HYPERLIQUID · PERPETUAL FUTURES

LAYER

LAYER-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-layer · fresh · feed 3s old
24h sparkline · 60 pts▲ 0.54%
realized vol (ann.)
102.74%
max drawdown
2.36%
sharpe
29.96
ulcer index
1.01%
RMS drawdown
pain index
0.81%
mean drawdown
mod. VaR 95%
0.00%
Cornish-Fisher
martin ratio
3032.49
ret / ulcer
CDaR 95%
2.16%
cond. drawdown
gain/pain
1.08
Σgain / Σ|loss|
sterling
1427.31
ret / CDaR
omega (θ=0)
1.08
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
0.54%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 36%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 15.8bps — long bias
Same bundle via M2M API: /api/m2m/hl-layer/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH2.7s⏱--:--:-- 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
$0.067
24h Δ · live
0.54%
24h vol · live
$0.3M
LAYER · live 24h price
n=25 · μ=0.0665 · σ=0.0003 · range [0.0660, 0.0670] · R²=0.046▲ RISING +0.76%σ LOW 0.40%LAST 0.06700.06700.06670.06650.06630.0660μ = 0.0665max 0.0670min 0.0660dataMA(5)OLS R²=0.05μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.07
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=4,955,771 · μ=198230.8 · σ=257586.8 · CV=1.30BURSTY · concentratedcumulative energy ↗ · 50% by h=140267,406534,813802,2191,069,625μ = 1982311,069,62550%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 1069625 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
2.7s
$mark $
$0.067
$mid $
$0.067
◉prev-day close
$0.0666
Δ24h Δ %
+0.542%
$24h vol $
$328.22k
◐open interest $
$582.72k
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0665 · σ=0.0003 · range [0.0660, 0.0670] · R²=0.046▲ RISING +0.76%σ LOW 0.40%LAST 0.06700.06700.06670.06650.06630.0660μ = 0.0665max 0.0670min 0.0660dataMA(5)OLS R²=0.05μ lineμ ± σ bandmaxmin
mark $0.0670 · 24h 0.54% · range $[0.0660, 0.0670]
OHLC candles · hourly
n=25 · up 11 · down 14 (44% up) · range [0.0656, 0.0694] · σ=0.0003 · CV=0.00 · bodyµ=38%BULLISH +0.61%CLOSE 0.0670 vs OPEN 0.0666 (+0.61%)&#9650; CLOSE 0.06700.06940.06850.06750.06650.0656μ close = 0.0665O0.067 H0.067 L0.066 C0.066 (-0.15%)O0.067 H0.067 L0.066 C0.066 (-0.15%)O0.066 H0.067 L0.066 C0.067 (+0.39%)O0.066 H0.067 L0.066 C0.067 (+0.39%)O0.067 H0.067 L0.067 C0.067 (+0.40%)O0.067 H0.067 L0.067 C0.067 (+0.40%)O0.067 H0.069 L0.066 C0.067 (-0.59%)O0.067 H0.069 L0.066 C0.067 (-0.59%)O0.066 H0.069 L0.066 C0.067 (+0.41%)O0.066 H0.069 L0.066 C0.067 (+0.41%)O0.067 H0.067 L0.066 C0.067 (-0.30%)O0.067 H0.067 L0.066 C0.067 (-0.30%)O0.067 H0.067 L0.066 C0.066 (-0.11%)O0.067 H0.067 L0.066 C0.066 (-0.11%)O0.066 H0.067 L0.066 C0.066 (-0.24%)O0.066 H0.067 L0.066 C0.066 (-0.24%)O0.066 H0.067 L0.066 C0.067 (+0.41%)O0.066 H0.067 L0.066 C0.067 (+0.41%)O0.067 H0.067 L0.067 C0.067 (-0.25%)O0.067 H0.067 L0.067 C0.067 (-0.25%)O0.067 H0.067 L0.067 C0.067 (+0.06%)O0.067 H0.067 L0.067 C0.067 (+0.06%)O0.067 H0.067 L0.066 C0.067 (-0.30%)O0.067 H0.067 L0.066 C0.067 (-0.30%)O0.067 H0.067 L0.066 C0.067 (+0.17%)O0.067 H0.067 L0.066 C0.067 (+0.17%)O0.067 H0.067 L0.067 C0.067 (+0.42%)O0.067 H0.067 L0.067 C0.067 (+0.42%)O0.067 H0.067 L0.067 C0.067 (-0.11%)O0.067 H0.067 L0.067 C0.067 (-0.11%)O0.067 H0.067 L0.066 C0.066 (-0.75%)O0.067 H0.067 L0.066 C0.066 (-0.75%)O0.066 H0.066 L0.066 C0.066 (-0.12%)O0.066 H0.066 L0.066 C0.066 (-0.12%)O0.066 H0.067 L0.066 C0.066 (-0.18%)O0.066 H0.067 L0.066 C0.066 (-0.18%)O0.066 H0.066 L0.066 C0.066 (-0.02%)O0.066 H0.066 L0.066 C0.066 (-0.02%)O0.066 H0.067 L0.066 C0.067 (+0.97%)O0.066 H0.067 L0.066 C0.067 (+0.97%)-1.0%O0.067 H0.067 L0.066 C0.066 (-0.98%)O0.067 H0.067 L0.066 C0.066 (-0.98%)O0.066 H0.067 L0.066 C0.066 (+0.15%)O0.066 H0.067 L0.066 C0.066 (+0.15%)O0.066 H0.067 L0.066 C0.067 (+0.74%)O0.066 H0.067 L0.066 C0.067 (+0.74%)O0.067 H0.068 L0.067 C0.067 (-0.15%)O0.067 H0.068 L0.067 C0.067 (-0.15%)O0.067 H0.067 L0.066 C0.067 (+0.54%)O0.067 H0.067 L0.066 C0.067 (+0.54%)#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=4,955,771 · μ=198230.8 · σ=257586.8 · CV=1.30BURSTY · concentratedcumulative energy &nearr; · 50% by h=140267,406534,813802,2191,069,625μ = 19823157,018 · 5.3% peak57,018 · 5.3% peak54,922 · 5.1% peak54,922 · 5.1% peak72,418 · 6.8% peak72,418 · 6.8% peak623,489 · 58.3% peak623,489 · 58.3% peak760,732 · 71.1% peak760,732 · 71.1% peak38,541 · 3.6% peak38,541 · 3.6% peak75,835 · 7.1% peak75,835 · 7.1% peak77,669 · 7.3% peak77,669 · 7.3% peak61,570 · 5.8% peak61,570 · 5.8% peak60,339 · 5.6% peak60,339 · 5.6% peak37,777 · 3.5% peak37,777 · 3.5% peak104,955 · 9.8% peak104,955 · 9.8% peak345,480 · 32.3% peak345,480 · 32.3% peak168,354 · 15.7% peak168,354 · 15.7% peak43,153 · 4.0% peak43,153 · 4.0% peak58,410 · 5.5% peak58,410 · 5.5% peak90,752 · 8.5% peak90,752 · 8.5% peak1,069,6251,069,625 · 100.0% peak1,069,625 · 100.0% peak160,117 · 15.0% peak160,117 · 15.0% peak352,936 · 33.0% peak352,936 · 33.0% peak67,245 · 6.3% peak67,245 · 6.3% peak120,418 · 11.3% peak120,418 · 11.3% peak76,359 · 7.1% peak76,359 · 7.1% peak263,087 · 24.6% peak263,087 · 24.6% peak114,570 · 10.7% peak114,570 · 10.7% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 4955771 · peak 1069625 · CV 1.30

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=0.0002 · σ=0.0042 · skew=-0.06 (symmetric) · kurt=-0.07 (mesokurtic)54310 1-88.80bpbin -88.80bp · n=1 · 20.0% peakbin -88.80bp · n=1 · 20.0% peak 1-72.34bpbin -72.34bp · n=1 · 20.0% peakbin -72.34bp · n=1 · 20.0% peak 1-55.88bpbin -55.88bp · n=1 · 20.0% peakbin -55.88bp · n=1 · 20.0% peak-39.41bp 5-22.95bpbin -22.95bp · n=5 · 100.0% peakbin -22.95bp · n=5 · 100.0% peak 5-6.49bpbin -6.49bp · n=5 · 100.0% peakbin -6.49bp · n=5 · 100.0% peak 29.97bpbin 9.97bp · n=2 · 40.0% peakbin 9.97bp · n=2 · 40.0% peak 526.43bpbin 26.43bp · n=5 · 100.0% peakbin 26.43bp · n=5 · 100.0% peak42.90bp 359.36bpbin 59.36bp · n=3 · 60.0% peakbin 59.36bp · n=3 · 60.0% peak75.82bp 192.28bpbin 92.28bp · n=1 · 20.0% peakbin 92.28bp · n=1 · 20.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 11 · negative 13
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.12 · kurt=0.09 · near 23 / mid 1 / 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
$0.067
Mid price
$0.067
24h change
+0.54%
Mark–mid spread
0.00 bps
Prev-day close
$0.0666

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25APPROXIMATELY NORMAL · WELL-BEHAVED
μ MEAN0.0665$95% CI: [0.0664$, 0.0666$]
σ STD DEV0.0003$σ² = 0.001×10⁻⁴ · CV = 0.40%
med MEDIAN0.0666$Q₁ 0.0663$ · Q₃ 0.0667$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0010$ · IQR 0.0004$ (1.349σ→0.0004$)
min 0.0660$Q₁ 0.0663$med 0.0666$Q₃ 0.0667$max 0.0670$μ
SKEWNESS · G₁-0.376approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-0.851mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ < med · left-tailed|μ−med| / σ = 0.23
σ × 1.349 ↔ IQRconsistent with normalratio = 0.92
range ↔ σconcentrated (range < 4σ)range / σ = 3.60
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=6.63
μᵣ MEAN / h+0.031722%drift is positive per h · |μ|/σ = 0.071
σᵣ STD / h0.448018%σ²ᵣ = 0.201×10⁻⁴ · CV = 14.12×
σ ANNUALISED41.93%/yrscaled by √8760 (hourly→yearly) · 0.448%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)6.63excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)7.40strong 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 · G₁-0.12approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.41mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside drag · negatively skewedSoR / SR = 1.12
CALMAR · DD CONTROLdrawdown control exceptionalCR = 100.00
EXPECTED EDGE+277.89%/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 0.73%
VaR₉₅ (h)0.727%5% prob of larger adverse h move
VaR₉₉ (h)0.922%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.865%expected loss given 5% tail event
MAX DRAWDOWN1.35%5h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.727%VaR₉₉−0.922%ES₉₅−0.865%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 5h duration
PEAK6.69$
−1.35% drawdown over 5h
6.60$TROUGH
ES / VaR · TAIL THICKNESSmild tail heaviness|ES₉₅| / |VaR₉₅| = 1.19× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.27× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +1.36% (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)
58.1 · neutral
Bollinger %B
0.924 · within band
Bollinger upper
$0.0671
Bollinger MA
$0.0665
Bollinger lower
$0.0659

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.34 + ADF rejected
ρ(1) AUTOCORR-0.336within white-noise band
ρ(2) AUTOCORR-0.023lag-2 not significant
H · HURST EXPONENT0.692persistent
OLS TREND · t-STAT-1.049fails 5% test
HURST EXPONENT [0, 1]persistent · H = 0.692
H = 0.692PERSISTENT
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=1-0.336k=2-0.023k=3+0.196k=4-0.275k=5+0.1200+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]NOT SIGNIFICANT (|t|=1.05)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.34 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.72very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCENOT SIGNIFICANT (|t|=1.05)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)
$328.22k
Open interest (USD)
$582.72k
Vol / OI (turnover)
0.56x
1h funding
0.001250%
Funding (annualised)
+10.95%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
10.000× leverage · optimal log-utility leverage
Half-Kelly
5.000× · industry-standard conservative
Quarter-Kelly
2.500×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=24 bars · best 1.01% · worst -0.97% · typical |Δ| 0.35%MILD BULLISH +0.76%BEST+1.01%08hWORST-0.97%09hTYPICAL |Δ|0.35%mean absoluteCUMULATIVE+0.76%Σ signed ΔSTREAK↗ 1up-runASIA · 00-08 UTCμ -0.12% · Σ -0.99%EUROPE · 08-16 UTCμ +0.26% · Σ +2.05%US · 16-24 UTCμ -0.04% · Σ -0.30%CUMULATIVE Δ PATH · final +0.76%+0.76%-0.67%0.31% · 14h0.31% · 14h0.31%14h0.30% · 15h0.30% · 15h0.30%15h-0.55% · 16h-0.55% · 16h-0.55%16h0.28% · 17h0.28% · 17h0.28%17h-0.23% · 18h-0.23% · 18h-0.23%18h-0.15% · 19h-0.15% · 19h-0.15%19h-0.22% · 20h-0.22% · 20h-0.22%20h0.55% · 21h0.55% · 21h0.55%21h-0.09% · 22h-0.09% · 22h-0.09%22h0.11% · 23h0.11% · 23h0.11%23h-0.13% · 00h-0.13% · 00h-0.13%00h0.18% · 01h0.18% · 01h0.18%01h0.32% · 02h0.32% · 02h0.32%02h-0.23% · 03h-0.23% · 03h-0.23%03h-0.76% · 04h-0.76% · 04h-0.76%04h-0.04% · 05h-0.04% · 05h-0.04%05h-0.22% · 06h-0.22% · 06h-0.22%06h-0.11% · 07h-0.11% · 07h-0.11%07h1.01% · 08h1.01% · 08h1.01%08h★ BEST-0.97% · 09h-0.97% · 09h-0.97%09h▼ WORST0.30% · 10h0.30% · 10h0.30%10h0.59% · 11h0.59% · 11h0.59%11h-0.12% · 12h-0.12% · 12h-0.12%12h0.62% · 13h0.62% · 13h0.62%13hTIME PATTERNEurope-led (+2.05%)RUNSup max 2 · down max 5BREADTH46% up · 54% down
11 up bars · 13 down · best 1.01% · worst -0.97% · typical |Δ| 0.349%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsPROFITABLE +0.74%FINAL+0.74%MAX DD-1.35%RECOVERYFULLY RECOVEREDMAX RUN-UP+0.74%UNDERWATER20/25 (80%)STREAK↗ 1EQUITY CURVE · end 1.0074 · peak 1.0074 · range [0.9932, 1.0074]1.00740.9932break-even = 1★ PEAK 1.0074UNDERWATER DRAWDOWN · max -1.35% · moderate0%-1.35%▼ TROUGH -1.35%TOP DRAWDOWN PERIODS · 2 total#1 -1.35%bar 15-24 · 10 bars · recovered#2 -0.86%bar 4-13 · 10 bars · recoveredDD SEVERITYmoderate (max -1.35%)RECOVERYfully recoveredTIME UNDER WATER80% of session · 20/25 bars
final equity 1.0074 (0.74%) · max DD -1.35% · time-under-water 20/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +8 / −11 (42% positive) · μ=-2.07 · σ=24.91MIXED EDGELAST 31.95 (+1.37σ vs μ)57.1328.560.00-28.56-57.13μ = -2.07-1.44-1.44-26.47-26.47-12.47-12.476.706.70-1.81-1.813.543.5422.2622.2657.1357.1311.7311.73-20.52-20.52-27.46-27.46-30.92-30.92-46.35-46.35-9.43-9.43-24.63-24.63-0.73-0.7313.5813.5816.0416.0431.9531.95v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 31.955 · range [-46.35, 57.13] · μ -2.067 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=40.4438 · σ=16.0314 · range [19.5866, 65.5446] · R²=0.628▲ RISING +95.72%σ EXTREME 39.64%LAST 65.544665.544654.055142.565631.076119.5866μ = 40.4438max 65.5446min 19.5866dataMA(3)OLS R²=0.63μ lineμ ± σ bandmaxmin
latest 65.54% · range [19.59%, 65.54%] · μ 40.44% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +4 / −15 (21% positive) · μ=-0.315 · σ=0.275MEAN-REVERSIONLAST -0.507 (-0.70σ vs μ)0.7120.3560.000-0.356-0.712μ = -0.315-0.401-0.401-0.712-0.712-0.369-0.369-0.326-0.326-0.251-0.251-0.405-0.405-0.644-0.644-0.236-0.236-0.350-0.3500.1680.1680.1430.1430.1320.132-0.131-0.1310.0360.036-0.391-0.391-0.640-0.640-0.506-0.506-0.595-0.595-0.507-0.507v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.507 · |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
0.2327
p-VALUE (log scale)
0.8901
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
7.0661
p-VALUE (log scale)
0.2146
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedconsistent with white noise
Ψ

Dickey-Fuller (τ_μ)

REJECT H₀*

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

STATISTIC
-2.9244
p-VALUE (log scale)
0.0438
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
0.8760
p-VALUE (log scale)
0.3810
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (15 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.1705
p-VALUE (log scale)
0.4082
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedstationary not rejected (crit 0.463)
χ

Variance ratio q=3

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-1.6382
p-VALUE (log scale)
0.1014
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.502 ≈ 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=1.96e-5 · top T=3.00h (17.9%) · top-3 cover 48.5%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)4.2e-53.2e-52.1e-51.1e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 9.28e-6 · 3.9% energyperiod 24.0 · power 9.28e-6 · 3.9% energyperiod 12.0 · power 2.19e-5 · 9.3% energyperiod 12.0 · power 2.19e-5 · 9.3% energyperiod 8.0 · power 3.37e-6 · 1.4% energyperiod 8.0 · power 3.37e-6 · 1.4% energyperiod 6.0 · power 1.42e-5 · 6.0% energyperiod 6.0 · power 1.42e-5 · 6.0% energyperiod 4.8 · power 1.42e-5 · 6.0% energyperiod 4.8 · power 1.42e-5 · 6.0% energyperiod 4.0 · power 5.57e-6 · 2.4% energyperiod 4.0 · power 5.57e-6 · 2.4% energyperiod 3.4 · power 2.12e-5 · 9.0% energyperiod 3.4 · power 2.12e-5 · 9.0% energyperiod 3.0 · power 4.21e-5 · 17.9% energyperiod 3.0 · power 4.21e-5 · 17.9% energyperiod 2.7 · power 3.72e-5 · 15.8% energyperiod 2.7 · power 3.72e-5 · 15.8% energyperiod 2.4 · power 2.20e-5 · 9.3% energyperiod 2.4 · power 2.20e-5 · 9.3% energyperiod 2.2 · power 3.50e-5 · 14.9% energyperiod 2.2 · power 3.50e-5 · 14.9% energyperiod 2.0 · power 9.50e-6 · 4.0% energyperiod 2.0 · power 9.50e-6 · 4.0% energy50% by T=3.0h#1 dominantT=3.00h#2T=2.67h#3T=2.18hT=2hT=3hT=4hT=6hT=8hT=12hT=16hT=24h← shorter cycle (high freq · Nyquist=½) · period T (bars per cycle) · longer cycle (low freq · 1/n) →#1 dominant#2 peak#3 peak> 2× noisenoiseμ floor2μ sig.cum energy
dominant period ≈ 3.00h (freq 0.333) · concentrates 17.9% of total energy · Σ|X̂|²/n = 2.356e-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)]
f★ empirical 8.00× · g(f★) 0.001%/barparametric μ/σ² 11.34× · μ 0.000% · σ 0.04%
μ per barmean
0.000%
σ per barvol
0.04%
Empirical f★argmax g(f)
8.00×
from observed distribution
Parametric f★μ/σ²
11.34×
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 2.83× leverage
Median CAGR/bar 0.001% · annualized Sharpe 17.53400 paths × 720 bars · leverage 2.83× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
0.008
annualized 17.53
μ per barafter L
0.001%
σ per barafter L
0.12%
VaR 95%5%
0.11%
per-bar worst-case
CVaR 95%ES
0.21%
mean tail loss
Max DD (median)MDD
-0.3%
0.90×0.94×0.99×1.03×1.07×1.12×0120240360480600720startbar #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 1000% · Sharpe 10.94σ ann 96% · Sortino 10.39 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
0%263%525%788%1050%1313%1000.0%APR (simple)1000.0%APY (compound)96.5%Ann. vol σ1093.8%Sharpe (ann)1039.2%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%
0.0630.0650.0660.0680.0690.071t-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 13:27:57 UTC
Snapshot age
2.7s
History points
25 hourly closes
Page rendered
2026-06-14 13:27:59 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
a5c73d6030857f7a3a0626bac599084b71d867d4cb8bbe85e8b182c86efe602b · 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
$5.31K
bid $2.28K · ask $3.02K
Depth within 10bp
$10.23K
bid $5.20K · ask $5.02K
Depth within 50bp
$23.60K
bid $11.36K · ask $12.24K
Mid price
0.066994
(best bid + best ask) / 2
Spread
2.7bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.035
bid-heavy
Imbalance (top-5)
-0.240
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-layer/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0670041.45bp0.0670042FILLED
BUY$10.00K0.06709214.58bp0.06731515FILLED
BUY$100.00K0.06728242.98bp0.06759620PARTIAL
SELL$1.00K0.0669841.55bp0.0669633FILLED
SELL$10.00K0.06691312.02bp0.06681213FILLED
SELL$100.00K0.06671841.19bp0.06617420PARTIAL

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-layer/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$4.96M

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

Order flow

▸ ASK-LEAN · -0.116 · Hyperliquid candles
Bars (buy / sell)
11 / 13
1 unclassified
Buy weight
$2.17M
real volume
Sell weight
$2.73M
real volume
Net delta
$567.68K
sellers net
Imbalance
-11.59%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
11.6%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 4 found · deepest 1.24% · 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 04:00:00Z2.0h0.066926→0.0660961.240%3
#22026-06-14 09:00:00Z1.0h0.066692→0.0660480.966%2
#32026-06-13 20:00:00Z0ms0.066703→0.0663050.597%1

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
96.47%
σ per bar = 0.000421
Mean return (annualised)
1055.20%
μ per bar = 0.000002
Sharpe (rf=0)
10.94
annualised; risk-free assumed zero
Max drawdown
2.63%
peak 0.07 → trough 0.07 over 904 bars

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