HYPERLIQUID · PERPETUAL FUTURES

UMA

UMA-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-uma · fresh · feed 3s old
24h sparkline · 60 pts▼ -0.61%
realized vol (ann.)
38.28%
max drawdown
0.98%
sharpe
-25.69
ulcer index
0.51%
RMS drawdown
pain index
0.45%
mean drawdown
mod. VaR 95%
0.02%
Cornish-Fisher
martin ratio
-1927.37
ret / ulcer
CDaR 95%
0.83%
cond. drawdown
gain/pain
0.95
Σgain / Σ|loss|
sterling
-1180.17
ret / CDaR
omega (θ=0)
0.95
upside/downside
roll spread
0.3 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-0.61%
flow lean
—
carry
shorts_pay
-26.77%
signalNEUTRALconfidence 40%
  • funding: shorts pay — perp longs get paid to wait
  • mark cheap vs HL oracle by 20.0bps — long bias
Same bundle via M2M API: /api/m2m/hl-uma/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH2.6s⏱--:--:-- 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
$0.400
24h Δ · live
-0.61%
24h vol · live
$0.0M
UMA · live 24h price
n=25 · μ=0.4009 · σ=0.0011 · range [0.3992, 0.4037] · R²=0.221▼ FALLING -0.61%σ LOW 0.26%LAST 0.40010.40370.40250.40140.40030.3992μ = 0.4009max 0.4037min 0.3992dataMA(5)OLS R²=0.22μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.40
Funding direction · live
Long fee 49.2%Short fee 50.8%SHORT FEE50.8%
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
49.2%▬ +0.00pp
Short fee
50.8%▬ +0.00pp
1h funding -0.003055% · shorts pay
Hourly contract volume · live
n=25 · Σ=78,729 · μ=3149.2 · σ=2511.0 · CV=0.80STEADY FLOWcumulative energy ↗ · 50% by h=1202,8095,6188,42711,236μ = 314911,236.350%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 11236 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
2.6s
$mark $
$0.4002
$mid $
$0.4001
◉prev-day close
$0.4026
Δ24h Δ %
-0.606%
$24h vol $
$30.83k
◐open interest $
$150.16k
%funding (1h)
-0.003055%
%funding (yr)
-26.77%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.4009 · σ=0.0011 · range [0.3992, 0.4037] · R²=0.221▼ FALLING -0.61%σ LOW 0.26%LAST 0.40010.40370.40250.40140.40030.3992μ = 0.4009max 0.4037min 0.3992dataMA(5)OLS R²=0.22μ lineμ ± σ bandmaxmin
mark $0.4002 · 24h -0.61% · range $[0.3992, 0.4037]
OHLC candles · hourly
n=25 · up 12 · down 13 (48% up) · range [0.3979, 0.4046] · σ=0.0011 · CV=0.00 · bodyµ=46%BEARISH -0.61%CLOSE 0.4001 vs OPEN 0.4026 (-0.61%)&#9660; CLOSE 0.40010.40460.40290.40130.39960.3979μ close = 0.4009O0.403 H0.403 L0.402 C0.403 (+0.00%)O0.403 H0.403 L0.402 C0.403 (+0.00%)O0.402 H0.403 L0.401 C0.402 (-0.14%)O0.402 H0.403 L0.401 C0.402 (-0.14%)O0.402 H0.402 L0.400 C0.402 (-0.00%)O0.402 H0.402 L0.400 C0.402 (-0.00%)O0.402 H0.405 L0.402 C0.404 (+0.36%)O0.402 H0.405 L0.402 C0.404 (+0.36%)O0.404 H0.404 L0.400 C0.402 (-0.43%)O0.404 H0.404 L0.400 C0.402 (-0.43%)O0.400 H0.403 L0.400 C0.401 (+0.09%)O0.400 H0.403 L0.400 C0.401 (+0.09%)O0.401 H0.402 L0.401 C0.401 (+0.00%)O0.401 H0.402 L0.401 C0.401 (+0.00%)O0.400 H0.401 L0.399 C0.401 (+0.22%)O0.400 H0.401 L0.399 C0.401 (+0.22%)O0.401 H0.402 L0.401 C0.401 (-0.14%)O0.401 H0.402 L0.401 C0.401 (-0.14%)O0.401 H0.403 L0.399 C0.402 (+0.32%)O0.401 H0.403 L0.399 C0.402 (+0.32%)O0.401 H0.402 L0.400 C0.400 (-0.26%)O0.401 H0.402 L0.400 C0.400 (-0.26%)O0.400 H0.401 L0.399 C0.401 (+0.20%)O0.400 H0.401 L0.399 C0.401 (+0.20%)O0.401 H0.401 L0.399 C0.400 (-0.26%)O0.401 H0.401 L0.399 C0.400 (-0.26%)O0.400 H0.402 L0.399 C0.400 (+0.02%)O0.400 H0.402 L0.399 C0.400 (+0.02%)O0.400 H0.401 L0.400 C0.400 (-0.15%)O0.400 H0.401 L0.400 C0.400 (-0.15%)O0.400 H0.402 L0.400 C0.401 (+0.14%)O0.400 H0.402 L0.400 C0.401 (+0.14%)O0.401 H0.401 L0.399 C0.399 (-0.49%)O0.401 H0.401 L0.399 C0.399 (-0.49%)O0.400 H0.401 L0.398 C0.401 (+0.22%)O0.400 H0.401 L0.398 C0.401 (+0.22%)-0.6%O0.402 H0.403 L0.400 C0.400 (-0.57%)O0.402 H0.403 L0.400 C0.400 (-0.57%)O0.401 H0.401 L0.399 C0.400 (-0.36%)O0.401 H0.401 L0.399 C0.400 (-0.36%)O0.401 H0.402 L0.400 C0.402 (+0.32%)O0.401 H0.402 L0.400 C0.402 (+0.32%)O0.402 H0.403 L0.401 C0.402 (+0.17%)O0.402 H0.403 L0.401 C0.402 (+0.17%)O0.402 H0.402 L0.401 C0.401 (-0.25%)O0.402 H0.402 L0.401 C0.401 (-0.25%)O0.401 H0.401 L0.400 C0.400 (-0.19%)O0.401 H0.401 L0.400 C0.400 (-0.19%)O0.401 H0.401 L0.400 C0.400 (-0.19%)O0.401 H0.401 L0.400 C0.400 (-0.19%)#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=78,729 · μ=3149.2 · σ=2511.0 · CV=0.80STEADY FLOWcumulative energy &nearr; · 50% by h=1202,8095,6188,42711,236μ = 31493,696.9 · 32.9% peak3,696.9 · 32.9% peak4,147 · 36.9% peak4,147 · 36.9% peak2,900.3 · 25.8% peak2,900.3 · 25.8% peak1,000.3 · 8.9% peak1,000.3 · 8.9% peak7,910 · 70.4% peak7,910 · 70.4% peak2,208.6 · 19.7% peak2,208.6 · 19.7% peak1,117 · 9.9% peak1,117 · 9.9% peak3,865.2 · 34.4% peak3,865.2 · 34.4% peak1,636.8 · 14.6% peak1,636.8 · 14.6% peak1,730.3 · 15.4% peak1,730.3 · 15.4% peak1,148 · 10.2% peak1,148 · 10.2% peak11,236.311,236.3 · 100.0% peak11,236.3 · 100.0% peak2,231.9 · 19.9% peak2,231.9 · 19.9% peak5,598.4 · 49.8% peak5,598.4 · 49.8% peak4,769.8 · 42.4% peak4,769.8 · 42.4% peak4,585.2 · 40.8% peak4,585.2 · 40.8% peak1,942.8 · 17.3% peak1,942.8 · 17.3% peak6,242.6 · 55.6% peak6,242.6 · 55.6% peak2,528.6 · 22.5% peak2,528.6 · 22.5% peak1,250.9 · 11.1% peak1,250.9 · 11.1% peak1,737.4 · 15.5% peak1,737.4 · 15.5% peak1,658.1 · 14.8% peak1,658.1 · 14.8% peak964.9 · 8.6% peak964.9 · 8.6% peak2,073.5 · 18.5% peak2,073.5 · 18.5% peak548.5 · 4.9% peak548.5 · 4.9% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 78729 · peak 11236 · CV 0.80

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0003 · σ=0.0026 · skew=0.46 (symmetric) · kurt=-0.51 (mesokurtic)43210 2-41.74bpbin -41.74bp · n=2 · 50.0% peakbin -41.74bp · n=2 · 50.0% peak 2-33.36bpbin -33.36bp · n=2 · 50.0% peakbin -33.36bp · n=2 · 50.0% peak 3-24.98bpbin -24.98bp · n=3 · 75.0% peakbin -24.98bp · n=3 · 75.0% peak 2-16.60bpbin -16.60bp · n=2 · 50.0% peakbin -16.60bp · n=2 · 50.0% peak 4-8.22bpbin -8.22bp · n=4 · 100.0% peakbin -8.22bp · n=4 · 100.0% peak 20.17bpbin 0.17bp · n=2 · 50.0% peakbin 0.17bp · n=2 · 50.0% peak 38.55bpbin 8.55bp · n=3 · 75.0% peakbin 8.55bp · n=3 · 75.0% peak 216.93bpbin 16.93bp · n=2 · 50.0% peakbin 16.93bp · n=2 · 50.0% peak 125.31bpbin 25.31bp · n=1 · 25.0% peakbin 25.31bp · n=1 · 25.0% peak 133.69bpbin 33.69bp · n=1 · 25.0% peakbin 33.69bp · n=1 · 25.0% peak42.08bp 250.46bpbin 50.46bp · n=2 · 50.0% peakbin 50.46bp · n=2 · 50.0% 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=0.50 · kurt=-0.42 · near 22 / mid 2 / far 0 · OLS slope=1.01 intercept=-0.00APPROXIMATELY NORMALMILDLY 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
$0.4002
Mid price
$0.4001
24h change
-0.61%
Mark–mid spread
1.50 bps
Prev-day close
$0.4026

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25RIGHT-SKEWED (G₁=0.63)
μ MEAN0.4009$95% CI: [0.4005$, 0.4013$]
σ STD DEV0.0011$σ² = 0.011×10⁻⁴ · CV = 0.26%
med MEDIAN0.4008$Q₁ 0.4002$ · Q₃ 0.4016$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0045$ · IQR 0.0014$ (1.349σ→0.0014$)
min 0.3992$Q₁ 0.4002$med 0.4008$Q₃ 0.4016$max 0.4037$μ
SKEWNESS · G₁0.629right-skewed
−3−10+1+3
EXCESS KURTOSIS · G₂-0.083mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.14
σ × 1.349 ↔ IQRconsistent with normalratio = 1.05
range ↔ σwide tails (range > 4σ)range / σ = 4.28
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=-8.69
μᵣ MEAN / h-0.025434%drift is negative per h · |μ|/σ = 0.093
σᵣ STD / h0.274091%σ²ᵣ = 0.075×10⁻⁴ · CV = 10.78×
σ ANNUALISED25.65%/yrscaled by √8760 (hourly→yearly) · 0.274%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-8.69negative edge
-2-10+1+2+3+4
SORTINO (annualised)-9.54downside 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 · G₁0.54right-skewed · heavy positive tail
-3-10+1+3
EXCESS KURTOSIS · G₂-0.23mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.10
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-222.80%/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 0.39%
VaR₉₅ (h)0.387%5% prob of larger adverse h move
VaR₉₉ (h)0.445%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.428%expected loss given 5% tail event
MAX DRAWDOWN1.12%13h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.387%VaR₉₉−0.445%ES₉₅−0.428%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 13h duration
PEAK40.37$
−1.12% drawdown over 13h
39.92$TROUGH
ES / VaR · TAIL THICKNESSmild tail heaviness|ES₉₅| / |VaR₉₅| = 1.11× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.15× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +1.13% (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)
44.2 · neutral
Bollinger %B
0.358 · within band
Bollinger upper
$0.4022
Bollinger MA
$0.4006
Bollinger lower
$0.3990

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.32 + ADF rejected
ρ(1) AUTOCORR-0.317within white-noise band
ρ(2) AUTOCORR-0.157lag-2 not significant
H · HURST EXPONENT0.855strongly persistent
OLS TREND · t-STAT-2.557significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.855
H = 0.855STRONGLY 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=1-0.317k=2-0.157k=3+0.002k=4+0.031k=5-0.1580+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 @ 5% (|t|=2.56)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.32 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 5% (|t|=2.56)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)
$30.83k
Open interest (USD)
$150.16k
Vol / OI (turnover)
0.21x
1h funding
-0.003055%
Funding (annualised)
-26.77%/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 0.55% · worst -0.46% · typical |Δ| 0.22%MILD BEARISH -0.61%BEST+0.55%08hWORST-0.46%16hTYPICAL |Δ|0.22%mean absoluteCUMULATIVE-0.61%Σ signed ΔSTREAK↘ 3down-runASIA · 00-08 UTCμ -0.04% · Σ -0.28%EUROPE · 08-16 UTCμ +0.05% · Σ +0.39%US · 16-24 UTCμ -0.09% · Σ -0.72%CUMULATIVE Δ PATH · final -0.61%+0.27%-0.86%-0.25% · 13h-0.25% · 13h-0.25%13h-0.01% · 14h-0.01% · 14h-0.01%14h0.53% · 15h0.53% · 15h0.53%15h-0.46% · 16h-0.46% · 16h-0.46%16h▼ WORST-0.24% · 17h-0.24% · 17h-0.24%17h0.03% · 18h0.03% · 18h0.03%18h-0.07% · 19h-0.07% · 19h-0.07%19h0.04% · 20h0.04% · 20h0.04%20h0.28% · 21h0.28% · 21h0.28%21h-0.40% · 22h-0.40% · 22h-0.40%22h0.09% · 23h0.09% · 23h0.09%23h-0.26% · 00h-0.26% · 00h-0.26%00h0.13% · 01h0.13% · 01h0.13%01h-0.10% · 02h-0.10% · 02h-0.10%02h0.17% · 03h0.17% · 03h0.17%03h-0.34% · 04h-0.34% · 04h-0.34%04h0.37% · 05h0.37% · 05h0.37%05h-0.18% · 06h-0.18% · 06h-0.18%06h-0.06% · 07h-0.06% · 07h-0.06%07h0.55% · 08h0.55% · 08h0.55%08h★ BEST0.14% · 09h0.14% · 09h0.14%09h-0.32% · 10h-0.32% · 10h-0.32%10h-0.20% · 11h-0.20% · 11h-0.20%11h-0.04% · 12h-0.04% · 12h-0.04%12hTIME PATTERNEurope-led (+0.39%)RUNSup max 2 · down max 3BREADTH42% up · 58% down
10 up bars · 14 down · best 0.55% · worst -0.46% · typical |Δ| 0.220%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS · SHALLOW DD (-0.62%)FINAL-0.62%MAX DD-1.12%RECOVERYONGOING · 21 barsMAX RUN-UP+0.27%UNDERWATER23/25 (92%)STREAK↘ 3EQUITY CURVE · end 0.9938 · peak 1.0027 · range [0.9914, 1.0027]1.00270.9914break-even = 1★ PEAK 1.0027UNDERWATER DRAWDOWN · max -1.12% · moderate0%-1.12%▼ TROUGH -1.12%TOP DRAWDOWN PERIODS · 2 total#1 -1.12%bar 5-25 · 21 bars · ONGOING#2 -0.26%bar 2-3 · 2 bars · recoveredDD SEVERITYmoderate (max -1.12%)RECOVERYongoing · 21 barsTIME UNDER WATER92% of session · 23/25 bars
final equity 0.9938 (-0.62%) · max DD -1.12% · time-under-water 23/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +5 / −14 (26% positive) · μ=-6.26 · σ=15.75UNPROFITABLE STRATEGYLAST 3.06 (+0.59σ vs μ)25.4212.710.00-12.71-25.42μ = -6.26-18.07-18.07-10.19-10.19-7.57-7.57-25.25-25.25-23.09-23.09-1.22-1.22-19.97-19.97-7.31-7.31-16.47-16.47-25.42-25.42-22.97-22.97-1.99-1.992.552.55-8.88-8.8823.3423.3421.9021.9022.6322.63-4.07-4.073.063.06v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 3.063 · range [-25.42, 23.34] · μ -6.262 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=26.3521 · σ=4.2356 · range [20.0321, 32.1816] · R²=0.022▼ FALLING -11.14%σ EXTREME 16.07%LAST 28.595632.181629.144226.106923.069520.0321μ = 26.3521max 32.1816min 20.0321dataMA(3)OLS R²=0.02μ lineμ ± σ bandmaxmin
latest 28.60% · range [20.03%, 32.18%] · μ 26.35% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +3 / −16 (16% positive) · μ=-0.395 · σ=0.319MEAN-REVERSIONLAST 0.144 (+1.69σ vs μ)0.8310.4160.000-0.416-0.831μ = -0.395-0.270-0.270-0.280-0.280-0.299-0.2990.2730.273-0.350-0.350-0.556-0.556-0.537-0.537-0.600-0.600-0.728-0.728-0.513-0.513-0.663-0.663-0.659-0.659-0.831-0.831-0.791-0.791-0.457-0.457-0.348-0.348-0.182-0.1820.1530.1530.1440.144v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 0.144 · |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
1.2123
p-VALUE (log scale)
0.5455
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
4.2835
p-VALUE (log scale)
0.5110
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
-3.1496
p-VALUE (log scale)
0.0236
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonestationary · mean-reverting (crit ≈ -2.86)
±

Wald-Wolfowitz runs

FAIL TO REJECTns

H₀: Sign sequence of Δ is random

STATISTIC
1.8629
p-VALUE (log scale)
0.0625
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (17 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.4311
p-VALUE (log scale)
0.0637
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
-1.6902
p-VALUE (log scale)
0.0910
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.486 ≈ 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=8.18e-6 · top T=2.00h (23.9%) · top-3 cover 62.8%2 SIGNIFICANT CYCLEScumulative energy ↗ (2 bins above 2× noise)2.4e-51.8e-51.2e-55.9e-60.0e+0μ noise floor2× noise (significance)period 24.0 · power 1.44e-6 · 1.5% energyperiod 24.0 · power 1.44e-6 · 1.5% energyperiod 12.0 · power 2.16e-6 · 2.2% energyperiod 12.0 · power 2.16e-6 · 2.2% energyperiod 8.0 · power 1.70e-6 · 1.7% energyperiod 8.0 · power 1.70e-6 · 1.7% energyperiod 6.0 · power 1.50e-5 · 15.2% energyperiod 6.0 · power 1.50e-5 · 15.2% energyperiod 4.8 · power 1.88e-6 · 1.9% energyperiod 4.8 · power 1.88e-6 · 1.9% energyperiod 4.0 · power 9.57e-7 · 1.0% energyperiod 4.0 · power 9.57e-7 · 1.0% energyperiod 3.4 · power 1.36e-5 · 13.9% energyperiod 3.4 · power 1.36e-5 · 13.9% energyperiod 3.0 · power 2.32e-5 · 23.6% energyperiod 3.0 · power 2.32e-5 · 23.6% energyperiod 2.7 · power 3.58e-6 · 3.7% energyperiod 2.7 · power 3.58e-6 · 3.7% energyperiod 2.4 · power 5.19e-6 · 5.3% energyperiod 2.4 · power 5.19e-6 · 5.3% energyperiod 2.2 · power 5.97e-6 · 6.1% energyperiod 2.2 · power 5.97e-6 · 6.1% energyperiod 2.0 · power 2.35e-5 · 23.9% energyperiod 2.0 · power 2.35e-5 · 23.9% energy50% by T=3.0h#1 dominantT=2.00h#2T=3.00h#3T=6.00hT=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 23.9% of total energy · Σ|X̂|²/n = 9.815e-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)]
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
-18.35×
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 -5.19400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.002
annualized -5.19
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 -289% · APY -95% · Sharpe -7.28σ ann 40% · Sortino -5.34 · n 4999
-873%-689%-505%-321%-137%48%-288.7%APR (simple)-94.8%APY (compound)39.7%Ann. vol σ-727.9%Sharpe (ann)-533.8%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%
0.3820.3900.3970.4050.4120.420t-4999t-4166t-3333t-2500t-1666t-833t-0

Persistence near 1 ⇒ vol clusters strongly (slow mean reversion). Long-run σ is the unconditional target the conditional vol orbits. The ±2σ band reflects time-varying scale, unlike a flat-vol band.

Time-varying volatility band fitted to the price series. Persistence α+β > 0.98 means vol shocks decay slowly — recent moves stay relevant.

§∞ · Provenance & attestation

Upstream
api.hyperliquid.xyz
Snapshot fetched
2026-06-14 12:17:46 UTC
Snapshot age
2.6s
History points
25 hourly closes
Page rendered
2026-06-14 12:17:49 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
5a83a19995d91c7a6f1c6e45bf23ebdf4aed48502215daa5c739be7130e5aac7 · 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

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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
$2.93K
bid $679 · ask $2.25K
Depth within 10bp
$8.29K
bid $4.51K · ask $3.77K
Depth within 50bp
$21.96K
bid $11.23K · ask $10.73K
Mid price
0.400110
(best bid + best ask) / 2
Spread
3.5bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.006
bid-heavy
Imbalance (top-5)
-0.008
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-uma/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.4002082.46bp0.4002902FILLED
BUY$10.00K0.40083218.06bp0.4019509FILLED
BUY$100.00K0.405706139.85bp0.41073020PARTIAL
SELL$1.00K0.3999952.87bp0.3999002FILLED
SELL$10.00K0.39945716.32bp0.3985009FILLED
SELL$100.00K0.394846131.57bp0.39127020PARTIAL

Funding carry

▸ SHORTS PAY · longs receive
Hourly funding
-3.055e-5
-0.00306% / hr
Annualised APR
-26.783%
hourly · 24 · 365.25
Long: days to 1% carry
13.6d
longs receive
Short: days to 1% carry
13.6d
shorts pay
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGRECEIVE26.783%13.6d136.4d
SHORTPAY-26.783%13.6d136.4d

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

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$78.73K

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

Order flow

▸ ASK-LEAN · -0.026 · Hyperliquid candles
Bars (buy / sell)
10 / 14
1 unclassified
Buy weight
$36.54K
real volume
Sell weight
$38.49K
real volume
Net delta
$1.95K
sellers net
Imbalance
-2.60%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
2.6%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 3 found · deepest 0.70% · 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 17:00:00Z1.0h0.403680→0.4008500.701%2
#22026-06-14 00:00:00Z0ms0.402010→0.3997300.567%1
#32026-06-14 11:00:00Z1.0h0.402400→0.4001400.562%2

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
39.66%
σ per bar = 0.000173
Mean return (annualised)
-288.70%
μ per bar = -0.000001
Sharpe (rf=0)
-7.28
annualised; risk-free assumed zero
Max drawdown
0.98%
peak 0.40 → trough 0.40 over 1383 bars

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