HYPERLIQUID · PERPETUAL FUTURES

NIL

NIL-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-nil · fresh · feed 3s old
24h sparkline · 60 pts▲ 0.19%
realized vol (ann.)
243.80%
max drawdown
3.87%
sharpe
76.19
ulcer index
1.72%
RMS drawdown
pain index
1.23%
mean drawdown
mod. VaR 95%
0.00%
Cornish-Fisher
martin ratio
10782.97
ret / ulcer
CDaR 95%
3.65%
cond. drawdown
gain/pain
1.14
Σgain / Σ|loss|
sterling
5092.16
ret / CDaR
omega (θ=0)
1.14
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
0.19%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 35%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 5.5bps — long bias
Same bundle via M2M API: /api/m2m/hl-nil/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH3.0s⏱--:--:-- 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
$0.042
24h Δ · live
0.19%
24h vol · live
$1.5M
NIL · live 24h price
n=25 · μ=0.0396 · σ=0.0010 · range [0.0384, 0.0416] · R²=0.011▲ RISING +1.45%σ NORMAL 2.51%LAST 0.04160.04160.04080.04000.03920.0384μ = 0.0396max 0.0416min 0.0384dataMA(5)OLS R²=0.01μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.04
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=40,421,736 · μ=1616869.4 · σ=2243425.8 · CV=1.39BURSTY · concentratedcumulative energy ↗ · 50% by h=502,630,0785,260,1557,890,23310,520,310μ = 161686910,520,31050%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 10520310 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
3.0s
$mark $
$0.0416
$mid $
$0.0416
◉prev-day close
$0.0415
Δ24h Δ %
+0.190%
$24h vol $
$1.46M
◐open interest $
$856.16k
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0396 · σ=0.0010 · range [0.0384, 0.0416] · R²=0.011▲ RISING +1.45%σ NORMAL 2.51%LAST 0.04160.04160.04080.04000.03920.0384μ = 0.0396max 0.0416min 0.0384dataMA(5)OLS R²=0.01μ lineμ ± σ bandmaxmin
mark $0.0416 · 24h 0.19% · range $[0.0384, 0.0416]
OHLC candles · hourly
n=25 · up 10 · down 15 (40% up) · range [0.0382, 0.0424] · σ=0.0010 · CV=0.03 · bodyµ=55%BULLISH +6.24%CLOSE 0.0416 vs OPEN 0.0392 (+6.24%)&#9650; CLOSE 0.04160.04240.04140.04030.03930.0382μ close = 0.03964.7%O0.039 H0.042 L0.039 C0.041 (+4.72%)O0.039 H0.042 L0.039 C0.041 (+4.72%)O0.041 H0.041 L0.040 C0.040 (-2.41%)O0.041 H0.041 L0.040 C0.040 (-2.41%)O0.040 H0.042 L0.040 C0.041 (+3.18%)O0.040 H0.042 L0.040 C0.041 (+3.18%)O0.041 H0.041 L0.040 C0.041 (-1.46%)O0.041 H0.041 L0.040 C0.041 (-1.46%)O0.041 H0.041 L0.040 C0.040 (-1.33%)O0.041 H0.041 L0.040 C0.040 (-1.33%)O0.040 H0.040 L0.039 C0.039 (-2.08%)O0.040 H0.040 L0.039 C0.039 (-2.08%)O0.039 H0.039 L0.039 C0.039 (-0.36%)O0.039 H0.039 L0.039 C0.039 (-0.36%)O0.039 H0.039 L0.038 C0.039 (-0.71%)O0.039 H0.039 L0.038 C0.039 (-0.71%)O0.039 H0.039 L0.038 C0.039 (-0.13%)O0.039 H0.039 L0.038 C0.039 (-0.13%)O0.039 H0.039 L0.038 C0.039 (-0.86%)O0.039 H0.039 L0.038 C0.039 (-0.86%)O0.039 H0.039 L0.039 C0.039 (+0.62%)O0.039 H0.039 L0.039 C0.039 (+0.62%)O0.039 H0.039 L0.038 C0.039 (-0.46%)O0.039 H0.039 L0.038 C0.039 (-0.46%)O0.039 H0.039 L0.038 C0.039 (-0.46%)O0.039 H0.039 L0.038 C0.039 (-0.46%)O0.039 H0.039 L0.038 C0.038 (-0.24%)O0.039 H0.039 L0.038 C0.038 (-0.24%)O0.038 H0.039 L0.038 C0.039 (+1.48%)O0.038 H0.039 L0.038 C0.039 (+1.48%)O0.039 H0.039 L0.039 C0.039 (+0.97%)O0.039 H0.039 L0.039 C0.039 (+0.97%)O0.040 H0.040 L0.039 C0.040 (+0.82%)O0.040 H0.040 L0.039 C0.040 (+0.82%)O0.040 H0.040 L0.039 C0.039 (-2.36%)O0.040 H0.040 L0.039 C0.039 (-2.36%)O0.039 H0.040 L0.039 C0.040 (+2.17%)O0.039 H0.040 L0.039 C0.040 (+2.17%)O0.040 H0.040 L0.039 C0.039 (-1.83%)O0.040 H0.040 L0.039 C0.039 (-1.83%)O0.039 H0.039 L0.039 C0.039 (-0.38%)O0.039 H0.039 L0.039 C0.039 (-0.38%)O0.039 H0.041 L0.039 C0.040 (+3.73%)O0.039 H0.041 L0.039 C0.040 (+3.73%)O0.040 H0.042 L0.040 C0.042 (+2.89%)O0.040 H0.042 L0.040 C0.042 (+2.89%)O0.042 H0.042 L0.040 C0.041 (-2.29%)O0.042 H0.042 L0.040 C0.041 (-2.29%)O0.041 H0.042 L0.040 C0.042 (+2.09%)O0.041 H0.042 L0.040 C0.042 (+2.09%)#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=40,421,736 · μ=1616869.4 · σ=2243425.8 · CV=1.39BURSTY · concentratedcumulative energy &nearr; · 50% by h=502,630,0785,260,1557,890,23310,520,310μ = 161686910,520,31010,520,310 · 100.0% peak10,520,310 · 100.0% peak729,069 · 6.9% peak729,069 · 6.9% peak6,150,931 · 58.5% peak6,150,931 · 58.5% peak1,020,119 · 9.7% peak1,020,119 · 9.7% peak2,878,328 · 27.4% peak2,878,328 · 27.4% peak3,086,856 · 29.3% peak3,086,856 · 29.3% peak1,313,933 · 12.5% peak1,313,933 · 12.5% peak948,902 · 9.0% peak948,902 · 9.0% peak809,815 · 7.7% peak809,815 · 7.7% peak1,281,423 · 12.2% peak1,281,423 · 12.2% peak260,176 · 2.5% peak260,176 · 2.5% peak842,132 · 8.0% peak842,132 · 8.0% peak233,941 · 2.2% peak233,941 · 2.2% peak327,920 · 3.1% peak327,920 · 3.1% peak1,518,549 · 14.4% peak1,518,549 · 14.4% peak415,518 · 3.9% peak415,518 · 3.9% peak336,766 · 3.2% peak336,766 · 3.2% peak1,314,673 · 12.5% peak1,314,673 · 12.5% peak335,888 · 3.2% peak335,888 · 3.2% peak1,425,333 · 13.5% peak1,425,333 · 13.5% peak664,229 · 6.3% peak664,229 · 6.3% peak1,721,858 · 16.4% peak1,721,858 · 16.4% peak411,563 · 3.9% peak411,563 · 3.9% peak1,480,886 · 14.1% peak1,480,886 · 14.1% peak392,618 · 3.7% peak392,618 · 3.7% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 40421736 · peak 10520310 · CV 1.39

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=0.0007 · σ=0.0172 · skew=0.31 (symmetric) · kurt=-0.92 (mesokurtic)54310 4-230.49bpbin -230.49bp · n=4 · 80.0% peakbin -230.49bp · n=4 · 80.0% peak 1-178.57bpbin -178.57bp · n=1 · 20.0% peakbin -178.57bp · n=1 · 20.0% peak 2-126.65bpbin -126.65bp · n=2 · 40.0% peakbin -126.65bp · n=2 · 40.0% peak 2-74.73bpbin -74.73bp · n=2 · 40.0% peakbin -74.73bp · n=2 · 40.0% peak 5-22.81bpbin -22.81bp · n=5 · 100.0% peakbin -22.81bp · n=5 · 100.0% peak 129.11bpbin 29.11bp · n=1 · 20.0% peakbin 29.11bp · n=1 · 20.0% peak 281.03bpbin 81.03bp · n=2 · 40.0% peakbin 81.03bp · n=2 · 40.0% peak 2132.95bpbin 132.95bp · n=2 · 40.0% peakbin 132.95bp · n=2 · 40.0% peak 1184.87bpbin 184.87bp · n=1 · 20.0% peakbin 184.87bp · n=1 · 20.0% peak 1236.79bpbin 236.79bp · n=1 · 20.0% peakbin 236.79bp · n=1 · 20.0% peak 2288.72bpbin 288.72bp · n=2 · 40.0% peakbin 288.72bp · n=2 · 40.0% peak 1340.64bpbin 340.64bp · n=1 · 20.0% peakbin 340.64bp · n=1 · 20.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 10 · negative 14
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=0.39 · kurt=-0.82 · near 22 / mid 2 / far 0 · OLS slope=1.01 intercept=-0.00MATCHES NORMAL · WELL-BEHAVEDMILDLY HEAVY UPPERLOWER 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
$0.0416
Mid price
$0.0416
24h change
+0.19%
Mark–mid spread
0.00 bps
Prev-day close
$0.0415

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25RIGHT-SKEWED (G₁=0.63)
μ MEAN0.0396$95% CI: [0.0392$, 0.0400$]
σ STD DEV0.0010$σ² = 0.010×10⁻⁴ · CV = 2.51%
med MEDIAN0.0392$Q₁ 0.0389$ · Q₃ 0.0403$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0032$ · IQR 0.0015$ (1.349σ→0.0013$)
min 0.0384$Q₁ 0.0389$med 0.0392$Q₃ 0.0403$max 0.0416$μ
SKEWNESS · G₁0.634right-skewed
−3−10+1+3
EXCESS KURTOSIS · G₂-0.992mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.44
σ × 1.349 ↔ IQRconsistent with normalratio = 0.90
range ↔ σconcentrated (range < 4σ)range / σ = 3.22
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=3.14
μᵣ MEAN / h+0.060181%drift is positive per h · |μ|/σ = 0.034
σᵣ STD / h1.795462%σ²ᵣ = 3.224×10⁻⁴ · CV = 29.83×
σ ANNUALISED168.05%/yrscaled by √8760 (hourly→yearly) · 1.795%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)3.14excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)3.87strong downside-adjusted
-2-10+1+2+3+4
CALMAR (return / max-DD)81.36exceptional DD control
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁0.41approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂-0.73mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.23
CALMAR · DD CONTROLdrawdown control exceptionalCR = 81.36
EXPECTED EDGE+527.18%/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 2.25%
VaR₉₅ (h)2.250%5% prob of larger adverse h move
VaR₉₉ (h)2.494%1% prob · extreme-tail threshold
ES₉₅ (CVaR)2.412%expected loss given 5% tail event
MAX DRAWDOWN6.48%11h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−2.250%VaR₉₉−2.494%ES₉₅−2.412%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEsignificant drawdown · 11h duration
PEAK4.11$
−6.48% drawdown over 11h
3.84$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.07× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.11× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONsignificant drawdownrecovery needed: +6.93% (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)
56.7 · neutral
Bollinger %B
1.083 · above upper band
Bollinger upper
$0.0413
Bollinger MA
$0.0394
Bollinger lower
$0.0375

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.21 + ADF rejected
ρ(1) AUTOCORR-0.206within white-noise band
ρ(2) AUTOCORR-0.009lag-2 not significant
H · HURST EXPONENT1.137strongly persistent
OLS TREND · t-STAT+0.504fails 5% test
HURST EXPONENT [0, 1]strongly persistent · H = 1.137
H = 1.137STRONGLY 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=1-0.206k=2-0.009k=3+0.083k=4+0.126k=5-0.2250+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|=0.50)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.21 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCENOT SIGNIFICANT (|t|=0.50)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)
$1.46M
Open interest (USD)
$856.16k
Vol / OI (turnover)
1.70x
1h funding
0.001250%
Funding (annualised)
+10.95%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
1.867× leverage · optimal log-utility leverage
Half-Kelly
0.933× · industry-standard conservative
Quarter-Kelly
0.467×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=24 bars · best 3.67% · worst -2.56% · typical |Δ| 1.45%MILD BULLISH +1.44%BEST+3.67%10hWORST-2.56%14hTYPICAL |Δ|1.45%mean absoluteCUMULATIVE+1.44%Σ signed ΔSTREAK↗ 1up-runASIA · 00-08 UTCμ +0.29% · Σ +2.35%EUROPE · 08-16 UTCμ +0.59% · Σ +4.71%US · 16-24 UTCμ -0.70% · Σ -5.61%CUMULATIVE Δ PATH · final +1.44%+1.44%-6.55%-2.56% · 14h-2.56% · 14h-2.56%14h▼ WORST2.72% · 15h2.72% · 15h2.72%15h-1.28% · 16h-1.28% · 16h-1.28%16h-1.27% · 17h-1.27% · 17h-1.27%17h-2.19% · 18h-2.19% · 18h-2.19%18h-0.33% · 19h-0.33% · 19h-0.33%19h-0.68% · 20h-0.68% · 20h-0.68%20h0.05% · 21h0.05% · 21h0.05%21h-0.50% · 22h-0.50% · 22h-0.50%22h0.59% · 23h0.59% · 23h0.59%23h-0.46% · 00h-0.46% · 00h-0.46%00h-0.39% · 01h-0.39% · 01h-0.39%01h-0.23% · 02h-0.23% · 02h-0.23%02h1.42% · 03h1.42% · 03h1.42%03h1.17% · 04h1.17% · 04h1.17%04h1.00% · 05h1.00% · 05h1.00%05h-2.20% · 06h-2.20% · 06h-2.20%06h2.04% · 07h2.04% · 07h2.04%07h-1.91% · 08h-1.91% · 08h-1.91%08h-0.35% · 09h-0.35% · 09h-0.35%09h3.67% · 10h3.67% · 10h3.67%10h★ BEST3.05% · 11h3.05% · 11h3.05%11h-2.26% · 12h-2.26% · 12h-2.26%12h2.36% · 13h2.36% · 13h2.36%13hTIME PATTERNEurope-led (+4.71%)RUNSup max 3 · down max 5BREADTH42% up · 58% down
10 up bars · 14 down · best 3.67% · worst -2.56% · typical |Δ| 1.446%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsPROFITABLE +1.08%FINAL+1.08%MAX DD-6.53%RECOVERYFULLY RECOVEREDMAX RUN-UP+1.08%UNDERWATER21/25 (84%)STREAK↗ 1EQUITY CURVE · end 1.0108 · peak 1.0108 · range [0.9355, 1.0108]1.01080.9355break-even = 1★ PEAK 1.0108UNDERWATER DRAWDOWN · max -6.53% · significant0%-6.53%▼ TROUGH -6.53%TOP DRAWDOWN PERIODS · 3 total#1 -6.53%bar 4-22 · 19 bars · recovered#2 -2.56%bar 2-2 · 1 bars · recovered#3 -2.26%bar 24-24 · 1 bars · recoveredDD SEVERITYsignificant (max -6.53%)RECOVERYfully recoveredTIME UNDER WATER84% of session · 21/25 bars
final equity 1.0108 (1.08%) · max DD -6.53% · time-under-water 21/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +10 / −9 (53% positive) · μ=-11.14 · σ=45.23MIXED EDGELAST 27.37 (+0.85σ vs μ)111.1655.580.00-55.58-111.16μ = -11.14-40.40-40.40-27.91-27.91-111.16-111.16-96.01-96.01-50.80-50.80-44.40-44.40-45.89-45.89-35.00-35.008.558.5539.5139.5145.0345.038.808.8032.5832.5812.9812.98-2.23-2.2315.2415.2426.3026.3025.7825.7827.3727.37v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 27.368 · range [-111.16, 45.03] · μ -11.140 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=130.2535 · σ=70.4200 · range [39.2122, 243.2860] · R²=0.413▲ RISING +36.71%σ EXTREME 54.06%LAST 243.2860243.2860192.2675141.249190.230739.2122μ = 130.2535max 243.2860min 39.2122dataMA(3)OLS R²=0.41μ lineμ ± σ bandmaxmin
latest 243.29% · range [39.21%, 243.29%] · μ 130.25% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +4 / −15 (21% positive) · μ=-0.190 · σ=0.307MEAN-REVERSIONLAST -0.159 (+0.10σ vs μ)0.5800.2900.000-0.290-0.580μ = -0.190-0.423-0.423-0.065-0.0650.0520.0520.1290.129-0.091-0.091-0.520-0.520-0.519-0.519-0.535-0.535-0.201-0.2010.3180.3180.4740.474-0.006-0.006-0.444-0.444-0.500-0.500-0.580-0.580-0.396-0.396-0.024-0.024-0.118-0.118-0.159-0.159v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.159 · |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
ALL TESTS PASS · data behaves as nominal0 reject·6 pass·α = 0.05
𝒩

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
1.2077
p-VALUE (log scale)
0.5467
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
3.5275
p-VALUE (log scale)
0.6217
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
-1.5953
p-VALUE (log scale)
0.4879
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
0.5732
p-VALUE (log scale)
0.5665
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (14 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.2254
p-VALUE (log scale)
0.3125
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
-0.8946
p-VALUE (log scale)
0.3710
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.728 ≈ 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=3.81e-4 · top T=2.00h (37.7%) · top-3 cover 57.4%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)1.7e-31.3e-38.6e-44.3e-40.0e+0μ noise floor2× noise (significance)period 24.0 · power 2.90e-4 · 6.4% energyperiod 24.0 · power 2.90e-4 · 6.4% energyperiod 12.0 · power 1.95e-4 · 4.3% energyperiod 12.0 · power 1.95e-4 · 4.3% energyperiod 8.0 · power 1.12e-4 · 2.5% energyperiod 8.0 · power 1.12e-4 · 2.5% energyperiod 6.0 · power 3.70e-4 · 8.1% energyperiod 6.0 · power 3.70e-4 · 8.1% energyperiod 4.8 · power 1.58e-4 · 3.5% energyperiod 4.8 · power 1.58e-4 · 3.5% energyperiod 4.0 · power 2.80e-4 · 6.1% energyperiod 4.0 · power 2.80e-4 · 6.1% energyperiod 3.4 · power 1.52e-4 · 3.3% energyperiod 3.4 · power 1.52e-4 · 3.3% energyperiod 3.0 · power 3.72e-4 · 8.1% energyperiod 3.0 · power 3.72e-4 · 8.1% energyperiod 2.7 · power 5.27e-4 · 11.5% energyperiod 2.7 · power 5.27e-4 · 11.5% energyperiod 2.4 · power 1.32e-4 · 2.9% energyperiod 2.4 · power 1.32e-4 · 2.9% energyperiod 2.2 · power 2.55e-4 · 5.6% energyperiod 2.2 · power 2.55e-4 · 5.6% energyperiod 2.0 · power 1.72e-3 · 37.7% energyperiod 2.0 · power 1.72e-3 · 37.7% energy50% by T=2.7h#1 dominantT=2.00h#2T=2.67h#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 ≈ 2.00h (freq 0.500) · concentrates 37.7% of total energy · Σ|X̂|²/n = 4.569e-3

▸ 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★) 0.006%/barparametric μ/σ² 16.99× · μ 0.001% · σ 0.08%
μ per barmean
0.001%
σ per barvol
0.08%
Empirical f★argmax g(f)
8.00×
from observed distribution
Parametric f★μ/σ²
16.99×
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%0.01%0.01%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 0.004% · annualized Sharpe 38.60400 paths × 720 bars · leverage 3.00× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
0.017
annualized 38.60
μ per barafter L
0.004%
σ per barafter L
0.23%
VaR 95%5%
0.31%
per-bar worst-case
CVaR 95%ES
0.51%
mean tail loss
Max DD (median)MDD
-0.5%
0.88×0.95×1.01×1.07×1.14×1.20×0120240360480600720startbar #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 30.14σ ann 177% · Sortino 26.72 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
0%723%1447%2170%2893%3617%1000.0%APR (simple)1000.0%APY (compound)177.4%Ann. vol σ3014.0%Sharpe (ann)2672.5%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 = 1.007% · long-run σ = 2.236%
0.0370.0380.0400.0410.0420.044t-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 13:29:27 UTC
Snapshot age
3.0s
History points
25 hourly closes
Page rendered
2026-06-14 13:29:30 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
8653c21ef3296c058712cadb699998aa4fd06db7c7e74d5b5da3f78b65e38a2c · 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
$0
bid $0 · ask $0
Depth within 50bp
$29.74K
bid $13.83K · ask $15.91K
Mid price
0.041600
(best bid + best ask) / 2
Spread
23.3bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.023
ask-heavy
Imbalance (top-5)
+0.350
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-nil/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.04167918.90bp0.0416953FILLED
BUY$10.00K0.04171427.28bp0.0417728FILLED
BUY$100.00K0.04180849.95bp0.04196520PARTIAL
SELL$1.00K0.04153216.42bp0.0415253FILLED
SELL$10.00K0.04148727.40bp0.0414277FILLED
SELL$100.00K0.04138352.24bp0.04121520PARTIAL

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-nil/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$40.42M

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

Order flow

▸ ASK-LEAN · -0.174 · Hyperliquid candles
Bars (buy / sell)
10 / 14
1 unclassified
Buy weight
$12.35M
real volume
Sell weight
$17.55M
real volume
Net delta
$5.19M
sellers net
Imbalance
-17.37%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
17.4%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 6 found · deepest 6.02% · 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 16:00:00Z6.0h0.041098→0.0386256.017%7
#22026-06-13 14:00:00Z0ms0.041036→0.0399972.532%1
#32026-06-14 08:00:00Z1.0h0.039840→0.0388862.395%2

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
177.43%
σ per bar = 0.000774
Mean return (annualised)
5347.82%
μ per bar = 0.000010
Sharpe (rf=0)
30.14
annualised; risk-free assumed zero
Max drawdown
3.87%
peak 0.04 → trough 0.04 over 333 bars

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