · range [0.0875, 0.0936] · σ=0.0016 · CV=0.02 · bodyµ=45%BULLISH +3.43%CLOSE 0.0916 vs OPEN 0.0886 (+3.43%)&#9650; CLOSE 0.09160.09360.09210.09060.08910.0875μ close = 0.0902O0.089 H0.089 L0.088 C0.089 (+0.45%)O0.089 H0.089 L0.088 C0.089 (+0.45%)O0.089 H0.089 L0.088 C0.088 (-0.60%)O0.089 H0.089 L0.088 C0.088 (-0.60%)O0.088 H0.089 L0.088 C0.089 (+0.38%)O0.088 H0.089 L0.088 C0.089 (+0.38%)O0.089 H0.089 L0.089 C0.089 (+0.11%)O0.089 H0.089 L0.089 C0.089 (+0.11%)O0.089 H0.089 L0.088 C0.088 (-1.14%)O0.089 H0.089 L0.088 C0.088 (-1.14%)O0.088 H0.088 L0.088 C0.088 (-0.11%)O0.088 H0.088 L0.088 C0.088 (-0.11%)O0.088 H0.088 L0.088 C0.088 (-0.08%)O0.088 H0.088 L0.088 C0.088 (-0.08%)O0.088 H0.088 L0.088 C0.088 (+0.36%)O0.088 H0.088 L0.088 C0.088 (+0.36%)O0.088 H0.089 L0.088 C0.089 (+0.44%)O0.088 H0.089 L0.088 C0.089 (+0.44%)O0.089 H0.089 L0.088 C0.089 (+0.30%)O0.089 H0.089 L0.088 C0.089 (+0.30%)O0.089 H0.089 L0.089 C0.089 (-0.22%)O0.089 H0.089 L0.089 C0.089 (-0.22%)O0.089 H0.090 L0.089 C0.090 (+0.84%)O0.089 H0.090 L0.089 C0.090 (+0.84%)2.6%O0.090 H0.092 L0.089 C0.092 (+2.63%)O0.090 H0.092 L0.089 C0.092 (+2.63%)O0.092 H0.094 L0.092 C0.092 (+0.24%)O0.092 H0.094 L0.092 C0.092 (+0.24%)O0.092 H0.094 L0.091 C0.091 (-0.82%)O0.092 H0.094 L0.091 C0.091 (-0.82%)O0.091 H0.093 L0.091 C0.092 (+1.30%)O0.091 H0.093 L0.091 C0.092 (+1.30%)O0.092 H0.092 L0.091 C0.092 (-0.56%)O0.092 H0.092 L0.091 C0.092 (-0.56%)O0.092 H0.092 L0.091 C0.092 (+0.06%)O0.092 H0.092 L0.091 C0.092 (+0.06%)O0.092 H0.093 L0.091 C0.091 (-1.46%)O0.092 H0.093 L0.091 C0.091 (-1.46%)O0.091 H0.092 L0.090 C0.092 (+0.89%)O0.091 H0.092 L0.090 C0.092 (+0.89%)O0.092 H0.092 L0.091 C0.091 (-0.19%)O0.092 H0.092 L0.091 C0.091 (-0.19%)O0.092 H0.092 L0.091 C0.092 (+0.04%)O0.092 H0.092 L0.091 C0.092 (+0.04%)O0.092 H0.092 L0.091 C0.091 (-0.76%)O0.092 H0.092 L0.091 C0.091 (-0.76%)O0.091 H0.092 L0.091 C0.091 (-0.03%)O0.091 H0.092 L0.091 C0.091 (-0.03%)O0.091 H0.092 L0.091 C0.092 (+0.55%)O0.091 H0.092 L0.091 C0.092 (+0.55%)#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=8,520,707 · μ=340828.3 · σ=350413.4 · CV=1.03BURSTYcumulative energy &nearr; · 50% by h=140338,481676,9611,015,4421,353,922μ = 34082882,983 · 6.1% peak82,983 · 6.1% peak107,485 · 7.9% peak107,485 · 7.9% peak300,057 · 22.2% peak300,057 · 22.2% peak1,353,9221,353,922 · 100.0% peak1,353,922 · 100.0% peak291,651 · 21.5% peak291,651 · 21.5% peak72,506 · 5.4% peak72,506 · 5.4% peak60,287 · 4.5% peak60,287 · 4.5% peak54,772 · 4.0% peak54,772 · 4.0% peak75,189 · 5.6% peak75,189 · 5.6% peak82,372 · 6.1% peak82,372 · 6.1% peak841,146 · 62.1% peak841,146 · 62.1% peak128,924 · 9.5% peak128,924 · 9.5% peak543,589 · 40.1% peak543,589 · 40.1% peak361,120 · 26.7% peak361,120 · 26.7% peak229,235 · 16.9% peak229,235 · 16.9% peak295,277 · 21.8% peak295,277 · 21.8% peak530,008 · 39.1% peak530,008 · 39.1% peak1,188,572 · 87.8% peak1,188,572 · 87.8% peak131,260 · 9.7% peak131,260 · 9.7% peak78,686 · 5.8% peak78,686 · 5.8% peak411,983 · 30.4% peak411,983 · 30.4% peak174,790 · 12.9% peak174,790 · 12.9% peak109,174 · 8.1% peak109,174 · 8.1% peak688,444 · 50.8% peak688,444 · 50.8% peak327,275 · 24.2% peak327,275 · 24.2% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 8520707 · peak 1353922 · CV 1.03

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=0.0012 · σ=0.0077 · skew=0.81 (right-skewed) · kurt=1.56 (leptokurtic (fat tails))54310 2-112.83bpbin -112.83bp · n=2 · 40.0% peakbin -112.83bp · n=2 · 40.0% peak 2-80.15bpbin -80.15bp · n=2 · 40.0% peakbin -80.15bp · n=2 · 40.0% peak 2-47.47bpbin -47.47bp · n=2 · 40.0% peakbin -47.47bp · n=2 · 40.0% peak 5-14.79bpbin -14.79bp · n=5 · 100.0% peakbin -14.79bp · n=5 · 100.0% peak 417.88bpbin 17.88bp · n=4 · 80.0% peakbin 17.88bp · n=4 · 80.0% peak 550.56bpbin 50.56bp · n=5 · 100.0% peakbin 50.56bp · n=5 · 100.0% peak 283.24bpbin 83.24bp · n=2 · 40.0% peakbin 83.24bp · n=2 · 40.0% peak 1115.92bpbin 115.92bp · n=1 · 20.0% peakbin 115.92bp · n=1 · 20.0% peak148.60bp181.27bp213.95bp 1246.63bpbin 246.63bp · n=1 · 20.0% peakbin 246.63bp · n=1 · 20.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 13 · negative 11
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=0.88 · kurt=1.92 · near 21 / mid 2 / far 1 · OLS slope=0.99 intercept=-0.00MODERATE DEPARTURE · SOME OUTLIERSUPPER 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
$0.0917
Mid price
$0.0916
24h change
+3.41%
Mark–mid spread
3.38 bps
Prev-day close
$0.0886

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.76)
μ MEAN0.0902$95% CI: [0.0895$, 0.0908$]
σ STD DEV0.0016$σ² = 0.027×10⁻⁴ · CV = 1.82%
med MEDIAN0.0908$Q₁ 0.0888$ · Q₃ 0.0916$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0047$ · IQR 0.0028$ (1.349σ→0.0022$)
min 0.0878$Q₁ 0.0888$med 0.0908$Q₃ 0.0916$max 0.0925$μ
SKEWNESS · G₁-0.112approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.759platykurtic · thin tails
−30+2+4+6
μ ↔ medianμ < med · left-tailed|μ−med| / σ = 0.38
σ × 1.349 ↔ IQRdiverges from normalratio = 0.78
range ↔ σconcentrated (range < 4σ)range / σ = 2.86
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-ADJUSTEDEXCEPTIONAL EDGE · SR=13.81
μᵣ MEAN / h+0.121722%drift is positive per h · |μ|/σ = 0.147
σᵣ STD / h0.825244%σ²ᵣ = 0.681×10⁻⁴ · CV = 6.78×
σ ANNUALISED77.24%/yrscaled by √8760 (hourly→yearly) · 0.825%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)13.81excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)17.03strong downside-adjusted
-2-10+1+2+3+4
CALMAR (return / max-DD)100.00exceptional DD control
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁0.94right-skewed · heavy positive tail
-3-10+1+3
EXCESS KURTOSIS · G₂2.69leptokurtic · fat tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.23
CALMAR · DD CONTROLdrawdown control exceptionalCR = 100.00
EXPECTED EDGE+1066.28%/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 1.10%
VaR₉₅ (h)1.102%5% prob of larger adverse h move
VaR₉₉ (h)1.259%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.220%expected loss given 5% tail event
MAX DRAWDOWN1.84%3h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−1.102%VaR₉₉−1.259%ES₉₅−1.220%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 3h duration
PEAK9.25$
−1.84% drawdown over 3h
9.08$TROUGH
ES / VaR · TAIL THICKNESSmild tail heaviness|ES₉₅| / |VaR₉₅| = 1.11× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.14× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +1.88% (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)
59.3 · neutral
Bollinger %B
0.670 · within band
Bollinger upper
$0.0937
Bollinger MA
$0.0905
Bollinger lower
$0.0873

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: INDETERMINATE · weak signal at n=24
ρ(1) AUTOCORR-0.095within white-noise band
ρ(2) AUTOCORR-0.048lag-2 not significant
H · HURST EXPONENT0.938strongly persistent
OLS TREND · t-STAT+6.553significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.938
H = 0.938STRONGLY 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=1-0.095k=2-0.048k=3+0.013k=4+0.180k=5-0.0520+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|=6.55)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONINDETERMINATE · weak signal at n=24from Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.97very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=6.55)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)
$768.02k
Open interest (USD)
$1.96M
Vol / OI (turnover)
0.39x
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 2.63% · worst -1.29% · typical |Δ| 0.59%MILD BULLISH +2.92%BEST+2.63%00hWORST-1.29%06hTYPICAL |Δ|0.59%mean absoluteCUMULATIVE+2.92%Σ signed ΔSTREAK↗ 1up-runASIA · 00-08 UTCμ +0.28% · Σ +2.26%EUROPE · 08-16 UTCμ -0.00% · Σ -0.03%US · 16-24 UTCμ +0.09% · Σ +0.69%CUMULATIVE Δ PATH · final +2.92%+3.84%-1.36%-0.60% · 13h-0.60% · 13h-0.60%13h0.38% · 14h0.38% · 14h0.38%14h0.15% · 15h0.15% · 15h0.15%15h-1.15% · 16h-1.15% · 16h-1.15%16h-0.14% · 17h-0.14% · 17h-0.14%17h-0.00% · 18h-0.00% · 18h-0.00%18h0.48% · 19h0.48% · 19h0.48%19h0.43% · 20h0.43% · 20h0.43%20h0.35% · 21h0.35% · 21h0.35%21h-0.12% · 22h-0.12% · 22h-0.12%22h0.84% · 23h0.84% · 23h0.84%23h2.63% · 00h2.63% · 00h2.63%00h★ BEST0.18% · 01h0.18% · 01h0.18%01h-0.84% · 02h-0.84% · 02h-0.84%02h1.25% · 03h1.25% · 03h1.25%03h-0.72% · 04h-0.72% · 04h-0.72%04h0.15% · 05h0.15% · 05h0.15%05h-1.29% · 06h-1.29% · 06h-1.29%06h▼ WORST0.90% · 07h0.90% · 07h0.90%07h-0.10% · 08h-0.10% · 08h-0.10%08h0.23% · 09h0.23% · 09h0.23%09h-0.54% · 10h-0.54% · 10h-0.54%10h-0.09% · 11h-0.09% · 11h-0.09%11h0.54% · 12h0.54% · 12h0.54%12hTIME PATTERNAsia-led (+2.26%)RUNSup max 3 · down max 3BREADTH54% up · 46% down
13 up bars · 11 down · best 2.63% · worst -1.29% · typical |Δ| 0.588%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsSTRONG PROFIT +2.88% · SHALLOW DDFINAL+2.88%MAX DD-1.85%RECOVERYONGOING · 9 barsMAX RUN-UP+3.85%UNDERWATER20/25 (80%)STREAK↗ 1EQUITY CURVE · end 1.0288 · peak 1.0385 · range [0.9864, 1.0385]1.03850.9864break-even = 1★ PEAK 1.0385UNDERWATER DRAWDOWN · max -1.85% · moderate0%-1.85%▼ TROUGH -1.85%TOP DRAWDOWN PERIODS · 3 total#1 -1.85%bar 17-25 · 9 bars · ONGOING#2 -1.36%bar 2-11 · 10 bars · recovered#3 -0.84%bar 15-15 · 1 bars · recoveredDD SEVERITYmoderate (max -1.85%)RECOVERYongoing · 9 barsTIME UNDER WATER80% of session · 20/25 bars
final equity 1.0288 (2.88%) · max DD -1.85% · time-under-water 20/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +10 / −9 (53% positive) · μ=18.40 · σ=37.43MIXED EDGELAST 28.60 (+0.27σ vs μ)88.9744.490.00-44.49-88.97μ = 18.40-38.01-38.01-7.53-7.53-6.00-6.00-0.72-0.7255.0555.0588.9788.9774.8174.8168.1268.1240.2640.2650.7150.7139.7039.7031.5131.51-21.63-21.63-8.35-8.353.033.03-16.69-16.69-13.46-13.46-18.73-18.7328.6028.60v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 28.604 · range [-38.01, 88.97] · μ 18.402 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=76.9423 · σ=28.8926 · range [26.5951, 122.6193] · R²=0.094▼ FALLING -7.81%σ EXTREME 37.55%LAST 48.1902122.619398.613274.607250.601126.5951μ = 76.9423max 122.6193min 26.5951dataMA(3)OLS R²=0.09μ lineμ ± σ bandmaxmin
latest 48.19% · range [26.60%, 122.62%] · μ 76.94% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +5 / −14 (26% positive) · μ=-0.218 · σ=0.298MEAN-REVERSIONLAST -0.144 (+0.25σ vs μ)0.6660.3330.000-0.333-0.666μ = -0.218-0.262-0.262-0.007-0.0070.0900.0900.2780.2780.1940.194-0.446-0.4460.1470.147-0.101-0.1010.0490.049-0.121-0.121-0.176-0.176-0.218-0.218-0.587-0.587-0.666-0.666-0.532-0.532-0.557-0.557-0.590-0.590-0.483-0.483-0.144-0.144v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.144 · |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
10.7708
p-VALUE (log scale)
0.0046
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
1.4170
p-VALUE (log scale)
0.9217
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
-1.0193
p-VALUE (log scale)
0.7447
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
1.2965
p-VALUE (log scale)
0.1948
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (16 runs)
χ

KPSS (μ stationarity)

REJECT H₀*

H₀: p IS level-stationary

STATISTIC
0.7099
p-VALUE (log scale)
0.0126
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
-0.3306
p-VALUE (log scale)
0.7409
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.899 ≈ 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=6.88e-5 · top T=2.40h (16.6%) · top-3 cover 41.9%WHITE NOISE · no dominant cyclecumulative energy ↗ (0 bins above 2× noise)1.4e-41.0e-46.9e-53.4e-50.0e+0μ noise floorperiod 24.0 · power 8.22e-5 · 10.0% energyperiod 24.0 · power 8.22e-5 · 10.0% energyperiod 12.0 · power 7.86e-5 · 9.5% energyperiod 12.0 · power 7.86e-5 · 9.5% energyperiod 8.0 · power 1.06e-5 · 1.3% energyperiod 8.0 · power 1.06e-5 · 1.3% energyperiod 6.0 · power 3.90e-5 · 4.7% energyperiod 6.0 · power 3.90e-5 · 4.7% energyperiod 4.8 · power 6.03e-5 · 7.3% energyperiod 4.8 · power 6.03e-5 · 7.3% energyperiod 4.0 · power 1.15e-4 · 13.9% energyperiod 4.0 · power 1.15e-4 · 13.9% energyperiod 3.4 · power 6.81e-5 · 8.3% energyperiod 3.4 · power 6.81e-5 · 8.3% energyperiod 3.0 · power 9.34e-5 · 11.3% energyperiod 3.0 · power 9.34e-5 · 11.3% energyperiod 2.7 · power 2.71e-6 · 0.3% energyperiod 2.7 · power 2.71e-6 · 0.3% energyperiod 2.4 · power 1.37e-4 · 16.6% energyperiod 2.4 · power 1.37e-4 · 16.6% energyperiod 2.2 · power 5.41e-5 · 6.6% energyperiod 2.2 · power 5.41e-5 · 6.6% energyperiod 2.0 · power 8.41e-5 · 10.2% energyperiod 2.0 · power 8.41e-5 · 10.2% energy50% by T=3.4h#1 dominantT=2.40h#2T=4.00h#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 ≈ 2.40h (freq 0.417) · concentrates 16.6% of total energy · Σ|X̂|²/n = 8.252e-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 0.04%
μ per barmean
-0.000%
σ per barvol
0.04%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-20.37×
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 -12.48400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.005
annualized -12.48
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.01%
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 -16.66σ ann 82% · Sortino -14.38 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-1999%-1579%-1160%-741%-321%98%-1000.0%APR (simple)-100.0%APY (compound)81.8%Ann. vol σ-1665.7%Sharpe (ann)-1438.4%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%
0.0870.0890.0910.0930.0940.096t-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 12:19:40 UTC
Snapshot age
4.0s
History points
25 hourly closes
Page rendered
2026-06-14 12:19:45 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
82402d20a791cec4dbbda7eef81388384b92f5e06529a44bc0104c64aee2fc13 · 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

§∞-2 · Related markets · explore more

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Also see: /arb opportunities · RSS feed

Market depth

▸ live order book · Hyperliquid perp
Depth within 1bp
$808
bid $739 · ask $69
Depth within 5bp
$2.05K
bid $1.78K · ask $270
Depth within 10bp
$14.03K
bid $12.75K · ask $1.28K
Depth within 50bp
$106.71K
bid $67.65K · ask $39.06K
Mid price
0.091624
(best bid + best ask) / 2
Spread
0.7bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.339
bid-heavy
Imbalance (top-5)
+0.748
bid-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-algo/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0916887.02bp0.0917094FILLED
BUY$10.00K0.09175914.69bp0.09177410FILLED
BUY$100.00K0.09189029.03bp0.09197320PARTIAL
SELL$1.00K0.0916141.12bp0.0915932FILLED
SELL$10.00K0.0915705.89bp0.0915585FILLED
SELL$100.00K0.09129136.30bp0.09109320PARTIAL

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-algo/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$8.52M

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

Order flow

▸ BID-LEAN · +0.177 · Hyperliquid candles
Bars (buy / sell)
13 / 11
1 unclassified
Buy weight
$4.96M
real volume
Sell weight
$3.47M
real volume
Net delta
$1.49M
buyers net
Imbalance
17.67%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
17.7%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 5 found · deepest 1.84% · 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 04:00:00Z2.0h0.092471→0.0907661.844%3
#22026-06-13 16:00:00Z2.0h0.088925→0.0877861.281%3
#32026-06-14 02:00:00Z0ms0.092093→0.0913250.834%1

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
81.79%
σ per bar = 0.000357
Mean return (annualised)
-1362.45%
μ per bar = -0.000003
Sharpe (rf=0)
-16.66
annualised; risk-free assumed zero
Max drawdown
2.46%
peak 0.09 → trough 0.09 over 1771 bars

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