HYPERLIQUID · PERPETUAL FUTURES

ZK

ZK-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-zk · fresh · feed 5s old
24h sparkline · 60 pts▼ -4.86%
realized vol (ann.)
61.55%
max drawdown
1.65%
sharpe
-48.05
ulcer index
0.92%
RMS drawdown
pain index
0.82%
mean drawdown
mod. VaR 95%
0.03%
Cornish-Fisher
martin ratio
-3229.84
ret / ulcer
CDaR 95%
1.45%
cond. drawdown
gain/pain
0.92
Σgain / Σ|loss|
sterling
-2044.86
ret / CDaR
omega (θ=0)
0.92
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-4.86%
flow lean
—
carry
longs_pay
10.95%
signalSHORTconfidence 40%suggested side: SELL
  • 24h change -4.86%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 8.8bps — long bias
Same bundle via M2M API: /api/m2m/hl-zk/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH5.1s⏱--:--:-- UTC8NEXT8.0sUP0s--:--HIST0/30
▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·
MARK · live
$0.011
24h Δ · live
-4.86%
24h vol · live
$0.5M
ZK · live 24h price
n=25 · μ=0.0116 · σ=0.0001 · range [0.0114, 0.0118] · R²=0.507▼ FALLING -3.43%σ NORMAL 1.10%LAST 0.01140.01180.01170.01160.01150.0114μ = 0.0116max 0.0118min 0.0114dataMA(5)OLS R²=0.51μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.01
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=40,448,946 · μ=1617957.8 · σ=2942029.9 · CV=1.82BURSTY · concentratedcumulative energy ↗ · 50% by h=1303,512,2767,024,55310,536,82914,049,105μ = 161795814,049,10550%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 14049105 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
5.1s
$mark $
$0.0114
$mid $
$0.0114
◉prev-day close
$0.012
Δ24h Δ %
-4.857%
$24h vol $
$466.94k
◐open interest $
$935.99k
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.0116 · σ=0.0001 · range [0.0114, 0.0118] · R²=0.507▼ FALLING -3.43%σ NORMAL 1.10%LAST 0.01140.01180.01170.01160.01150.0114μ = 0.0116max 0.0118min 0.0114dataMA(5)OLS R²=0.51μ lineμ ± σ bandmaxmin
mark $0.0114 · 24h -4.86% · range $[0.0114, 0.0118]
OHLC candles · hourly
n=25 · up 11 · down 14 (44% up) · range [0.0113, 0.0120] · σ=0.0001 · CV=0.01 · bodyµ=43%BEARISH -4.80%CLOSE 0.0114 vs OPEN 0.0120 (-4.80%)&#9660; CLOSE 0.01140.01200.01180.01170.01150.0113μ close = 0.0116O0.012 H0.012 L0.012 C0.012 (-1.42%)O0.012 H0.012 L0.012 C0.012 (-1.42%)O0.012 H0.012 L0.012 C0.012 (+0.36%)O0.012 H0.012 L0.012 C0.012 (+0.36%)O0.012 H0.012 L0.012 C0.012 (+0.54%)O0.012 H0.012 L0.012 C0.012 (+0.54%)O0.012 H0.012 L0.012 C0.012 (-0.65%)O0.012 H0.012 L0.012 C0.012 (-0.65%)O0.012 H0.012 L0.012 C0.012 (-1.42%)O0.012 H0.012 L0.012 C0.012 (-1.42%)O0.012 H0.012 L0.012 C0.012 (+0.31%)O0.012 H0.012 L0.012 C0.012 (+0.31%)O0.012 H0.012 L0.012 C0.012 (-0.68%)O0.012 H0.012 L0.012 C0.012 (-0.68%)O0.012 H0.012 L0.011 C0.012 (+0.17%)O0.012 H0.012 L0.011 C0.012 (+0.17%)O0.012 H0.012 L0.011 C0.012 (+0.03%)O0.012 H0.012 L0.011 C0.012 (+0.03%)O0.012 H0.012 L0.011 C0.012 (+0.54%)O0.012 H0.012 L0.011 C0.012 (+0.54%)O0.012 H0.012 L0.012 C0.012 (+0.09%)O0.012 H0.012 L0.012 C0.012 (+0.09%)O0.012 H0.012 L0.011 C0.011 (-0.78%)O0.012 H0.012 L0.011 C0.011 (-0.78%)2.1%O0.012 H0.012 L0.012 C0.012 (+2.14%)O0.012 H0.012 L0.012 C0.012 (+2.14%)O0.012 H0.012 L0.012 C0.012 (-1.71%)O0.012 H0.012 L0.012 C0.012 (-1.71%)O0.012 H0.012 L0.012 C0.012 (+0.33%)O0.012 H0.012 L0.012 C0.012 (+0.33%)O0.012 H0.012 L0.012 C0.012 (+0.63%)O0.012 H0.012 L0.012 C0.012 (+0.63%)O0.012 H0.012 L0.012 C0.012 (-0.92%)O0.012 H0.012 L0.012 C0.012 (-0.92%)O0.012 H0.012 L0.012 C0.012 (-0.20%)O0.012 H0.012 L0.012 C0.012 (-0.20%)O0.012 H0.012 L0.012 C0.012 (-0.06%)O0.012 H0.012 L0.012 C0.012 (-0.06%)O0.012 H0.012 L0.011 C0.012 (-0.12%)O0.012 H0.012 L0.011 C0.012 (-0.12%)O0.012 H0.012 L0.012 C0.012 (-0.41%)O0.012 H0.012 L0.012 C0.012 (-0.41%)O0.012 H0.012 L0.011 C0.011 (-0.31%)O0.012 H0.012 L0.011 C0.011 (-0.31%)O0.011 H0.011 L0.011 C0.011 (-1.07%)O0.011 H0.011 L0.011 C0.011 (-1.07%)O0.011 H0.011 L0.011 C0.011 (+0.22%)O0.011 H0.011 L0.011 C0.011 (+0.22%)O0.011 H0.011 L0.011 C0.011 (-0.23%)O0.011 H0.011 L0.011 C0.011 (-0.23%)#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=40,448,946 · μ=1617957.8 · σ=2942029.9 · CV=1.82BURSTY · concentratedcumulative energy &nearr; · 50% by h=1303,512,2767,024,55310,536,82914,049,105μ = 16179581,389,758 · 9.9% peak1,389,758 · 9.9% peak376,055 · 2.7% peak376,055 · 2.7% peak540,939 · 3.9% peak540,939 · 3.9% peak463,382 · 3.3% peak463,382 · 3.3% peak1,585,174 · 11.3% peak1,585,174 · 11.3% peak468,561 · 3.3% peak468,561 · 3.3% peak175,662 · 1.3% peak175,662 · 1.3% peak462,095 · 3.3% peak462,095 · 3.3% peak137,392 · 1.0% peak137,392 · 1.0% peak367,509 · 2.6% peak367,509 · 2.6% peak1,564,016 · 11.1% peak1,564,016 · 11.1% peak513,492 · 3.7% peak513,492 · 3.7% peak14,049,10514,049,105 · 100.0% peak14,049,105 · 100.0% peak3,361,482 · 23.9% peak3,361,482 · 23.9% peak568,380 · 4.0% peak568,380 · 4.0% peak6,860,579 · 48.8% peak6,860,579 · 48.8% peak548,793 · 3.9% peak548,793 · 3.9% peak901,856 · 6.4% peak901,856 · 6.4% peak684,057 · 4.9% peak684,057 · 4.9% peak820,900 · 5.8% peak820,900 · 5.8% peak1,979,347 · 14.1% peak1,979,347 · 14.1% peak437,971 · 3.1% peak437,971 · 3.1% peak959,095 · 6.8% peak959,095 · 6.8% peak1,183,716 · 8.4% peak1,183,716 · 8.4% peak49,630 · 0.4% peak49,630 · 0.4% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 40448946 · peak 14049105 · CV 1.82

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0016 · σ=0.0076 · skew=0.76 (right-skewed) · kurt=2.11 (leptokurtic (fat tails))75420 2-147.62bpbin -147.62bp · n=2 · 28.6% peakbin -147.62bp · n=2 · 28.6% peak 1-113.93bpbin -113.93bp · n=1 · 14.3% peakbin -113.93bp · n=1 · 14.3% peak 4-80.23bpbin -80.23bp · n=4 · 57.1% peakbin -80.23bp · n=4 · 57.1% peak 1-46.53bpbin -46.53bp · n=1 · 14.3% peakbin -46.53bp · n=1 · 14.3% peak 6-12.83bpbin -12.83bp · n=6 · 85.7% peakbin -12.83bp · n=6 · 85.7% peak 720.86bpbin 20.86bp · n=7 · 100.0% peakbin 20.86bp · n=7 · 100.0% peak 254.56bpbin 54.56bp · n=2 · 28.6% peakbin 54.56bp · n=2 · 28.6% peak88.26bp121.96bp155.65bp189.35bp 1223.05bpbin 223.05bp · n=1 · 14.3% peakbin 223.05bp · n=1 · 14.3% 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=0.82 · kurt=2.65 · near 20 / mid 3 / far 1 · OLS slope=0.97 intercept=-0.00LEPTOKURTIC — FAT TAILSUPPER 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
$0.0114
Mid price
$0.0114
24h change
-4.86%
Mark–mid spread
6.14 bps
Prev-day close
$0.012

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25APPROXIMATELY NORMAL · WELL-BEHAVED
μ MEAN0.0116$95% CI: [0.0115$, 0.0116$]
σ STD DEV0.0001$σ² = 0.000×10⁻⁴ · CV = 1.10%
med MEDIAN0.0116$Q₁ 0.0115$ · Q₃ 0.0116$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0005$ · IQR 0.0001$ (1.349σ→0.0002$)
min 0.0114$Q₁ 0.0115$med 0.0116$Q₃ 0.0116$max 0.0118$μ
SKEWNESS · G₁0.443approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-0.564mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.11
σ × 1.349 ↔ IQRdiverges from normalratio = 1.91
range ↔ σconcentrated (range < 4σ)range / σ = 3.68
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=-16.87
μᵣ MEAN / h-0.145357%drift is negative per h · |μ|/σ = 0.180
σᵣ STD / h0.806364%σ²ᵣ = 0.650×10⁻⁴ · CV = 5.55×
σ ANNUALISED75.47%/yrscaled by √8760 (hourly→yearly) · 0.806%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-16.87negative edge
-2-10+1+2+3+4
SORTINO (annualised)-16.59downside 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 · G₁0.88right-skewed · heavy positive tail
-3-10+1+3
EXCESS KURTOSIS · G₂3.59leptokurtic · fat tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.98
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-1273.33%/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 1.46%
VaR₉₅ (h)1.457%5% prob of larger adverse h move
VaR₉₉ (h)1.615%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.581%expected loss given 5% tail event
MAX DRAWDOWN3.95%20h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−1.457%VaR₉₉−1.615%ES₉₅−1.581%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 20h duration
PEAK1.18$
−3.95% drawdown over 20h
1.14$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.08× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.11× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +4.12% (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)
34.7 · neutral
Bollinger %B
0.115 · within band
Bollinger upper
$0.0117
Bollinger MA
$0.0115
Bollinger lower
$0.0114

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.44 + ADF rejected
ρ(1) AUTOCORR-0.436negative · reversal
ρ(2) AUTOCORR+0.040lag-2 not significant
H · HURST EXPONENT0.912strongly persistent
OLS TREND · t-STAT-4.860significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.912
H = 0.912STRONGLY PERSISTENT
0
anti-persistent0.45
mean-reverting0.5
random walk0.55
persistent1
strongly trending
AUTOCORRELATION FUNCTION · ρ(k) for k=1..51 SIGNIFICANT LAG · k=1
k=1 ★-0.436k=2+0.040k=3+0.237k=4-0.279k=5+0.0970+1−1+0.41−0.41+ momentum (ρ > +0.41)− reversal (ρ < −0.41)noise (within band)±2/√n threshold
OLS TREND · t-STAT · [-5, +5]SIGNIFICANT @ 1% (|t|=4.86)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.44 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=4.86)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)
$466.94k
Open interest (USD)
$935.99k
Vol / OI (turnover)
0.50x
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 2.40% · worst -1.64% · typical |Δ| 0.55%MILD BEARISH -3.49%BEST+2.40%00hWORST-1.64%01hTYPICAL |Δ|0.55%mean absoluteCUMULATIVE-3.49%Σ signed ΔSTREAK↗ 2up-runASIA · 00-08 UTCμ +0.06% · Σ +0.45%EUROPE · 08-16 UTCμ -0.21% · Σ -1.66%US · 16-24 UTCμ -0.28% · Σ -2.28%CUMULATIVE Δ PATH · final -3.49%+0.23%-3.80%0.10% · 13h0.10% · 13h0.10%13h0.13% · 14h0.13% · 14h0.13%14h-0.71% · 15h-0.71% · 15h-0.71%15h-1.52% · 16h-1.52% · 16h-1.52%16h0.05% · 17h0.05% · 17h0.05%17h-0.64% · 18h-0.64% · 18h-0.64%18h0.35% · 19h0.35% · 19h0.35%19h-0.17% · 20h-0.17% · 20h-0.17%20h0.55% · 21h0.55% · 21h0.55%21h-0.12% · 22h-0.12% · 22h-0.12%22h-0.78% · 23h-0.78% · 23h-0.78%23h2.40% · 00h2.40% · 00h2.40%00h★ BEST-1.64% · 01h-1.64% · 01h-1.64%01h▼ WORST0.37% · 02h0.37% · 02h0.37%02h0.54% · 03h0.54% · 03h0.54%03h-0.85% · 04h-0.85% · 04h-0.85%04h-0.11% · 05h-0.11% · 05h-0.11%05h0.03% · 06h0.03% · 06h0.03%06h-0.28% · 07h-0.28% · 07h-0.28%07h-0.06% · 08h-0.06% · 08h-0.06%08h-0.31% · 09h-0.31% · 09h-0.31%09h-1.12% · 10h-1.12% · 10h-1.12%10h0.27% · 11h0.27% · 11h0.27%11h0.04% · 12h0.04% · 12h0.04%12hTIME PATTERNAsia-led (+0.45%)RUNSup max 2 · down max 4BREADTH46% up · 54% down
11 up bars · 13 down · best 2.40% · worst -1.64% · typical |Δ| 0.548%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-3.50%)FINAL-3.50%MAX DD-4.03%RECOVERYONGOING · 22 barsMAX RUN-UP+0.23%UNDERWATER22/25 (88%)STREAK↗ 2EQUITY CURVE · end 0.9650 · peak 1.0023 · range [0.9619, 1.0023]1.00230.9619break-even = 1★ PEAK 1.0023UNDERWATER DRAWDOWN · max -4.03% · moderate0%-4.03%▼ TROUGH -4.03%TOP DRAWDOWN PERIODS · 1 total#1 -4.03%bar 4-25 · 22 bars · ONGOINGDD SEVERITYmoderate (max -4.03%)RECOVERYongoing · 22 barsTIME UNDER WATER88% of session · 22/25 bars
final equity 0.9650 (-3.50%) · max DD -4.03% · time-under-water 22/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +7 / −12 (37% positive) · μ=-25.15 · σ=31.88MIXED EDGELAST -47.17 (-0.69σ vs μ)78.6639.330.00-39.33-78.66μ = -25.15-61.89-61.89-52.33-52.33-62.10-62.10-28.47-28.470.640.64-24.19-24.1931.6631.662.652.658.838.838.698.690.380.387.937.93-31.57-31.57-9.53-9.53-25.35-25.35-78.66-78.66-69.39-69.39-47.96-47.96-47.17-47.17v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -47.171 · range [-78.66, 31.66] · μ -25.149 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=74.9076 · σ=37.4343 · range [29.4614, 133.8274] · R²=0.043▼ FALLING -26.37%σ EXTREME 49.97%LAST 44.9808133.8274107.735981.644455.552929.4614μ = 74.9076max 133.8274min 29.4614dataMA(3)OLS R²=0.04μ lineμ ± σ bandmaxmin
latest 44.98% · range [29.46%, 133.83%] · μ 74.91% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +1 / −18 (5% positive) · μ=-0.337 · σ=0.228MEAN-REVERSIONLAST -0.226 (+0.48σ vs μ)0.6790.3390.000-0.339-0.679μ = -0.337-0.085-0.085-0.245-0.245-0.129-0.129-0.224-0.224-0.541-0.541-0.208-0.208-0.324-0.324-0.634-0.634-0.679-0.679-0.658-0.658-0.655-0.655-0.476-0.476-0.255-0.255-0.160-0.160-0.511-0.511-0.123-0.1230.1000.100-0.367-0.367-0.226-0.226v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.226 · |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
2 of 6 REJECT · mixed evidence2 reject·4 pass·α = 0.05
𝒩

Jarque-Bera

REJECT H₀***

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
15.9938
p-VALUE (log scale)
0.0003
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-normal · fat tails or skew present
ρ

Ljung-Box(h=5)

FAIL TO REJECTns

H₀: No serial autocorrelation up to lag 5

STATISTIC
9.6129
p-VALUE (log scale)
0.0860
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
-2.0926
p-VALUE (log scale)
0.2573
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
0.8760
p-VALUE (log scale)
0.3810
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (15 runs)
χ

KPSS (μ stationarity)

REJECT H₀*

H₀: p IS level-stationary

STATISTIC
0.5546
p-VALUE (log scale)
0.0294
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-stationary (crit 0.463)
χ

Variance ratio q=3

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-1.7505
p-VALUE (log scale)
0.0800
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.467 ≈ 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=6.23e-5 · top T=3.00h (21.3%) · top-3 cover 59.3%BROADBAND · 3 CYCLEScumulative energy ↗ (3 bins above 2× noise)1.6e-41.2e-48.0e-54.0e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 2.90e-5 · 3.9% energyperiod 24.0 · power 2.90e-5 · 3.9% energyperiod 12.0 · power 2.77e-5 · 3.7% energyperiod 12.0 · power 2.77e-5 · 3.7% energyperiod 8.0 · power 2.15e-5 · 2.9% energyperiod 8.0 · power 2.15e-5 · 2.9% energyperiod 6.0 · power 5.17e-5 · 6.9% energyperiod 6.0 · power 5.17e-5 · 6.9% energyperiod 4.8 · power 9.99e-6 · 1.3% energyperiod 4.8 · power 9.99e-6 · 1.3% energyperiod 4.0 · power 8.35e-6 · 1.1% energyperiod 4.0 · power 8.35e-6 · 1.1% energyperiod 3.4 · power 4.87e-5 · 6.5% energyperiod 3.4 · power 4.87e-5 · 6.5% energyperiod 3.0 · power 1.59e-4 · 21.3% energyperiod 3.0 · power 1.59e-4 · 21.3% energyperiod 2.7 · power 1.44e-4 · 19.2% energyperiod 2.7 · power 1.44e-4 · 19.2% energyperiod 2.4 · power 1.41e-4 · 18.8% energyperiod 2.4 · power 1.41e-4 · 18.8% energyperiod 2.2 · power 1.07e-4 · 14.3% energyperiod 2.2 · power 1.07e-4 · 14.3% energyperiod 2.0 · power 8.64e-7 · 0.1% energyperiod 2.0 · power 8.64e-7 · 0.1% energy50% by T=2.7h#1 dominantT=3.00h#2T=2.67h#3T=2.40hT=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 21.3% of total energy · Σ|X̂|²/n = 7.482e-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 0.03%
μ per barmean
-0.000%
σ per barvol
0.03%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-42.67×
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 -37.39400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.016
annualized -37.39
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.00%
per-bar worst-case
CVaR 95%ES
0.01%
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 -32.65σ ann 77% · Sortino -21.27 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-3918%-3116%-2314%-1512%-710%92%-1000.0%APR (simple)-100.0%APY (compound)76.5%Ann. vol σ-3265.0%Sharpe (ann)-2126.6%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%
0.0110.0110.0110.0120.0120.012t-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 12:19:52 UTC
Snapshot age
5.1s
History points
25 hourly closes
Page rendered
2026-06-14 12:19:57 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
dae283d79768ce223579a93a53cb3f73cce8a7217a22548a4b1fcb992e638fc9 · 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
$1.21K
bid $865 · ask $342
Depth within 10bp
$5.64K
bid $4.91K · ask $731
Depth within 50bp
$44.55K
bid $24.06K · ask $20.49K
Mid price
0.011395
(best bid + best ask) / 2
Spread
7.9bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.020
bid-heavy
Imbalance (top-5)
+0.125
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-zk/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0114048.59bp0.0114103FILLED
BUY$10.00K0.01141517.81bp0.0114249FILLED
BUY$100.00K0.01142930.23bp0.01146120PARTIAL
SELL$1.00K0.0113904.31bp0.0113872FILLED
SELL$10.00K0.01138310.34bp0.0113749FILLED
SELL$100.00K0.01137021.19bp0.01134920PARTIAL

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-zk/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$40.45M

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

Order flow

▸ BID-LEAN · +0.311 · Hyperliquid candles
Bars (buy / sell)
11 / 13
1 unclassified
Buy weight
$25.61M
real volume
Sell weight
$13.45M
real volume
Net delta
$12.16M
buyers net
Imbalance
31.14%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
31.1%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 4 found · deepest 2.78% · 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 15:00:00Z3.0h0.011840→0.0115112.779%4
#22026-06-14 09:00:00Z3.0h0.011575→0.0113721.754%4
#32026-06-14 01:00:00Z5.0h0.011770→0.0115721.682%6

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
76.51%
σ per bar = 0.000334
Mean return (annualised)
-2498.06%
μ per bar = -0.000005
Sharpe (rf=0)
-32.65
annualised; risk-free assumed zero
Max drawdown
3.32%
peak 0.01 → trough 0.01 over 3666 bars

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