HYPERLIQUID · PERPETUAL FUTURES

PENGU

PENGU-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-pengu · fresh · feed 2s old
24h sparkline · 60 pts▼ -1.95%
realized vol (ann.)
46.64%
max drawdown
1.16%
sharpe
-15.99
ulcer index
0.66%
RMS drawdown
pain index
0.55%
mean drawdown
mod. VaR 95%
0.00%
Cornish-Fisher
martin ratio
-1134.17
ret / ulcer
CDaR 95%
1.09%
cond. drawdown
gain/pain
0.97
Σgain / Σ|loss|
sterling
-681.63
ret / CDaR
omega (θ=0)
0.97
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-1.95%
flow lean
—
carry
shorts_pay
-41.52%
signalNEUTRALconfidence 33%
  • 24h change -1.95%
  • funding: shorts pay — perp longs get paid to wait
  • mark cheap vs HL oracle by 12.0bps — long bias
Same bundle via M2M API: /api/m2m/hl-pengu/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH1.9s⏱--:--:-- 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
$0.007
24h Δ · live
-1.95%
24h vol · live
$1.4M
PENGU · live 24h price
n=25 · μ=0.0068 · σ=0.0001 · range [0.0067, 0.0069] · R²=0.626▼ FALLING -2.14%σ LOW 0.82%LAST 0.00670.00690.00680.00680.00670.0067μ = 0.0068max 0.0069min 0.0067dataMA(5)OLS R²=0.63μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.01
Funding direction · live
Long fee 49.5%Short fee 50.5%SHORT FEE50.5%
Σ = 0.0%
Σ-sides total = 0.01% (99.99pp arb gap)
H(p) entropy = 1.000 / 1.00 bits (100%) · max uncertainty (~50/50)
Long fee
49.5%▬ +0.00pp
Short fee
50.5%▬ +0.00pp
1h funding -0.004740% · shorts pay
Hourly contract volume · live
n=25 · Σ=206,912,221 · μ=8276488.8 · σ=7432366.3 · CV=0.90BURSTYcumulative energy ↗ · 50% by h=1607,810,62715,621,25423,431,88131,242,508μ = 827648931,242,50850%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 31242508 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
1.9s
$mark $
$0.0067
$mid $
$0.0067
◉prev-day close
$0.0068
Δ24h Δ %
-1.951%
$24h vol $
$1.39M
◐open interest $
$3.44M
%funding (1h)
-0.004740%
%funding (yr)
-41.52%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0068 · σ=0.0001 · range [0.0067, 0.0069] · R²=0.626▼ FALLING -2.14%σ LOW 0.82%LAST 0.00670.00690.00680.00680.00670.0067μ = 0.0068max 0.0069min 0.0067dataMA(5)OLS R²=0.63μ lineμ ± σ bandmaxmin
mark $0.0067 · 24h -1.95% · range $[0.0067, 0.0069]
OHLC candles · hourly
n=25 · up 10 · down 15 (40% up) · range [0.0067, 0.0069] · σ=0.0001 · CV=0.01 · bodyµ=38%BEARISH -1.82%CLOSE 0.0067 vs OPEN 0.0068 (-1.82%)&#9660; CLOSE 0.00670.00690.00690.00680.00670.0067μ close = 0.0068O0.007 H0.007 L0.007 C0.007 (+0.32%)O0.007 H0.007 L0.007 C0.007 (+0.32%)O0.007 H0.007 L0.007 C0.007 (-0.28%)O0.007 H0.007 L0.007 C0.007 (-0.28%)O0.007 H0.007 L0.007 C0.007 (+0.91%)O0.007 H0.007 L0.007 C0.007 (+0.91%)O0.007 H0.007 L0.007 C0.007 (-0.28%)O0.007 H0.007 L0.007 C0.007 (-0.28%)O0.007 H0.007 L0.007 C0.007 (-0.83%)O0.007 H0.007 L0.007 C0.007 (-0.83%)O0.007 H0.007 L0.007 C0.007 (+0.03%)O0.007 H0.007 L0.007 C0.007 (+0.03%)O0.007 H0.007 L0.007 C0.007 (-0.12%)O0.007 H0.007 L0.007 C0.007 (-0.12%)O0.007 H0.007 L0.007 C0.007 (-0.68%)O0.007 H0.007 L0.007 C0.007 (-0.68%)O0.007 H0.007 L0.007 C0.007 (-0.24%)O0.007 H0.007 L0.007 C0.007 (-0.24%)O0.007 H0.007 L0.007 C0.007 (+0.97%)O0.007 H0.007 L0.007 C0.007 (+0.97%)O0.007 H0.007 L0.007 C0.007 (-0.60%)O0.007 H0.007 L0.007 C0.007 (-0.60%)O0.007 H0.007 L0.007 C0.007 (+0.47%)O0.007 H0.007 L0.007 C0.007 (+0.47%)O0.007 H0.007 L0.007 C0.007 (-0.07%)O0.007 H0.007 L0.007 C0.007 (-0.07%)O0.007 H0.007 L0.007 C0.007 (+0.44%)O0.007 H0.007 L0.007 C0.007 (+0.44%)O0.007 H0.007 L0.007 C0.007 (+0.32%)O0.007 H0.007 L0.007 C0.007 (+0.32%)O0.007 H0.007 L0.007 C0.007 (+0.23%)O0.007 H0.007 L0.007 C0.007 (+0.23%)-1.0%O0.007 H0.007 L0.007 C0.007 (-1.04%)O0.007 H0.007 L0.007 C0.007 (-1.04%)O0.007 H0.007 L0.007 C0.007 (-0.25%)O0.007 H0.007 L0.007 C0.007 (-0.25%)O0.007 H0.007 L0.007 C0.007 (-0.27%)O0.007 H0.007 L0.007 C0.007 (-0.27%)O0.007 H0.007 L0.007 C0.007 (-0.19%)O0.007 H0.007 L0.007 C0.007 (-0.19%)O0.007 H0.007 L0.007 C0.007 (-0.03%)O0.007 H0.007 L0.007 C0.007 (-0.03%)O0.007 H0.007 L0.007 C0.007 (+0.09%)O0.007 H0.007 L0.007 C0.007 (+0.09%)O0.007 H0.007 L0.007 C0.007 (-0.19%)O0.007 H0.007 L0.007 C0.007 (-0.19%)O0.007 H0.007 L0.007 C0.007 (-0.18%)O0.007 H0.007 L0.007 C0.007 (-0.18%)O0.007 H0.007 L0.007 C0.007 (+0.03%)O0.007 H0.007 L0.007 C0.007 (+0.03%)#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=206,912,221 · μ=8276488.8 · σ=7432366.3 · CV=0.90BURSTYcumulative energy &nearr; · 50% by h=1607,810,62715,621,25423,431,88131,242,508μ = 82764894,743,094 · 15.2% peak4,743,094 · 15.2% peak6,609,307 · 21.2% peak6,609,307 · 21.2% peak2,977,315 · 9.5% peak2,977,315 · 9.5% peak23,029,659 · 73.7% peak23,029,659 · 73.7% peak9,803,555 · 31.4% peak9,803,555 · 31.4% peak6,582,859 · 21.1% peak6,582,859 · 21.1% peak2,879,686 · 9.2% peak2,879,686 · 9.2% peak11,363,119 · 36.4% peak11,363,119 · 36.4% peak11,739,376 · 37.6% peak11,739,376 · 37.6% peak3,130,830 · 10.0% peak3,130,830 · 10.0% peak1,903,166 · 6.1% peak1,903,166 · 6.1% peak1,417,254 · 4.5% peak1,417,254 · 4.5% peak7,866,646 · 25.2% peak7,866,646 · 25.2% peak2,481,708 · 7.9% peak2,481,708 · 7.9% peak1,268,630 · 4.1% peak1,268,630 · 4.1% peak17,441,768 · 55.8% peak17,441,768 · 55.8% peak1,833,761 · 5.9% peak1,833,761 · 5.9% peak31,242,50831,242,508 · 100.0% peak31,242,508 · 100.0% peak18,253,413 · 58.4% peak18,253,413 · 58.4% peak9,863,032 · 31.6% peak9,863,032 · 31.6% peak9,236,709 · 29.6% peak9,236,709 · 29.6% peak7,084,630 · 22.7% peak7,084,630 · 22.7% peak7,465,025 · 23.9% peak7,465,025 · 23.9% peak4,978,104 · 15.9% peak4,978,104 · 15.9% peak1,717,067 · 5.5% peak1,717,067 · 5.5% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 206912221 · peak 31242508 · CV 0.90

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0008 · σ=0.0045 · skew=0.29 (symmetric) · kurt=-0.02 (mesokurtic)65320 1-93.34bpbin -93.34bp · n=1 · 16.7% peakbin -93.34bp · n=1 · 16.7% peak 2-76.98bpbin -76.98bp · n=2 · 33.3% peakbin -76.98bp · n=2 · 33.3% peak 1-60.62bpbin -60.62bp · n=1 · 16.7% peakbin -60.62bp · n=1 · 16.7% peak-44.26bp 6-27.90bpbin -27.90bp · n=6 · 100.0% peakbin -27.90bp · n=6 · 100.0% peak 4-11.54bpbin -11.54bp · n=4 · 66.7% peakbin -11.54bp · n=4 · 66.7% peak 44.82bpbin 4.82bp · n=4 · 66.7% peakbin 4.82bp · n=4 · 66.7% peak 221.18bpbin 21.18bp · n=2 · 33.3% peakbin 21.18bp · n=2 · 33.3% peak 137.54bpbin 37.54bp · n=1 · 16.7% peakbin 37.54bp · n=1 · 16.7% peak 153.90bpbin 53.90bp · n=1 · 16.7% peakbin 53.90bp · n=1 · 16.7% peak70.26bp 286.62bpbin 86.62bp · n=2 · 33.3% peakbin 86.62bp · n=2 · 33.3% 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=0.34 · kurt=0.07 · 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
$0.0067
Mid price
$0.0067
24h change
-1.95%
Mark–mid spread
1.50 bps
Prev-day close
$0.0068

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.17)
μ MEAN0.0068$95% CI: [0.0067$, 0.0068$]
σ STD DEV0.0001$σ² = 0.000×10⁻⁴ · CV = 0.82%
med MEDIAN0.0068$Q₁ 0.0067$ · Q₃ 0.0068$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0002$ · IQR 0.0001$ (1.349σ→0.0001$)
min 0.0067$Q₁ 0.0067$med 0.0068$Q₃ 0.0068$max 0.0069$μ
SKEWNESS · G₁0.112approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.172platykurtic · thin tails
−30+2+4+6
μ ↔ median≈ equal · symmetric|μ−med| / σ = 0.01
σ × 1.349 ↔ IQRconsistent with normalratio = 0.88
range ↔ σconcentrated (range < 4σ)range / σ = 3.51
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-ADJUSTEDUNPROFITABLE · SR=-17.57
μᵣ MEAN / h-0.090020%drift is negative per h · |μ|/σ = 0.188
σᵣ STD / h0.479576%σ²ᵣ = 0.230×10⁻⁴ · CV = 5.33×
σ ANNUALISED44.89%/yrscaled by √8760 (hourly→yearly) · 0.480%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-17.57negative edge
-2-10+1+2+3+4
SORTINO (annualised)-17.53downside drag
-2-10+1+2+3+4
CALMAR (return / max-DD)-100.00drawdown overwhelms returns
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁0.36approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.39mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.00
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-788.58%/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 0.82%
VaR₉₅ (h)0.820%5% prob of larger adverse h move
VaR₉₉ (h)0.974%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.925%expected loss given 5% tail event
MAX DRAWDOWN2.82%21h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.820%VaR₉₉−0.974%ES₉₅−0.925%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 21h duration
PEAK0.69$
−2.82% drawdown over 21h
0.67$TROUGH
ES / VaR · TAIL THICKNESSmild tail heaviness|ES₉₅| / |VaR₉₅| = 1.13× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.19× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +2.91% (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)
35.8 · neutral
Bollinger %B
0.155 · within band
Bollinger upper
$0.0068
Bollinger MA
$0.0067
Bollinger lower
$0.0067

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ADF rejects unit root
ρ(1) AUTOCORR-0.167within white-noise band
ρ(2) AUTOCORR-0.100lag-2 not significant
H · HURST EXPONENT0.857strongly persistent
OLS TREND · t-STAT-6.211significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.857
H = 0.857STRONGLY 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=1-0.167k=2-0.100k=3+0.015k=4+0.068k=5-0.3820+1−1+0.41−0.41+ momentum (ρ > +0.41)− reversal (ρ < −0.41)noise (within band)±2/√n threshold
OLS TREND · t-STAT · [-5, +5]SIGNIFICANT @ 1% (|t|=6.21)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ADF rejects unit rootfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.88very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=6.21)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)
$1.39M
Open interest (USD)
$3.44M
Vol / OI (turnover)
0.40x
1h funding
-0.004740%
Funding (annualised)
-41.52%/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 0.95% · worst -1.02% · typical |Δ| 0.38%MILD BEARISH -2.16%BEST+0.95%21hWORST-1.02%04hTYPICAL |Δ|0.38%mean absoluteCUMULATIVE-2.16%Σ signed ΔSTREAK↗ 1up-runASIA · 00-08 UTCμ -0.12% · Σ -0.99%EUROPE · 08-16 UTCμ +0.01% · Σ +0.05%US · 16-24 UTCμ -0.15% · Σ -1.22%CUMULATIVE Δ PATH · final -2.16%+0.60%-2.27%-0.29% · 13h-0.29% · 13h-0.29%13h0.89% · 14h0.89% · 14h0.89%14h-0.22% · 15h-0.22% · 15h-0.22%15h-0.83% · 16h-0.83% · 16h-0.83%16h0.06% · 17h0.06% · 17h0.06%17h-0.18% · 18h-0.18% · 18h-0.18%18h-0.74% · 19h-0.74% · 19h-0.74%19h-0.34% · 20h-0.34% · 20h-0.34%20h0.95% · 21h0.95% · 21h0.95%21h★ BEST-0.56% · 22h-0.56% · 22h-0.56%22h0.43% · 23h0.43% · 23h0.43%23h-0.13% · 00h-0.13% · 00h-0.13%00h0.49% · 01h0.49% · 01h0.49%01h0.28% · 02h0.28% · 02h0.28%02h0.21% · 03h0.21% · 03h0.21%03h-1.02% · 04h-1.02% · 04h-1.02%04h▼ WORST-0.30% · 05h-0.30% · 05h-0.30%05h-0.34% · 06h-0.34% · 06h-0.34%06h-0.18% · 07h-0.18% · 07h-0.18%07h0.01% · 08h0.01% · 08h0.01%08h0.01% · 09h0.01% · 09h0.01%09h-0.27% · 10h-0.27% · 10h-0.27%10h-0.19% · 11h-0.19% · 11h-0.19%11h0.10% · 12h0.10% · 12h0.10%12hTIME PATTERNEurope-led (+0.05%)RUNSup max 3 · down max 4BREADTH42% up · 58% down
10 up bars · 14 down · best 0.95% · worst -1.02% · typical |Δ| 0.376%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-2.16%)FINAL-2.16%MAX DD-2.85%RECOVERYONGOING · 22 barsMAX RUN-UP+0.60%UNDERWATER23/25 (92%)STREAK↗ 1EQUITY CURVE · end 0.9784 · peak 1.0060 · range [0.9773, 1.0060]1.00600.9773break-even = 1★ PEAK 1.0060UNDERWATER DRAWDOWN · max -2.85% · moderate0%-2.85%▼ TROUGH -2.85%TOP DRAWDOWN PERIODS · 2 total#1 -2.85%bar 4-25 · 22 bars · ONGOING#2 -0.29%bar 2-2 · 1 bars · recoveredDD SEVERITYmoderate (max -2.85%)RECOVERYongoing · 22 barsTIME UNDER WATER92% of session · 23/25 bars
final equity 0.9784 (-2.16%) · max DD -2.85% · time-under-water 23/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +4 / −15 (21% positive) · μ=-30.63 · σ=43.24UNPROFITABLE STRATEGYLAST -53.24 (-0.52σ vs μ)104.8152.400.00-52.40-104.81μ = -30.63-15.76-15.76-25.45-25.45-101.65-101.65-26.14-26.14-21.10-21.10-10.74-10.74-9.70-9.7022.4222.4242.9742.9727.6527.656.996.99-13.69-13.69-19.34-19.34-45.14-45.14-60.05-60.05-73.76-73.76-104.81-104.81-101.45-101.45-53.24-53.24v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -53.238 · range [-104.81, 42.97] · μ -30.630 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=44.0153 · σ=15.7723 · range [13.7270, 60.6080] · R²=0.529▼ FALLING -73.77%σ EXTREME 35.83%LAST 13.912660.608048.887737.167525.447213.7270μ = 44.0153max 60.6080min 13.7270dataMA(3)OLS R²=0.53μ lineμ ± σ bandmaxmin
latest 13.91% · range [13.73%, 60.61%] · μ 44.02% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +5 / −14 (26% positive) · μ=-0.186 · σ=0.298MEAN-REVERSIONLAST -0.166 (+0.07σ vs μ)0.8050.4020.000-0.402-0.805μ = -0.186-0.219-0.219-0.087-0.087-0.452-0.452-0.119-0.119-0.302-0.302-0.374-0.374-0.426-0.426-0.805-0.805-0.631-0.631-0.390-0.390-0.110-0.1100.1450.1450.1850.185-0.059-0.059-0.356-0.3560.1780.1780.3130.3130.1420.142-0.166-0.166v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.166 · |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
0.6753
p-VALUE (log scale)
0.7135
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
5.9682
p-VALUE (log scale)
0.3088
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
-1.3348
p-VALUE (log scale)
0.6114
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)

REJECT H₀*

H₀: p IS level-stationary

STATISTIC
0.6450
p-VALUE (log scale)
0.0185
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-stationary (crit 0.463)
χ

Variance ratio q=3

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-0.8917
p-VALUE (log scale)
0.3726
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.729 ≈ 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=2.32e-5 · top T=3.00h (24.5%) · top-3 cover 56.1%2 SIGNIFICANT CYCLEScumulative energy ↗ (2 bins above 2× noise)6.8e-55.1e-53.4e-51.7e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 2.94e-6 · 1.1% energyperiod 24.0 · power 2.94e-6 · 1.1% energyperiod 12.0 · power 4.08e-5 · 14.6% energyperiod 12.0 · power 4.08e-5 · 14.6% energyperiod 8.0 · power 5.25e-6 · 1.9% energyperiod 8.0 · power 5.25e-6 · 1.9% energyperiod 6.0 · power 2.82e-5 · 10.1% energyperiod 6.0 · power 2.82e-5 · 10.1% energyperiod 4.8 · power 6.05e-6 · 2.2% energyperiod 4.8 · power 6.05e-6 · 2.2% energyperiod 4.0 · power 2.80e-5 · 10.0% energyperiod 4.0 · power 2.80e-5 · 10.0% energyperiod 3.4 · power 1.74e-5 · 6.2% energyperiod 3.4 · power 1.74e-5 · 6.2% energyperiod 3.0 · power 6.82e-5 · 24.5% energyperiod 3.0 · power 6.82e-5 · 24.5% energyperiod 2.7 · power 8.45e-7 · 0.3% energyperiod 2.7 · power 8.45e-7 · 0.3% energyperiod 2.4 · power 5.37e-6 · 1.9% energyperiod 2.4 · power 5.37e-6 · 1.9% energyperiod 2.2 · power 4.73e-5 · 17.0% energyperiod 2.2 · power 4.73e-5 · 17.0% energyperiod 2.0 · power 2.83e-5 · 10.2% energyperiod 2.0 · power 2.83e-5 · 10.2% energy50% by T=3.0h#1 dominantT=3.00h#2T=2.18h#3T=12.00hT=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 ≈ 3.00h (freq 0.333) · concentrates 24.5% of total energy · Σ|X̂|²/n = 2.786e-4

▸ Depth section using sovereign-store price series (5000 bars · effective 5257847 bars/year) — annualisation reflects native polling cadence, not upstream timeframes.

§16 · NOSTRADAMUS continuous quant — perp leverage & bootstrap MC

Continuous-price extension of the prediction-market quant module. Kelly growth on observed returns (Merton μ/σ² parametric vs argmax empirical), Monte-Carlo equity fan bootstrapped from the historical return distribution at quarter-Kelly leverage, and an annualized return decomposition. Sweep parameters in the simulator.

§17 · Continuous Kelly

Continuous-Kelly growth · g(f) = E[ln(1 + f·r)]
NO LONG EDGE · μ -0.000% per barparametric μ/σ² short edge (μ<0) · μ -0.000% · σ 0.02%
μ per barmean
-0.000%
σ per barvol
0.02%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-112.05×
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 -47.07400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.021
annualized -47.07
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.00%
per-bar worst-case
CVaR 95%ES
0.00%
mean tail loss
Max DD (median)MDD
-0.0%
0.95×0.97×0.99×1.01×1.03×1.05×0120240360480600720startbar #equity multiple
median25/75 band5/95 band
Median path with 25/75 and 5/95 percentile bands across 400 simulated careers. Bars resample with replacement from the observed return distribution — preserves fat tails the parametric model misses.

§19 · Annualized breakdown

Annualized return components
APR -1000% · APY -100% · Sharpe -50.12σ ann 45% · Sortino -34.76 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-6014%-4800%-3587%-2373%-1160%54%-1000.0%APR (simple)-100.0%APY (compound)44.7%Ann. vol σ-5011.6%Sharpe (ann)-3476.4%Sortino (ann)
Simple APR vs compounded APY · annualized volatility · risk-adjusted Sharpe and Sortino. All scaled by √(periods/yr).

§20 · GARCH(1,1) volatility band

GARCH(1,1) · conditional vol envelope (±2σ)
GARCH persistence α+β = 0.980· σ̂ₜ = 1.000% · long-run σ = 2.236%
0.0060.0070.0070.0070.0070.007t-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
1.9s
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
108bd37cb6879ab4da655b92751da21b85928aae2a56b38414a6879b36492924 · 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
$26.61K
bid $3.25K · ask $23.37K
Depth within 10bp
$63.73K
bid $20.11K · ask $43.61K
Depth within 50bp
$237.55K
bid $118.27K · ask $119.28K
Mid price
0.006686
(best bid + best ask) / 2
Spread
3.0bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.003
ask-heavy
Imbalance (top-5)
-0.432
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-pengu/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0066871.50bp0.0066871FILLED
BUY$10.00K0.0066882.28bp0.0066882FILLED
BUY$100.00K0.00669412.68bp0.00670417FILLED
SELL$1.00K0.0066842.24bp0.0066842FILLED
SELL$10.00K0.0066825.50bp0.0066815FILLED
SELL$100.00K0.00667515.84bp0.00666718FILLED

Funding carry

▸ SHORTS PAY · longs receive
Hourly funding
-4.740e-5
-0.00474% / hr
Annualised APR
-41.549%
hourly · 24 · 365.25
Long: days to 1% carry
8.8d
longs receive
Short: days to 1% carry
8.8d
shorts pay
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGRECEIVE41.549%8.8d87.9d
SHORTPAY-41.549%8.8d87.9d

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

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$206.91M

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

Order flow

▸ ASK-LEAN · -0.472 · Hyperliquid candles
Bars (buy / sell)
10 / 14
1 unclassified
Buy weight
$53.34M
real volume
Sell weight
$148.83M
real volume
Net delta
$95.49M
sellers net
Imbalance
-47.23%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
47.2%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 3 found · deepest 2.23% · 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 16:00:00Z4.0h0.006872→0.0067192.226%5
#22026-06-14 04:00:00Z4.0h0.006831→0.0067071.815%5
#32026-06-13 22:00:00Z0ms0.006783→0.0067450.560%1

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
44.73%
σ per bar = 0.000195
Mean return (annualised)
-2241.56%
μ per bar = -0.000004
Sharpe (rf=0)
-50.12
annualised; risk-free assumed zero
Max drawdown
2.68%
peak 0.01 → trough 0.01 over 3213 bars

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