HYPERLIQUID · PERPETUAL FUTURES

ARK

ARK-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-ark · fresh · feed 2s old
24h sparkline · 60 pts▲ 0.30%
realized vol (ann.)
54.01%
max drawdown
1.07%
sharpe
6.39
ulcer index
0.46%
RMS drawdown
pain index
0.38%
mean drawdown
mod. VaR 95%
0.03%
Cornish-Fisher
martin ratio
749.72
ret / ulcer
CDaR 95%
0.93%
cond. drawdown
gain/pain
1.01
Σgain / Σ|loss|
sterling
369.38
ret / CDaR
omega (θ=0)
1.01
upside/downside
roll spread
1.3 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
0.30%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 36%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 21.3bps — long bias
Same bundle via M2M API: /api/m2m/hl-ark/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH2.0s⏱--:--:-- 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
$0.122
24h Δ · live
0.30%
24h vol · live
$0.1M
ARK · live 24h price
n=25 · μ=0.1215 · σ=0.0004 · range [0.1207, 0.1222] · R²=0.136▲ RISING +0.39%σ LOW 0.36%LAST 0.12200.12220.12180.12150.12110.1207μ = 0.1215max 0.1222min 0.1207dataMA(5)OLS R²=0.14μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.12
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=567,789 · μ=22711.6 · σ=14702.6 · CV=0.65STEADY FLOWcumulative energy ↗ · 50% by h=13017,07834,15651,23368,311μ = 2271268,31150%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 68311 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
2.0s
$mark $
$0.122
$mid $
$0.1221
◉prev-day close
$0.1217
Δ24h Δ %
+0.296%
$24h vol $
$68.49k
◐open interest $
$105.43k
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.1215 · σ=0.0004 · range [0.1207, 0.1222] · R²=0.136▲ RISING +0.39%σ LOW 0.36%LAST 0.12200.12220.12180.12150.12110.1207μ = 0.1215max 0.1222min 0.1207dataMA(5)OLS R²=0.14μ lineμ ± σ bandmaxmin
mark $0.1220 · 24h 0.30% · range $[0.1207, 0.1222]
OHLC candles · hourly
n=25 · up 12 · down 13 (48% up) · range [0.1203, 0.1225] · σ=0.0004 · CV=0.00 · bodyµ=50%CONSOLIDATINGCLOSE 0.1220 vs OPEN 0.1218 (+0.16%)&#9650; CLOSE 0.12200.12250.12200.12140.12090.1203μ close = 0.1215O0.122 H0.122 L0.121 C0.122 (-0.24%)O0.122 H0.122 L0.121 C0.122 (-0.24%)O0.121 H0.122 L0.121 C0.121 (-0.26%)O0.121 H0.122 L0.121 C0.121 (-0.26%)O0.121 H0.121 L0.121 C0.121 (-0.06%)O0.121 H0.121 L0.121 C0.121 (-0.06%)O0.121 H0.122 L0.121 C0.122 (+0.30%)O0.121 H0.122 L0.121 C0.122 (+0.30%)O0.122 H0.122 L0.120 C0.121 (-0.24%)O0.122 H0.122 L0.120 C0.121 (-0.24%)O0.121 H0.122 L0.121 C0.122 (+0.40%)O0.121 H0.122 L0.121 C0.122 (+0.40%)O0.121 H0.122 L0.121 C0.121 (-0.21%)O0.121 H0.122 L0.121 C0.121 (-0.21%)O0.121 H0.122 L0.121 C0.121 (+0.04%)O0.121 H0.122 L0.121 C0.121 (+0.04%)O0.121 H0.121 L0.121 C0.121 (-0.51%)O0.121 H0.121 L0.121 C0.121 (-0.51%)O0.121 H0.122 L0.121 C0.122 (+0.88%)O0.121 H0.122 L0.121 C0.122 (+0.88%)O0.122 H0.122 L0.121 C0.121 (-0.25%)O0.122 H0.122 L0.121 C0.121 (-0.25%)O0.121 H0.121 L0.121 C0.121 (-0.14%)O0.121 H0.121 L0.121 C0.121 (-0.14%)O0.121 H0.122 L0.121 C0.121 (-0.29%)O0.121 H0.122 L0.121 C0.121 (-0.29%)O0.121 H0.122 L0.121 C0.122 (+0.71%)O0.121 H0.122 L0.121 C0.122 (+0.71%)O0.122 H0.122 L0.122 C0.122 (+0.21%)O0.122 H0.122 L0.122 C0.122 (+0.21%)O0.122 H0.123 L0.122 C0.122 (-0.02%)O0.122 H0.123 L0.122 C0.122 (-0.02%)-1.0%O0.122 H0.122 L0.121 C0.121 (-1.04%)O0.122 H0.122 L0.121 C0.121 (-1.04%)O0.121 H0.122 L0.120 C0.122 (+0.49%)O0.121 H0.122 L0.120 C0.122 (+0.49%)O0.122 H0.122 L0.121 C0.121 (-0.69%)O0.122 H0.122 L0.121 C0.121 (-0.69%)O0.121 H0.122 L0.121 C0.121 (+0.01%)O0.121 H0.122 L0.121 C0.121 (+0.01%)O0.121 H0.122 L0.121 C0.122 (+0.28%)O0.121 H0.122 L0.121 C0.122 (+0.28%)O0.122 H0.122 L0.121 C0.122 (+0.26%)O0.122 H0.122 L0.121 C0.122 (+0.26%)O0.122 H0.122 L0.121 C0.121 (-0.93%)O0.122 H0.122 L0.121 C0.121 (-0.93%)O0.121 H0.122 L0.121 C0.122 (+0.61%)O0.121 H0.122 L0.121 C0.122 (+0.61%)O0.122 H0.122 L0.122 C0.122 (+0.21%)O0.122 H0.122 L0.122 C0.122 (+0.21%)#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=567,789 · μ=22711.6 · σ=14702.6 · CV=0.65STEADY FLOWcumulative energy &nearr; · 50% by h=13017,07834,15651,23368,311μ = 2271218,354 · 26.9% peak18,354 · 26.9% peak17,650 · 25.8% peak17,650 · 25.8% peak16,359 · 23.9% peak16,359 · 23.9% peak68,31168,311 · 100.0% peak68,311 · 100.0% peak12,967 · 19.0% peak12,967 · 19.0% peak18,849 · 27.6% peak18,849 · 27.6% peak14,095 · 20.6% peak14,095 · 20.6% peak17,911 · 26.2% peak17,911 · 26.2% peak14,868 · 21.8% peak14,868 · 21.8% peak18,773 · 27.5% peak18,773 · 27.5% peak14,462 · 21.2% peak14,462 · 21.2% peak15,649 · 22.9% peak15,649 · 22.9% peak37,758 · 55.3% peak37,758 · 55.3% peak36,266 · 53.1% peak36,266 · 53.1% peak14,256 · 20.9% peak14,256 · 20.9% peak15,925 · 23.3% peak15,925 · 23.3% peak63,283 · 92.6% peak63,283 · 92.6% peak31,540 · 46.2% peak31,540 · 46.2% peak18,596 · 27.2% peak18,596 · 27.2% peak21,360 · 31.3% peak21,360 · 31.3% peak15,362 · 22.5% peak15,362 · 22.5% peak20,216 · 29.6% peak20,216 · 29.6% peak18,982 · 27.8% peak18,982 · 27.8% peak19,643 · 28.8% peak19,643 · 28.8% peak6,354 · 9.3% peak6,354 · 9.3% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 567789 · peak 68311 · CV 0.65

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=0.0001 · σ=0.0048 · skew=-0.14 (symmetric) · kurt=-0.22 (mesokurtic)54310 2-95.72bpbin -95.72bp · n=2 · 40.0% peakbin -95.72bp · n=2 · 40.0% peak-78.22bp 1-60.72bpbin -60.72bp · n=1 · 20.0% peakbin -60.72bp · n=1 · 20.0% peak 2-43.23bpbin -43.23bp · n=2 · 40.0% peakbin -43.23bp · n=2 · 40.0% peak 2-25.73bpbin -25.73bp · n=2 · 40.0% peakbin -25.73bp · n=2 · 40.0% peak 5-8.24bpbin -8.24bp · n=5 · 100.0% peakbin -8.24bp · n=5 · 100.0% peak 49.26bpbin 9.26bp · n=4 · 80.0% peakbin 9.26bp · n=4 · 80.0% peak 326.75bpbin 26.75bp · n=3 · 60.0% peakbin 26.75bp · n=3 · 60.0% peak 144.25bpbin 44.25bp · n=1 · 20.0% peakbin 44.25bp · n=1 · 20.0% peak 261.74bpbin 61.74bp · n=2 · 40.0% peakbin 61.74bp · n=2 · 40.0% peak 179.24bpbin 79.24bp · n=1 · 20.0% peakbin 79.24bp · n=1 · 20.0% peak 196.73bpbin 96.73bp · n=1 · 20.0% peakbin 96.73bp · n=1 · 20.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 12 · negative 11
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.18 · kurt=-0.15 · near 23 / mid 1 / far 0 · OLS slope=1.02 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
$0.122
Mid price
$0.1221
24h change
+0.30%
Mark–mid spread
7.78 bps
Prev-day close
$0.1217

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.25)
μ MEAN0.1215$95% CI: [0.1213$, 0.1217$]
σ STD DEV0.0004$σ² = 0.002×10⁻⁴ · CV = 0.36%
med MEDIAN0.1215$Q₁ 0.1211$ · Q₃ 0.1218$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0015$ · IQR 0.0007$ (1.349σ→0.0006$)
min 0.1207$Q₁ 0.1211$med 0.1215$Q₃ 0.1218$max 0.1222$μ
SKEWNESS · G₁0.116approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.249platykurtic · thin tails
−30+2+4+6
μ ↔ median≈ equal · symmetric|μ−med| / σ = 0.09
σ × 1.349 ↔ IQRconsistent with normalratio = 0.85
range ↔ σconcentrated (range < 4σ)range / σ = 3.44
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-ADJUSTEDEXCELLENT · SR=2.99
μᵣ MEAN / h+0.016422%drift is positive per h · |μ|/σ = 0.032
σᵣ STD / h0.514281%σ²ᵣ = 0.264×10⁻⁴ · CV = 31.32×
σ ANNUALISED48.13%/yrscaled by √8760 (hourly→yearly) · 0.514%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)2.99excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)2.91strong 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 · G₁-0.20approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.11mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside ≈ total vol · symmetricSoR / SR = 0.97
CALMAR · DD CONTROLdrawdown control exceptionalCR = 100.00
EXPECTED EDGE+143.85%/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 0.93%
VaR₉₅ (h)0.926%5% prob of larger adverse h move
VaR₉₉ (h)1.031%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.016%expected loss given 5% tail event
MAX DRAWDOWN1.04%1h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.926%VaR₉₉−1.031%ES₉₅−1.016%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 1h duration
PEAK12.22$
−1.04% drawdown over 1h
12.09$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.10× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.11× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +1.05% (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)
53.1 · neutral
Bollinger %B
0.755 · within band
Bollinger upper
$0.1225
Bollinger MA
$0.1216
Bollinger lower
$0.1206

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.50 + ADF rejected
ρ(1) AUTOCORR-0.500negative · reversal
ρ(2) AUTOCORR+0.098lag-2 not significant
H · HURST EXPONENT0.612persistent
OLS TREND · t-STAT+1.902fails 5% test
HURST EXPONENT [0, 1]persistent · H = 0.612
H = 0.612PERSISTENT
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 ★-0.500k=2+0.098k=3-0.311k=4+0.347k=5-0.2880+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]MARGINAL @ 10% (|t|=1.90)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.50 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.72very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCEMARGINAL @ 10% (|t|=1.90)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)
$68.49k
Open interest (USD)
$105.43k
Vol / OI (turnover)
0.65x
1h funding
0.001250%
Funding (annualised)
+10.95%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
6.209× leverage · optimal log-utility leverage
Half-Kelly
3.104× · industry-standard conservative
Quarter-Kelly
1.552×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=24 bars · best 1.05% · worst -1.04% · typical |Δ| 0.39%MILD BULLISH +0.39%BEST+1.05%21hWORST-1.04%04hTYPICAL |Δ|0.39%mean absoluteCUMULATIVE+0.39%Σ signed ΔSTREAK↗ 2up-runASIA · 00-08 UTCμ +0.03% · Σ +0.22%EUROPE · 08-16 UTCμ +0.06% · Σ +0.48%US · 16-24 UTCμ -0.04% · Σ -0.31%CUMULATIVE Δ PATH · final +0.39%+0.54%-0.69%-0.33% · 13h-0.33% · 13h-0.33%13h-0.04% · 14h-0.04% · 14h-0.04%14h0.40% · 15h0.40% · 15h0.40%15h-0.24% · 16h-0.24% · 16h-0.24%16h0.35% · 17h0.35% · 17h0.35%17h-0.52% · 18h-0.52% · 18h-0.52%18h0.13% · 19h0.13% · 19h0.13%19h-0.44% · 20h-0.44% · 20h-0.44%20h1.05% · 21h1.05% · 21h1.05%21h★ BEST-0.58% · 22h-0.58% · 22h-0.58%22h-0.07% · 23h-0.07% · 23h-0.07%23h-0.09% · 00h-0.09% · 00h-0.09%00h0.77% · 01h0.77% · 01h0.77%01h0.12% · 02h0.12% · 02h0.12%02h0.03% · 03h0.03% · 03h0.03%03h-1.04% · 04h-1.04% · 04h-1.04%04h▼ WORST0.57% · 05h0.57% · 05h0.57%05h-0.13% · 06h-0.13% · 06h-0.13%06h0.00% · 07h0.00% · 07h·07h0.25% · 08h0.25% · 08h0.25%08h0.34% · 09h0.34% · 09h0.34%09h-0.99% · 10h-0.99% · 10h-0.99%10h0.70% · 11h0.70% · 11h0.70%11h0.16% · 12h0.16% · 12h0.16%12hTIME PATTERNEurope-led (+0.48%)RUNSup max 3 · down max 3BREADTH50% up · 46% down · 4% flat
12 up bars · 11 down · best 1.05% · worst -1.04% · typical |Δ| 0.389%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsPROFITABLE +0.36%FINAL+0.36%MAX DD-1.04%RECOVERYONGOING · 9 barsMAX RUN-UP+0.53%UNDERWATER18/25 (72%)STREAK↗ 2EQUITY CURVE · end 1.0036 · peak 1.0053 · range [0.9930, 1.0053]1.00530.9930break-even = 1★ PEAK 1.0053UNDERWATER DRAWDOWN · max -1.04% · moderate0%-1.04%▼ TROUGH -1.04%TOP DRAWDOWN PERIODS · 5 total#1 -1.04%bar 17-25 · 9 bars · ONGOING#2 -0.82%bar 7-9 · 3 bars · recovered#3 -0.74%bar 11-13 · 3 bars · recoveredDD SEVERITYmoderate (max -1.04%)RECOVERYongoing · 9 barsTIME UNDER WATER72% of session · 18/25 bars
final equity 1.0036 (0.36%) · max DD -1.04% · time-under-water 18/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +11 / −8 (58% positive) · μ=1.55 · σ=11.68MIXED EDGELAST 12.56 (+0.94σ vs μ)31.0415.520.00-15.52-31.04μ = 1.55-16.30-16.303.293.29-12.62-12.628.888.88-0.20-0.20-10.61-10.610.220.2215.1715.1731.0431.046.456.45-7.53-7.538.738.737.697.69-13.25-13.25-9.41-9.41-0.45-0.451.181.184.684.6812.5612.56v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 12.557 · range [-16.30, 31.04] · μ 1.553 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=51.4091 · σ=8.6674 · range [32.9731, 61.7259] · R²=0.160▲ RISING +54.08%σ EXTREME 16.86%LAST 53.481461.725954.537747.349540.161332.9731μ = 51.4091max 61.7259min 32.9731dataMA(3)OLS R²=0.16μ lineμ ± σ bandmaxmin
latest 53.48% · range [32.97%, 61.73%] · μ 51.41% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +2 / −17 (11% positive) · μ=-0.437 · σ=0.217MEAN-REVERSIONLAST -0.530 (-0.43σ vs μ)0.7110.3560.000-0.356-0.711μ = -0.437-0.485-0.485-0.711-0.711-0.630-0.630-0.473-0.473-0.674-0.674-0.608-0.608-0.651-0.651-0.528-0.528-0.324-0.3240.0530.0530.0220.022-0.297-0.297-0.293-0.293-0.529-0.529-0.501-0.501-0.361-0.361-0.223-0.223-0.565-0.565-0.530-0.530v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.530 · |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
3 of 6 REJECT · mixed evidence3 reject·3 pass·α = 0.05
𝒩

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
0.1649
p-VALUE (log scale)
0.9208
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainednormality not rejected
ρ

Ljung-Box(h=5)

REJECT H₀**

H₀: No serial autocorrelation up to lag 5

STATISTIC
16.3985
p-VALUE (log scale)
0.0060
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zoneserial dependence detected
Ψ

Dickey-Fuller (τ_μ)

REJECT H₀***

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

STATISTIC
-4.6257
p-VALUE (log scale)
0.0003
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonestationary · mean-reverting (crit ≈ -2.86)
±

Wald-Wolfowitz runs

FAIL TO REJECTns

H₀: Sign sequence of Δ is random

STATISTIC
1.5062
p-VALUE (log scale)
0.1320
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (16 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.4032
p-VALUE (log scale)
0.0758
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedstationary not rejected (crit 0.463)
χ

Variance ratio q=3

REJECT H₀*

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-2.0442
p-VALUE (log scale)
0.0409
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zoneVR 0.378 → mean-reverting
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=3.51e-5 · top T=2.00h (55.6%) · top-3 cover 78.9%STRONG CYCLE @ T≈2.0cumulative energy ↗ (1 bin above 2× noise)2.3e-41.8e-41.2e-45.8e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 1.03e-7 · 0.0% energyperiod 24.0 · power 1.03e-7 · 0.0% energyperiod 12.0 · power 2.37e-6 · 0.6% energyperiod 12.0 · power 2.37e-6 · 0.6% energyperiod 8.0 · power 4.07e-6 · 1.0% energyperiod 8.0 · power 4.07e-6 · 1.0% energyperiod 6.0 · power 9.78e-6 · 2.3% energyperiod 6.0 · power 9.78e-6 · 2.3% energyperiod 4.8 · power 4.34e-5 · 10.3% energyperiod 4.8 · power 4.34e-5 · 10.3% energyperiod 4.0 · power 1.23e-5 · 2.9% energyperiod 4.0 · power 1.23e-5 · 2.9% energyperiod 3.4 · power 3.19e-5 · 7.6% energyperiod 3.4 · power 3.19e-5 · 7.6% energyperiod 3.0 · power 5.49e-5 · 13.0% energyperiod 3.0 · power 5.49e-5 · 13.0% energyperiod 2.7 · power 1.47e-5 · 3.5% energyperiod 2.7 · power 1.47e-5 · 3.5% energyperiod 2.4 · power 7.62e-6 · 1.8% energyperiod 2.4 · power 7.62e-6 · 1.8% energyperiod 2.2 · power 6.08e-6 · 1.4% energyperiod 2.2 · power 6.08e-6 · 1.4% energyperiod 2.0 · power 2.34e-4 · 55.6% energyperiod 2.0 · power 2.34e-4 · 55.6% energy50% by T=2.0h#1 dominantT=2.00h#2T=3.00h#3T=4.80hT=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 55.6% of total energy · Σ|X̂|²/n = 4.211e-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 -7.89× · 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
-7.89×
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 -6.73400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.003
annualized -6.73
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 -232% · APY -92% · Sharpe -4.28σ ann 54% · Sortino -2.11 · n 4999
-514%-398%-282%-166%-51%65%-232.4%APR (simple)-91.6%APY (compound)54.3%Ann. vol σ-428.2%Sharpe (ann)-210.9%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%
0.1160.1180.1200.1230.1250.128t-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 12:17:46 UTC
Snapshot age
2.0s
History points
25 hourly closes
Page rendered
2026-06-14 12:17:48 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
02259ce2350e53981e067577ccdc697459cd8e2d2ca6140b2e6554531212004c · 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
$0
bid $0 · ask $0
Depth within 5bp
$0
bid $0 · ask $0
Depth within 10bp
$1.88K
bid $413 · ask $1.46K
Depth within 50bp
$12.04K
bid $6.39K · ask $5.65K
Mid price
0.122135
(best bid + best ask) / 2
Spread
15.6bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.258
ask-heavy
Imbalance (top-5)
-0.121
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-ark/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.1222448.90bp0.1222503FILLED
BUY$10.00K0.12287260.35bp0.12423010FILLED
BUY$100.00K0.126255337.33bp0.13130020PARTIAL
SELL$1.00K0.12199411.52bp0.1219603FILLED
SELL$10.00K0.12156646.55bp0.12043011FILLED
SELL$100.00K0.120415140.83bp0.11817020PARTIAL

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-ark/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$567.79K

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

Order flow

▸ BID-LEAN · +0.032 · Hyperliquid candles
Bars (buy / sell)
12 / 12
1 unclassified
Buy weight
$283.41K
real volume
Sell weight
$266.03K
real volume
Net delta
$17.38K
buyers net
Imbalance
3.16%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
3.2%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 6 found · deepest 1.04% · 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 04:00:00Z0ms0.122210→0.1209401.039%1
#22026-06-14 10:00:00Z0ms0.122190→0.1209900.982%1
#32026-06-13 20:00:00Z0ms0.121710→0.1207100.822%1

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
54.28%
σ per bar = 0.000237
Mean return (annualised)
-232.44%
μ per bar = -0.000000
Sharpe (rf=0)
-4.28
annualised; risk-free assumed zero
Max drawdown
1.61%
peak 0.12 → trough 0.12 over 963 bars

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