HYPERLIQUID · PERPETUAL FUTURES

2Z

2Z-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-2z · fresh · feed 3s old
24h sparkline · 60 pts▼ -0.80%
realized vol (ann.)
40.30%
max drawdown
1.34%
sharpe
-45.32
ulcer index
0.51%
RMS drawdown
pain index
0.42%
mean drawdown
mod. VaR 95%
0.02%
Cornish-Fisher
martin ratio
-3577.71
ret / ulcer
CDaR 95%
1.20%
cond. drawdown
gain/pain
0.91
Σgain / Σ|loss|
sterling
-1524.11
ret / CDaR
omega (θ=0)
0.91
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-0.80%
flow lean
—
carry
shorts_pay
-54.89%
signalNEUTRALconfidence 41%
  • funding: shorts pay — perp longs get paid to wait
  • mark cheap vs HL oracle by 24.7bps — long bias
Same bundle via M2M API: /api/m2m/hl-2z/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH2.8s⏱--:--:-- 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
$0.070
24h Δ · live
-0.80%
24h vol · live
$0.3M
2Z · live 24h price
n=24 · μ=0.0706 · σ=0.0006 · range [0.0696, 0.0723] · R²=0.553▼ FALLING -1.57%σ LOW 0.86%LAST 0.06960.07230.07160.07100.07030.0696μ = 0.0706max 0.0723min 0.0696dataMA(4)OLS R²=0.55μ lineμ ± σ bandmaxminlive endpoint
24 closes · last $0.07
Funding direction · live
Long fee 49.6%Short fee 50.4%SHORT FEE50.4%
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
49.6%▬ +0.00pp
Short fee
50.4%▬ +0.00pp
1h funding -0.006266% · shorts pay
Hourly contract volume · live
n=24 · Σ=4,703,384 · μ=195974.3 · σ=370898.8 · CV=1.89BURSTY · concentratedcumulative energy ↗ · 50% by h=60449,321898,6421,347,9631,797,284μ = 1959741,797,28450%h1h5h9h13h17h21#1 peak#2-3> μactivequietμ linecum energy
peak 1797284 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
2.8s
$mark $
$0.0696
$mid $
$0.0696
◉prev-day close
$0.0701
Δ24h Δ %
-0.801%
$24h vol $
$331.90k
◐open interest $
$768.87k
%funding (1h)
-0.006266%
%funding (yr)
-54.89%/yr

§1 · 24h time-series

Close price · hourly
n=24 · μ=0.0706 · σ=0.0006 · range [0.0696, 0.0723] · R²=0.553▼ FALLING -1.57%σ LOW 0.86%LAST 0.06960.07230.07160.07100.07030.0696μ = 0.0706max 0.0723min 0.0696dataMA(4)OLS R²=0.55μ lineμ ± σ bandmaxmin
mark $0.0696 · 24h -0.80% · range $[0.0696, 0.0723]
OHLC candles · hourly
n=24 · up 10 · down 14 (42% up) · range [0.0693, 0.0731] · σ=0.0006 · CV=0.01 · bodyµ=43%BEARISH -0.77%CLOSE 0.0696 vs OPEN 0.0701 (-0.77%)&#9660; CLOSE 0.06960.07310.07220.07120.07020.0693μ close = 0.0706O0.070 H0.073 L0.070 C0.071 (+0.82%)O0.070 H0.073 L0.070 C0.071 (+0.82%)2.4%O0.071 H0.072 L0.071 C0.072 (+2.36%)O0.071 H0.072 L0.071 C0.072 (+2.36%)O0.072 H0.072 L0.071 C0.071 (-1.28%)O0.072 H0.072 L0.071 C0.071 (-1.28%)O0.071 H0.072 L0.071 C0.071 (-0.12%)O0.071 H0.072 L0.071 C0.071 (-0.12%)O0.071 H0.072 L0.071 C0.072 (+0.83%)O0.071 H0.072 L0.071 C0.072 (+0.83%)O0.072 H0.072 L0.071 C0.071 (-0.98%)O0.072 H0.072 L0.071 C0.071 (-0.98%)O0.071 H0.071 L0.071 C0.071 (-0.21%)O0.071 H0.071 L0.071 C0.071 (-0.21%)O0.071 H0.071 L0.070 C0.070 (-0.55%)O0.071 H0.071 L0.070 C0.070 (-0.55%)O0.071 H0.071 L0.070 C0.071 (-0.01%)O0.071 H0.071 L0.070 C0.071 (-0.01%)O0.071 H0.071 L0.070 C0.070 (-0.19%)O0.071 H0.071 L0.070 C0.070 (-0.19%)O0.070 H0.071 L0.070 C0.071 (+0.44%)O0.070 H0.071 L0.070 C0.071 (+0.44%)O0.071 H0.073 L0.071 C0.071 (+0.38%)O0.071 H0.073 L0.071 C0.071 (+0.38%)O0.071 H0.071 L0.071 C0.071 (+0.19%)O0.071 H0.071 L0.071 C0.071 (+0.19%)O0.071 H0.071 L0.070 C0.070 (-0.71%)O0.071 H0.071 L0.070 C0.070 (-0.71%)O0.070 H0.071 L0.070 C0.070 (-0.15%)O0.070 H0.071 L0.070 C0.070 (-0.15%)O0.070 H0.071 L0.070 C0.070 (-0.16%)O0.070 H0.071 L0.070 C0.070 (-0.16%)O0.070 H0.071 L0.070 C0.070 (+0.15%)O0.070 H0.071 L0.070 C0.070 (+0.15%)O0.070 H0.070 L0.070 C0.070 (-0.69%)O0.070 H0.070 L0.070 C0.070 (-0.69%)O0.070 H0.071 L0.069 C0.071 (+1.96%)O0.070 H0.071 L0.069 C0.071 (+1.96%)O0.071 H0.071 L0.070 C0.070 (-1.24%)O0.071 H0.071 L0.070 C0.070 (-1.24%)O0.070 H0.071 L0.070 C0.070 (+0.16%)O0.070 H0.071 L0.070 C0.070 (+0.16%)O0.070 H0.070 L0.070 C0.070 (+0.30%)O0.070 H0.070 L0.070 C0.070 (+0.30%)O0.070 H0.070 L0.070 C0.070 (-0.10%)O0.070 H0.070 L0.070 C0.070 (-0.10%)O0.070 H0.070 L0.070 C0.070 (-0.81%)O0.070 H0.070 L0.070 C0.070 (-0.81%)#1#5#9#13#17#21up bar (C≥O)down bar (C<O)MA(4) closeμ closedoji (~no body)biggest body
24 bars
Hourly volume (base units)
n=24 · Σ=4,703,384 · μ=195974.3 · σ=370898.8 · CV=1.89BURSTY · concentratedcumulative energy &nearr; · 50% by h=60449,321898,6421,347,9631,797,284μ = 1959741,797,2841,797,284 · 100.0% peak1,797,284 · 100.0% peak199,691 · 11.1% peak199,691 · 11.1% peak124,865 · 6.9% peak124,865 · 6.9% peak85,645 · 4.8% peak85,645 · 4.8% peak59,111 · 3.3% peak59,111 · 3.3% peak92,046 · 5.1% peak92,046 · 5.1% peak30,882 · 1.7% peak30,882 · 1.7% peak87,090 · 4.8% peak87,090 · 4.8% peak29,792 · 1.7% peak29,792 · 1.7% peak70,580 · 3.9% peak70,580 · 3.9% peak47,113 · 2.6% peak47,113 · 2.6% peak457,262 · 25.4% peak457,262 · 25.4% peak41,427 · 2.3% peak41,427 · 2.3% peak312,416 · 17.4% peak312,416 · 17.4% peak46,954 · 2.6% peak46,954 · 2.6% peak40,299 · 2.2% peak40,299 · 2.2% peak24,965 · 1.4% peak24,965 · 1.4% peak43,785 · 2.4% peak43,785 · 2.4% peak621,110 · 34.6% peak621,110 · 34.6% peak107,983 · 6.0% peak107,983 · 6.0% peak196,745 · 10.9% peak196,745 · 10.9% peak53,032 · 3.0% peak53,032 · 3.0% peak39,178 · 2.2% peak39,178 · 2.2% peak94,129 · 5.2% peak94,129 · 5.2% peak50%#1#5#9#13#17#21#1 peak#2-3> μactivequietμ linecum energy
Σ vol 4703384 · peak 1797284 · CV 1.89

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=23 · 12 bins · μ=-0.0007 · σ=0.0084 · skew=0.73 (right-skewed) · kurt=0.82 (mesokurtic)65320 2-144.80bpbin -144.80bp · n=2 · 33.3% peakbin -144.80bp · n=2 · 33.3% peak 1-112.42bpbin -112.42bp · n=1 · 16.7% peakbin -112.42bp · n=1 · 16.7% peak 3-80.05bpbin -80.05bp · n=3 · 50.0% peakbin -80.05bp · n=3 · 50.0% peak 1-47.67bpbin -47.67bp · n=1 · 16.7% peakbin -47.67bp · n=1 · 16.7% peak 6-15.29bpbin -15.29bp · n=6 · 100.0% peakbin -15.29bp · n=6 · 100.0% peak 617.08bpbin 17.08bp · n=6 · 100.0% peakbin 17.08bp · n=6 · 100.0% peak 149.46bpbin 49.46bp · n=1 · 16.7% peakbin 49.46bp · n=1 · 16.7% peak 181.84bpbin 81.84bp · n=1 · 16.7% peakbin 81.84bp · n=1 · 16.7% peak114.21bp146.59bp 1178.97bpbin 178.97bp · n=1 · 16.7% peakbin 178.97bp · n=1 · 16.7% peak 1211.34bpbin 211.34bp · n=1 · 16.7% peakbin 211.34bp · n=1 · 16.7% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=23 · positive 10 · negative 13
Q-Q plot · standardised rₜ vs N(0,1)
n=23 · skew=0.86 · kurt=1.12 · near 17 / mid 6 / far 0 · OLS slope=0.98 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
$0.0696
Mid price
$0.0696
24h change
-0.80%
Mark–mid spread
3.74 bps
Prev-day close
$0.0701

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=24RIGHT-SKEWED (G₁=0.74)
μ MEAN0.0706$95% CI: [0.0704$, 0.0709$]
σ STD DEV0.0006$σ² = 0.004×10⁻⁴ · CV = 0.86%
med MEDIAN0.0705$Q₁ 0.0702$ · Q₃ 0.0710$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0027$ · IQR 0.0008$ (1.349σ→0.0008$)
min 0.0696$Q₁ 0.0702$med 0.0705$Q₃ 0.0710$max 0.0723$μ
SKEWNESS · G₁0.743right-skewed
−3−10+1+3
EXCESS KURTOSIS · G₂0.622mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.19
σ × 1.349 ↔ IQRconsistent with normalratio = 1.09
range ↔ σwide tails (range > 4σ)range / σ = 4.50
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=-7.26
μᵣ MEAN / h-0.068869%drift is negative per h · |μ|/σ = 0.078
σᵣ STD / h0.887781%σ²ᵣ = 0.788×10⁻⁴ · CV = 12.89×
σ ANNUALISED83.09%/yrscaled by √8760 (hourly→yearly) · 0.888%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-7.26negative edge
-2-10+1+2+3+4
SORTINO (annualised)-8.32downside 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 · G₁0.92right-skewed · heavy positive tail
-3-10+1+3
EXCESS KURTOSIS · G₂1.72leptokurtic · fat tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.15
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-603.30%/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 1.29%
VaR₉₅ (h)1.290%5% prob of larger adverse h move
VaR₉₉ (h)1.545%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.463%expected loss given 5% tail event
MAX DRAWDOWN3.79%22h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−1.290%VaR₉₉−1.545%ES₉₅−1.463%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 22h duration
PEAK7.23$
−3.79% drawdown over 22h
6.96$TROUGH
ES / VaR · TAIL THICKNESSmild tail heaviness|ES₉₅| / |VaR₉₅| = 1.13× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.20× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +3.93% (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)
42.6 · neutral
Bollinger %B
0.042 · within band
Bollinger upper
$0.0715
Bollinger MA
$0.0705
Bollinger lower
$0.0695

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.48 + ADF rejected
ρ(1) AUTOCORR-0.479negative · reversal
ρ(2) AUTOCORR+0.002lag-2 not significant
H · HURST EXPONENT0.784strongly persistent
OLS TREND · t-STAT-5.215significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.784
H = 0.784STRONGLY 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 ★-0.479k=2+0.002k=3+0.125k=4-0.043k=5-0.1850+1−1+0.42−0.42+ momentum (ρ > +0.42)− reversal (ρ < −0.42)noise (within band)±2/√n threshold
OLS TREND · t-STAT · [-5, +5]SIGNIFICANT @ 1% (|t|=5.21)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.48 + 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|=5.21)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)
$331.90k
Open interest (USD)
$768.87k
Vol / OI (turnover)
0.43x
1h funding
-0.006266%
Funding (annualised)
-54.89%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
-8.738× leverage · optimal log-utility leverage
Half-Kelly
-4.369× · industry-standard conservative
Quarter-Kelly
-2.185×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=23 bars · best 2.28% · worst -1.61% · typical |Δ| 0.61%MILD BEARISH -1.58%BEST+2.28%12hWORST-1.61%13hTYPICAL |Δ|0.61%mean absoluteCUMULATIVE-1.58%Σ signed ΔSTREAK↘ 2down-runASIA · 00-08 UTCμ -0.15% · Σ -1.20%EUROPE · 08-16 UTCμ +0.10% · Σ +0.67%US · 16-24 UTCμ -0.13% · Σ -1.05%CUMULATIVE Δ PATH · final -1.58%+2.28%-1.58%2.28% · 12h2.28% · 12h2.28%12h★ BEST-1.61% · 13h-1.61% · 13h-1.61%13h▼ WORST-0.06% · 14h-0.06% · 14h-0.06%14h0.88% · 15h0.88% · 15h0.88%15h-1.06% · 16h-1.06% · 16h-1.06%16h-0.16% · 17h-0.16% · 17h-0.16%17h-0.54% · 18h-0.54% · 18h-0.54%18h0.08% · 19h0.08% · 19h0.08%19h-0.23% · 20h-0.23% · 20h-0.23%20h0.51% · 21h0.51% · 21h0.51%21h0.29% · 22h0.29% · 22h0.29%22h0.06% · 23h0.06% · 23h0.06%23h-0.77% · 00h-0.77% · 00h-0.77%00h-0.15% · 01h-0.15% · 01h-0.15%01h-0.21% · 02h-0.21% · 02h-0.21%02h0.09% · 03h0.09% · 03h0.09%03h-0.76% · 04h-0.76% · 04h-0.76%04h1.82% · 05h1.82% · 05h1.82%05h-1.32% · 06h-1.32% · 06h-1.32%06h0.09% · 07h0.09% · 07h0.09%07h0.14% · 08h0.14% · 08h0.14%08h-0.10% · 09h-0.10% · 09h-0.10%09h-0.86% · 10h-0.86% · 10h-0.86%10hTIME PATTERNEurope-led (+0.67%)RUNSup max 3 · down max 3BREADTH43% up · 57% down
10 up bars · 13 down · best 2.28% · worst -1.61% · typical |Δ| 0.611%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=24 barsLOSS WITH MODERATE DD (-1.66%)FINAL-1.66%MAX DD-3.84%RECOVERYONGOING · 22 barsMAX RUN-UP+2.28%UNDERWATER22/24 (92%)STREAK↘ 2EQUITY CURVE · end 0.9834 · peak 1.0228 · range [0.9834, 1.0228]1.02280.9834break-even = 1★ PEAK 1.0228UNDERWATER DRAWDOWN · max -3.84% · moderate0%-3.84%▼ TROUGH -3.84%TOP DRAWDOWN PERIODS · 1 total#1 -3.84%bar 3-24 · 22 bars · ONGOINGDD SEVERITYmoderate (max -3.84%)RECOVERYongoing · 22 barsTIME UNDER WATER92% of session · 22/24 bars
final equity 0.9834 (-1.66%) · max DD -3.84% · time-under-water 22/24 bars

§13 · Rolling-window statistics (w = 5 bars)

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +5 / −14 (26% positive) · μ=-18.34 · σ=34.19UNPROFITABLE STRATEGYLAST -59.14 (-1.19σ vs μ)86.9443.470.00-43.47-86.94μ = -18.345.045.04-39.24-39.24-24.75-24.75-20.63-20.63-80.84-80.84-15.77-15.775.235.2348.3648.36-5.50-5.50-2.60-2.60-37.37-37.37-52.96-52.96-86.94-86.9415.2715.27-5.81-5.81-1.12-1.12-0.29-0.2910.6710.67-59.14-59.14v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -59.144 · range [-86.94, 48.36] · μ -18.336 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=68.4350 · σ=35.3873 · range [25.7063, 145.2495] · R²=0.019▼ FALLING -58.37%σ EXTREME 51.71%LAST 60.4669145.2495115.363785.477955.592125.7063μ = 68.4350max 145.2495min 25.7063dataMA(3)OLS R²=0.02μ lineμ ± σ bandmaxmin
latest 60.47% · range [25.71%, 145.25%] · μ 68.44% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +2 / −17 (11% positive) · μ=-0.307 · σ=0.250MEAN-REVERSIONLAST -0.086 (+0.88σ vs μ)0.7030.3510.000-0.351-0.703μ = -0.307-0.466-0.466-0.264-0.264-0.410-0.410-0.491-0.491-0.240-0.240-0.232-0.232-0.060-0.060-0.241-0.2410.0260.0260.2340.234-0.070-0.070-0.372-0.372-0.280-0.280-0.344-0.344-0.670-0.670-0.703-0.703-0.686-0.686-0.478-0.478-0.086-0.086v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.086 · |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
3 of 6 REJECT · mixed evidence3 reject·3 pass·α = 0.05
𝒩

Jarque-Bera

REJECT H₀*

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
6.0648
p-VALUE (log scale)
0.0482
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
7.5955
p-VALUE (log scale)
0.1787
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
-2.4634
p-VALUE (log scale)
0.1314
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
0.7369
p-VALUE (log scale)
0.4612
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
0.7386
p-VALUE (log scale)
0.0100
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-stationary (crit 0.463)
χ

Variance ratio q=2

REJECT H₀**

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-3.0817
p-VALUE (log scale)
0.0021
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zoneVR 0.357 → mean-reverting
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=11 bins · noise floor μ=7.88e-5 · top T=2.88h (29.4%) · top-3 cover 75.5%BROADBAND · 3 CYCLEScumulative energy ↗ (3 bins above 2× noise)2.6e-41.9e-41.3e-46.4e-50.0e+0μ noise floor2× noise (significance)period 23.0 · power 1.98e-6 · 0.2% energyperiod 23.0 · power 1.98e-6 · 0.2% energyperiod 11.5 · power 9.01e-6 · 1.0% energyperiod 11.5 · power 9.01e-6 · 1.0% energyperiod 7.7 · power 3.97e-5 · 4.6% energyperiod 7.7 · power 3.97e-5 · 4.6% energyperiod 5.8 · power 1.22e-5 · 1.4% energyperiod 5.8 · power 1.22e-5 · 1.4% energyperiod 4.6 · power 7.52e-6 · 0.9% energyperiod 4.6 · power 7.52e-6 · 0.9% energyperiod 3.8 · power 3.97e-6 · 0.5% energyperiod 3.8 · power 3.97e-6 · 0.5% energyperiod 3.3 · power 1.64e-4 · 19.0% energyperiod 3.3 · power 1.64e-4 · 19.0% energyperiod 2.9 · power 2.55e-4 · 29.4% energyperiod 2.9 · power 2.55e-4 · 29.4% energyperiod 2.6 · power 7.14e-5 · 8.2% energyperiod 2.6 · power 7.14e-5 · 8.2% energyperiod 2.3 · power 6.67e-5 · 7.7% energyperiod 2.3 · power 6.67e-5 · 7.7% energyperiod 2.1 · power 2.35e-4 · 27.1% energyperiod 2.1 · power 2.35e-4 · 27.1% energy50% by T=2.9h#1 dominantT=2.88h#2T=2.09h#3T=3.29hT=3hT=4hT=6hT=8hT=12hT=16h← 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 ≈ 2.88h (freq 0.348) · concentrates 29.4% of total energy · Σ|X̂|²/n = 8.670e-4

▸ Depth section using sovereign-store price series (5000 bars · effective 5258724 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
-18.62×
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 -11.98400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.005
annualized -11.98
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 -14.48σ ann 78% · Sortino -13.68 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-1738%-1372%-1005%-639%-273%93%-1000.0%APR (simple)-100.0%APY (compound)77.8%Ann. vol σ-1448.3%Sharpe (ann)-1367.8%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%
0.0670.0680.0700.0710.0730.074t-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 11:00:50 UTC
Snapshot age
2.8s
History points
24 hourly closes
Page rendered
2026-06-14 11:00:54 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
7d72f38a5a3040188314cfafa8a67cdbec5fd48b81a38b710f50eb0c0f6ffb91 · 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
$1.31K
bid $653 · ask $659
Depth within 10bp
$5.75K
bid $3.78K · ask $1.97K
Depth within 50bp
$28.38K
bid $15.50K · ask $12.87K
Mid price
0.069597
(best bid + best ask) / 2
Spread
5.3bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.033
bid-heavy
Imbalance (top-5)
+0.205
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-2z/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.0696264.24bp0.0696443FILLED
BUY$10.00K0.06973820.32bp0.06987612FILLED
BUY$100.00K0.06983634.47bp0.07005820PARTIAL
SELL$1.00K0.0695713.61bp0.0695592FILLED
SELL$10.00K0.06950812.76bp0.06942211FILLED
SELL$100.00K0.06941026.73bp0.06922320PARTIAL

Funding carry

▸ SHORTS PAY · longs receive
Hourly funding
-6.266e-5
-0.00627% / hr
Annualised APR
-54.926%
hourly · 24 · 365.25
Long: days to 1% carry
6.6d
longs receive
Short: days to 1% carry
6.6d
shorts pay
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGRECEIVE54.926%6.6d66.5d
SHORTPAY-54.926%6.6d66.5d

/api/asset/hl-2z/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 24 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★24$4.70M

★ POC = Point of Control (highest-volume bin). Live JSON: /api/asset/hl-2z/volprofile?priceStep=1

Order flow

▸ BID-LEAN · +0.191 · Hyperliquid candles
Bars (buy / sell)
10 / 13
1 unclassified
Buy weight
$1.73M
real volume
Sell weight
$1.18M
real volume
Net delta
$554.40K
buyers net
Imbalance
19.08%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
19.1%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

Sparkline = cumulative delta over the 24-record window./api/asset/hl-2z/flow?rollingWindow=30

Cascade clusters

▸ DOWN · 5 found · deepest 2.66% · 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 13:00:00Z7.0h0.072323→0.0703992.660%8
#22026-06-14 06:00:00Z2.0h0.071020→0.0700921.307%3
#32026-06-14 00:00:00Z2.0h0.071002→0.0702031.125%3

/api/asset/hl-2z/cascades?windowMs=10800000&minDrawdownPct=0.005 · full list + parameters in JSON

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
77.79%
σ per bar = 0.000339
Mean return (annualised)
-1126.64%
μ per bar = -0.000002
Sharpe (rf=0)
-14.48
annualised; risk-free assumed zero
Max drawdown
2.37%
peak 0.07 → trough 0.07 over 3005 bars

/api/asset/hl-2z/risk · same metrics, JSON