HYPERLIQUID · PERPETUAL FUTURES

BNB

BNB-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-bnb · fresh · feed 2s old
24h sparkline · 60 pts▲ 0.80%
realized vol (ann.)
16.28%
max drawdown
0.38%
sharpe
27.23
ulcer index
0.15%
RMS drawdown
pain index
0.13%
mean drawdown
mod. VaR 95%
0.01%
Cornish-Fisher
martin ratio
2899.62
ret / ulcer
CDaR 95%
0.28%
cond. drawdown
gain/pain
1.05
Σgain / Σ|loss|
sterling
1573.43
ret / CDaR
omega (θ=0)
1.05
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
0.80%
flow lean
—
carry
longs_pay
8.49%
signalNEUTRALconfidence 35%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 5.6bps — long bias
Same bundle via M2M API: /api/m2m/hl-bnb/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH2.1s⏱--:--:-- 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
$611.300
24h Δ · live
0.80%
24h vol · live
$5.2M
BNB · live 24h price
n=25 · μ=609.3564 · σ=1.3080 · range [606.8700, 611.9000] · R²=0.476▲ RISING +0.55%σ LOW 0.21%LAST 611.3000611.9000610.6425609.3850608.1275606.8700μ = 609.3564max 611.9000min 606.8700dataMA(5)OLS R²=0.48μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $611.30
Funding direction · live
Long fee 47.5%Short fee 52.5%SHORT FEE52.5%
Σ = 0.0%
Σ-sides total = 0.00% (100.00pp arb gap)
H(p) entropy = 0.998 / 1.00 bits (100%) · max uncertainty (~50/50)
Long fee
47.5%▬ +0.00pp
Short fee
52.5%▬ +0.00pp
1h funding 0.000969% · longs pay
Hourly contract volume · live
n=25 · Σ=8,634 · μ=345.3 · σ=476.7 · CV=1.38BURSTY · concentratedcumulative energy ↗ · 50% by h=705511,1021,6532,204μ = 3452,204.17150%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 2204 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
2.1s
$mark $
$611.3
$mid $
$611.275
◉prev-day close
$606.42
Δ24h Δ %
+0.805%
$24h vol $
$5.24M
◐open interest $
$29.92M
%funding (1h)
0.000969%
%funding (yr)
+8.49%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=609.3564 · σ=1.3080 · range [606.8700, 611.9000] · R²=0.476▲ RISING +0.55%σ LOW 0.21%LAST 611.3000611.9000610.6425609.3850608.1275606.8700μ = 609.3564max 611.9000min 606.8700dataMA(5)OLS R²=0.48μ lineμ ± σ bandmaxmin
mark $611.3000 · 24h 0.80% · range $[606.8700, 611.9000]
OHLC candles · hourly
n=25 · up 14 · down 11 (56% up) · range [605.9200, 612.7900] · σ=1.3080 · CV=0.00 · bodyµ=45%BULLISH +0.82%CLOSE 611.3000 vs OPEN 606.3000 (+0.82%)&#9650; CLOSE 611.3000612.7900611.0725609.3550607.6375605.9200μ close = 609.3564O606.300 H608.490 L605.920 C607.950 (+0.27%)O606.300 H608.490 L605.920 C607.950 (+0.27%)O608.480 H609.960 L607.730 C608.320 (-0.03%)O608.480 H609.960 L607.730 C608.320 (-0.03%)0.3%O608.310 H610.400 L607.980 C610.400 (+0.34%)O608.310 H610.400 L607.980 C610.400 (+0.34%)O610.380 H610.990 L609.220 C610.070 (-0.05%)O610.380 H610.990 L609.220 C610.070 (-0.05%)O610.170 H610.270 L607.370 C608.490 (-0.28%)O610.170 H610.270 L607.370 C608.490 (-0.28%)O608.550 H608.630 L606.540 C606.870 (-0.28%)O608.550 H608.630 L606.540 C606.870 (-0.28%)O606.890 H608.300 L606.880 C607.430 (+0.09%)O606.890 H608.300 L606.880 C607.430 (+0.09%)O607.490 H608.300 L607.100 C608.090 (+0.10%)O607.490 H608.300 L607.100 C608.090 (+0.10%)O608.110 H608.670 L607.390 C608.620 (+0.08%)O608.110 H608.670 L607.390 C608.620 (+0.08%)O608.690 H612.390 L608.270 C609.410 (+0.12%)O608.690 H612.390 L608.270 C609.410 (+0.12%)O609.470 H609.500 L608.270 C608.660 (-0.13%)O609.470 H609.500 L608.270 C608.660 (-0.13%)O608.650 H610.140 L608.410 C609.040 (+0.06%)O608.650 H610.140 L608.410 C609.040 (+0.06%)O609.160 H609.470 L608.500 C609.040 (-0.02%)O609.160 H609.470 L608.500 C609.040 (-0.02%)O609.260 H610.500 L608.650 C608.800 (-0.08%)O609.260 H610.500 L608.650 C608.800 (-0.08%)O608.880 H610.250 L608.710 C608.910 (+0.00%)O608.880 H610.250 L608.710 C608.910 (+0.00%)O608.800 H609.540 L608.160 C609.450 (+0.11%)O608.800 H609.540 L608.160 C609.450 (+0.11%)O609.540 H609.540 L607.500 C608.150 (-0.23%)O609.540 H609.540 L607.500 C608.150 (-0.23%)O608.460 H609.800 L608.310 C609.530 (+0.18%)O608.460 H609.800 L608.310 C609.530 (+0.18%)O609.710 H611.790 L609.710 C610.890 (+0.19%)O609.710 H611.790 L609.710 C610.890 (+0.19%)O611.060 H611.170 L609.420 C609.870 (-0.19%)O611.060 H611.170 L609.420 C609.870 (-0.19%)O610.130 H611.160 L609.850 C610.360 (+0.04%)O610.130 H611.160 L609.850 C610.360 (+0.04%)O610.150 H612.690 L609.410 C611.630 (+0.24%)O610.150 H612.690 L609.410 C611.630 (+0.24%)O611.640 H612.790 L610.380 C610.730 (-0.15%)O611.640 H612.790 L610.380 C610.730 (-0.15%)O610.730 H612.710 L610.730 C611.900 (+0.19%)O610.730 H612.710 L610.730 C611.900 (+0.19%)O611.950 H612.240 L611.260 C611.300 (-0.11%)O611.950 H612.240 L611.260 C611.300 (-0.11%)#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=8,634 · μ=345.3 · σ=476.7 · CV=1.38BURSTY · concentratedcumulative energy &nearr; · 50% by h=705511,1021,6532,204μ = 345263.92 · 12.0% peak263.92 · 12.0% peak246.679 · 11.2% peak246.679 · 11.2% peak300.681 · 13.6% peak300.681 · 13.6% peak83.419 · 3.8% peak83.419 · 3.8% peak2,204.1712,204.171 · 100.0% peak2,204.171 · 100.0% peak1,145.836 · 52.0% peak1,145.836 · 52.0% peak93.02 · 4.2% peak93.02 · 4.2% peak67.464 · 3.1% peak67.464 · 3.1% peak227.649 · 10.3% peak227.649 · 10.3% peak1,059.177 · 48.1% peak1,059.177 · 48.1% peak78.474 · 3.6% peak78.474 · 3.6% peak523.141 · 23.7% peak523.141 · 23.7% peak185.36 · 8.4% peak185.36 · 8.4% peak222.492 · 10.1% peak222.492 · 10.1% peak83.721 · 3.8% peak83.721 · 3.8% peak300.054 · 13.6% peak300.054 · 13.6% peak207.684 · 9.4% peak207.684 · 9.4% peak282.713 · 12.8% peak282.713 · 12.8% peak392.26 · 17.8% peak392.26 · 17.8% peak74.267 · 3.4% peak74.267 · 3.4% peak226.804 · 10.3% peak226.804 · 10.3% peak213.762 · 9.7% peak213.762 · 9.7% peak82.345 · 3.7% peak82.345 · 3.7% peak52.444 · 2.4% peak52.444 · 2.4% peak16.157 · 0.7% peak16.157 · 0.7% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 8634 · peak 2204 · CV 1.38

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=0.0002 · σ=0.0015 · skew=-0.15 (symmetric) · kurt=-0.93 (mesokurtic)43210 2-24.13bpbin -24.13bp · n=2 · 50.0% peakbin -24.13bp · n=2 · 50.0% peak 2-19.06bpbin -19.06bp · n=2 · 50.0% peakbin -19.06bp · n=2 · 50.0% peak 2-13.99bpbin -13.99bp · n=2 · 50.0% peakbin -13.99bp · n=2 · 50.0% peak 1-8.93bpbin -8.93bp · n=1 · 25.0% peakbin -8.93bp · n=1 · 25.0% peak 2-3.86bpbin -3.86bp · n=2 · 50.0% peakbin -3.86bp · n=2 · 50.0% peak 21.20bpbin 1.20bp · n=2 · 50.0% peakbin 1.20bp · n=2 · 50.0% peak 46.27bpbin 6.27bp · n=4 · 100.0% peakbin 6.27bp · n=4 · 100.0% peak 411.34bpbin 11.34bp · n=4 · 100.0% peakbin 11.34bp · n=4 · 100.0% peak16.40bp 421.47bpbin 21.47bp · n=4 · 100.0% peakbin 21.47bp · n=4 · 100.0% peak26.54bp 131.60bpbin 31.60bp · n=1 · 25.0% peakbin 31.60bp · n=1 · 25.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 14 · negative 9
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.15 · kurt=-0.76 · near 24 / mid 0 / far 0 · OLS slope=1.01 intercept=-0.00MATCHES NORMAL · WELL-BEHAVEDUPPER TAIL NORMALLOWER TAIL NORMAL-3σ-3σ-2σ-2σ-1σ-1σ+0σ+0σ+1σ+1σ+2σ+2σ+3σ+3σsample ↓marginal: sample bars + theoretical N(0,1) curve →theoretical Φ⁻¹(p) →↑ sample z-quantile|Δ| < 0.3σ · on the line|Δ| < 1σ · moderate|Δ| ≥ 1σ · outliery = x refOLS fit

§3 · Spot quote

Mark price
$611.3
Mid price
$611.275
24h change
+0.80%
Mark–mid spread
0.41 bps
Prev-day close
$606.42

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25APPROXIMATELY NORMAL · WELL-BEHAVED
μ MEAN609.3564$95% CI: [608.8437$, 609.8691$]
σ STD DEV1.3080$σ² = 1.711 · CV = 0.21%
med MEDIAN609.0400$Q₁ 608.4900$ · Q₃ 610.3600$
FIVE-NUMBER SUMMARY · BOX PLOTrange 5.0300$ · IQR 1.8700$ (1.349σ→1.7644$)
min 606.8700$Q₁ 608.4900$med 609.0400$Q₃ 610.3600$max 611.9000$μ
SKEWNESS · G₁0.223approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-0.848mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.24
σ × 1.349 ↔ IQRconsistent with normalratio = 0.94
range ↔ σconcentrated (range < 4σ)range / σ = 3.85
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=13.11
μᵣ MEAN / h+0.022897%drift is positive per h · |μ|/σ = 0.140
σᵣ STD / h0.163462%σ²ᵣ = 0.027×10⁻⁴ · CV = 7.14×
σ ANNUALISED15.30%/yrscaled by √8760 (hourly→yearly) · 0.163%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)13.11excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)12.54strong 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 · G₁-0.16approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂-0.65mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside ≈ total vol · symmetricSoR / SR = 0.96
CALMAR · DD CONTROLdrawdown control exceptionalCR = 100.00
EXPECTED EDGE+200.57%/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 RISKMODERATE · 95% VaR 0.25%
VaR₉₅ (h)0.252%5% prob of larger adverse h move
VaR₉₉ (h)0.265%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.263%expected loss given 5% tail event
MAX DRAWDOWN0.58%3h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.252%VaR₉₉−0.265%ES₉₅−0.263%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEshallow drawdown · 3h duration
PEAK61040.00$
−0.58% drawdown over 3h
60687.00$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.04× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.05× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONshallow drawdownrecovery needed: +0.58% (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)
58.7 · neutral
Bollinger %B
0.841 · within band
Bollinger upper
$612.1692
Bollinger MA
$609.4340
Bollinger lower
$606.6988

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ADF rejects unit root
ρ(1) AUTOCORR-0.119within white-noise band
ρ(2) AUTOCORR-0.265lag-2 not significant
H · HURST EXPONENT0.620persistent
OLS TREND · t-STAT+4.568significant @ α=0.05
HURST EXPONENT [0, 1]persistent · H = 0.620
H = 0.620PERSISTENT
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=1-0.119k=2-0.265k=3-0.014k=4-0.205k=5-0.0320+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|=4.57)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ADF rejects unit rootfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.36high · clear structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=4.57)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)
$5.24M
Open interest (USD)
$29.92M
Vol / OI (turnover)
0.17x
1h funding
0.000969%
Funding (annualised)
+8.49%/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 0.34% · worst -0.27% · typical |Δ| 0.14%MILD BULLISH +0.55%BEST+0.34%14hWORST-0.27%17hTYPICAL |Δ|0.14%mean absoluteCUMULATIVE+0.55%Σ signed ΔSTREAK↘ 1down-runASIA · 00-08 UTCμ +0.02% · Σ +0.14%EUROPE · 08-16 UTCμ +0.07% · Σ +0.58%US · 16-24 UTCμ -0.02% · Σ -0.17%CUMULATIVE Δ PATH · final +0.55%+0.65%-0.18%0.06% · 13h0.06% · 13h0.06%13h0.34% · 14h0.34% · 14h0.34%14h★ BEST-0.05% · 15h-0.05% · 15h-0.05%15h-0.26% · 16h-0.26% · 16h-0.26%16h-0.27% · 17h-0.27% · 17h-0.27%17h▼ WORST0.09% · 18h0.09% · 18h0.09%18h0.11% · 19h0.11% · 19h0.11%19h0.09% · 20h0.09% · 20h0.09%20h0.13% · 21h0.13% · 21h0.13%21h-0.12% · 22h-0.12% · 22h-0.12%22h0.06% · 23h0.06% · 23h0.06%23h0.00% · 00h0.00% · 00h·00h-0.04% · 01h-0.04% · 01h-0.04%01h0.02% · 02h0.02% · 02h0.02%02h0.09% · 03h0.09% · 03h0.09%03h-0.21% · 04h-0.21% · 04h-0.21%04h0.23% · 05h0.23% · 05h0.23%05h0.22% · 06h0.22% · 06h0.22%06h-0.17% · 07h-0.17% · 07h-0.17%07h0.08% · 08h0.08% · 08h0.08%08h0.21% · 09h0.21% · 09h0.21%09h-0.15% · 10h-0.15% · 10h-0.15%10h0.19% · 11h0.19% · 11h0.19%11h-0.10% · 12h-0.10% · 12h-0.10%12hTIME PATTERNEurope-led (+0.58%)RUNSup max 4 · down max 3BREADTH58% up · 38% down · 4% flat
14 up bars · 9 down · best 0.34% · worst -0.27% · typical |Δ| 0.137%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsPROFITABLE +0.55%FINAL+0.55%MAX DD-0.58%RECOVERYONGOING · 15 barsMAX RUN-UP+0.65%UNDERWATER19/25 (76%)STREAK↘ 1EQUITY CURVE · end 1.0055 · peak 1.0065 · range [0.9982, 1.0065]1.00650.9982break-even = 1★ PEAK 1.0065UNDERWATER DRAWDOWN · max -0.58% · shallow0%-0.58%▼ TROUGH -0.58%TOP DRAWDOWN PERIODS · 4 total#1 -0.58%bar 4-18 · 15 bars · recovered#2 -0.17%bar 20-21 · 2 bars · recovered#3 -0.15%bar 23-23 · 1 bars · recoveredDD SEVERITYshallow (max -0.58%)RECOVERYongoing · 22 barsTIME UNDER WATER76% of session · 19/25 bars
final equity 1.0055 (0.55%) · max DD -0.58% · time-under-water 19/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +14 / −5 (74% positive) · μ=13.48 · σ=21.40PROFITABLE STRATEGYLAST 6.15 (-0.34σ vs μ)60.3630.180.00-30.18-60.36μ = 13.48-5.76-5.76-2.50-2.50-25.88-25.88-8.87-8.872.692.6960.3660.3644.2244.2219.6819.688.598.591.351.35-12.13-12.138.638.6328.1728.1714.5314.5319.5819.5827.6427.6435.7735.7733.7933.796.156.15v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 6.151 · range [-25.88, 60.36] · μ 13.475 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=14.6328 · σ=4.6990 · range [7.1022, 22.0621] · R²=0.000▼ FALLING -26.60%σ EXTREME 32.11%LAST 15.925922.062118.322114.582210.84227.1022μ = 14.6328max 22.0621min 7.1022dataMA(3)OLS R²=0.00μ lineμ ± σ bandmaxmin
latest 15.93% · range [7.10%, 22.06%] · μ 14.63% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +4 / −15 (21% positive) · μ=-0.215 · σ=0.314MEAN-REVERSIONLAST -0.540 (-1.04σ vs μ)0.6320.3160.000-0.316-0.632μ = -0.2150.2130.2130.1690.1690.3860.3860.4160.416-0.090-0.090-0.199-0.199-0.269-0.269-0.329-0.329-0.632-0.632-0.238-0.238-0.298-0.298-0.612-0.612-0.174-0.174-0.354-0.354-0.400-0.400-0.281-0.281-0.254-0.254-0.594-0.594-0.540-0.540v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.540 · |ρ| > 0.3 ⇒ regime with persistence (ρ > 0) or reversal (ρ < 0) · |ρ| ≤ 0.1 = consistent with random walk

§14 · Hypothesis tests (α = 0.05)

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

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
0.5229
p-VALUE (log scale)
0.7699
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainednormality not rejected
ρ

Ljung-Box(h=5)

FAIL TO REJECTns

H₀: No serial autocorrelation up to lag 5

STATISTIC
3.7201
p-VALUE (log scale)
0.5927
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
-1.8091
p-VALUE (log scale)
0.3862
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
0.9177
p-VALUE (log scale)
0.3588
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
0.6277
p-VALUE (log scale)
0.0201
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
-1.1885
p-VALUE (log scale)
0.2346
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.638 ≈ 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=2.61e-6 · top T=3.00h (28.0%) · top-3 cover 53.9%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)8.8e-66.6e-64.4e-62.2e-60.0e+0μ noise floor2× noise (significance)period 24.0 · power 6.05e-7 · 1.9% energyperiod 24.0 · power 6.05e-7 · 1.9% energyperiod 12.0 · power 7.80e-7 · 2.5% energyperiod 12.0 · power 7.80e-7 · 2.5% energyperiod 8.0 · power 2.94e-6 · 9.4% energyperiod 8.0 · power 2.94e-6 · 9.4% energyperiod 6.0 · power 3.25e-6 · 10.4% energyperiod 6.0 · power 3.25e-6 · 10.4% energyperiod 4.8 · power 4.44e-6 · 14.2% energyperiod 4.8 · power 4.44e-6 · 14.2% energyperiod 4.0 · power 2.75e-6 · 8.8% energyperiod 4.0 · power 2.75e-6 · 8.8% energyperiod 3.4 · power 2.69e-7 · 0.9% energyperiod 3.4 · power 2.69e-7 · 0.9% energyperiod 3.0 · power 8.78e-6 · 28.0% energyperiod 3.0 · power 8.78e-6 · 28.0% energyperiod 2.7 · power 3.69e-6 · 11.8% energyperiod 2.7 · power 3.69e-6 · 11.8% energyperiod 2.4 · power 1.88e-6 · 6.0% energyperiod 2.4 · power 1.88e-6 · 6.0% energyperiod 2.2 · power 7.15e-7 · 2.3% energyperiod 2.2 · power 7.15e-7 · 2.3% energyperiod 2.0 · power 1.25e-6 · 4.0% energyperiod 2.0 · power 1.25e-6 · 4.0% energy50% by T=3.0h#1 dominantT=3.00h#2T=4.80h#3T=2.67hT=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 ≈ 3.00h (freq 0.333) · concentrates 28.0% of total energy · Σ|X̂|²/n = 3.135e-5

▸ 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)]
f★ empirical 8.00× · g(f★) 0.000%/barparametric μ/σ² >100× (sample noise) · μ 0.000% · σ 0.01%
μ per barmean
0.000%
σ per barvol
0.01%
Empirical f★argmax g(f)
8.00×
from observed distribution
Parametric f★μ/σ²
119.72×
Merton continuous-time
Half-Kelly½ f★
4.00×
~⅔ of full growth, half the variance
Quarter-Kelly¼ f★
2.00×
industry default — survives model error
0.00%0.00%0.00%0.00%0.00%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 3.00× leverage
Median CAGR/bar 0.000% · annualized Sharpe 20.97400 paths × 720 bars · leverage 3.00× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
0.009
annualized 20.97
μ per barafter L
0.000%
σ per barafter L
0.02%
VaR 95%5%
0.03%
per-bar worst-case
CVaR 95%ES
0.05%
mean tail loss
Max DD (median)MDD
-0.1%
0.94×0.97×0.99×1.01×1.04×1.06×0120240360480600720startbar #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 303% · APY 1000% · Sharpe 19.05σ ann 16% · Sortino 13.82 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
0%457%915%1372%1829%2286%303.3%APR (simple)1000.0%APY (compound)15.9%Ann. vol σ1905.4%Sharpe (ann)1382.3%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%
583.552594.376605.200616.025626.849637.673t-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 12:18:16 UTC
Snapshot age
2.1s
History points
25 hourly closes
Page rendered
2026-06-14 12:18:18 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
3227fffb4e67a97be7086b85c5be72465fc8847e4ef278742f898644eaf09b96 · 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
$4.71K
bid $1.65K · ask $3.06K
Depth within 5bp
$193.32K
bid $68.64K · ask $124.69K
Depth within 10bp
$238.54K
bid $103.07K · ask $135.47K
Depth within 50bp
$238.54K
bid $103.07K · ask $135.47K
Mid price
611.275000
(best bid + best ask) / 2
Spread
0.8bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.135
ask-heavy
Imbalance (top-5)
-0.668
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-bnb/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K611.300.41bp611.301FILLED
BUY$10.00K611.341.12bp611.375FILLED
BUY$100.00K611.473.24bp611.5214FILLED
SELL$1.00K611.240.58bp611.222FILLED
SELL$10.00K611.151.98bp611.108FILLED
SELL$100.00K611.024.25bp610.9420FILLED

Funding carry

▸ LONGS PAY · shorts receive
Hourly funding
+9.688e-6
0.00097% / hr
Annualised APR
8.492%
hourly · 24 · 365.25
Long: days to 1% carry
43.0d
longs pay
Short: days to 1% carry
43.0d
shorts receive
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGPAY-8.492%43.0d1.18y
SHORTRECEIVE8.492%43.0d1.18y

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

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$611.00–$612.003$282
$610.00–$611.005$1.09K
$609.00–$610.006$2.42K
$608.00–$609.00★8$3.34K
$607.00–$608.002$357
$606.00–$607.001$1.15K

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

Order flow

▸ BALANCED · +0.017 · Hyperliquid candles
Bars (buy / sell)
15 / 9
1 unclassified
Buy weight
$4.25K
real volume
Sell weight
$4.11K
real volume
Net delta
$140
buyers net
Imbalance
1.67%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
1.7%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 1 found · deepest 0.58% · 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
#12026-06-13 17:00:00Z0ms610.40→606.870.578%1

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
15.92%
σ per bar = 0.000069
Mean return (annualised)
303.26%
μ per bar = 0.000001
Sharpe (rf=0)
19.05
annualised; risk-free assumed zero
Max drawdown
0.39%
peak 611.77 → trough 609.39 over 902 bars

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