HYPERLIQUID · PERPETUAL FUTURES

JTO

JTO-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-jto · fresh · feed 2s old
24h sparkline · 60 pts▼ -1.80%
realized vol (ann.)
89.40%
max drawdown
3.06%
sharpe
-69.16
ulcer index
0.81%
RMS drawdown
pain index
0.65%
mean drawdown
mod. VaR 95%
0.02%
Cornish-Fisher
martin ratio
-7607.37
ret / ulcer
CDaR 95%
2.11%
cond. drawdown
gain/pain
0.89
Σgain / Σ|loss|
sterling
-2930.36
ret / CDaR
omega (θ=0)
0.89
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-1.80%
flow lean
—
carry
shorts_pay
-20.31%
signalNEUTRALconfidence 34%
  • 24h change -1.80%
  • funding: shorts pay — perp longs get paid to wait
  • mark cheap vs HL oracle by 13.8bps — long bias
Same bundle via M2M API: /api/m2m/hl-jto/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH2.0s⏱--:--:-- UTC8NEXT8.0sUP0s--:--HIST0/30
▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·▶ STREAMING·HYPERLIQUID·POLYMARKET·0 POLLS·SRC FRESH·UPTIME 0s·NEXT POLL 8.0s·CC0 OPEN DATA·HYPO.MARKETS·
MARK · live
$0.535
24h Δ · live
-1.80%
24h vol · live
$1.5M
JTO · live 24h price
n=25 · μ=0.5441 · σ=0.0051 · range [0.5343, 0.5515] · R²=0.033▼ FALLING -2.18%σ LOW 0.93%LAST 0.53560.55150.54720.54290.53860.5343μ = 0.5441max 0.5515min 0.5343dataMA(5)OLS R²=0.03μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.54
Funding direction · live
Long fee 48.9%Short fee 51.1%SHORT FEE51.1%
Σ = 0.0%
Σ-sides total = 0.00% (100.00pp arb gap)
H(p) entropy = 1.000 / 1.00 bits (100%) · max uncertainty (~50/50)
Long fee
48.9%▬ +0.00pp
Short fee
51.1%▬ +0.00pp
1h funding -0.002318% · shorts pay
Hourly contract volume · live
n=25 · Σ=2,699,107 · μ=107964.3 · σ=103366.2 · CV=0.96BURSTYcumulative energy ↗ · 50% by h=10099,053198,106297,158396,211μ = 107964396,21150%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 396211 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
2.0s
$mark $
$0.5353
$mid $
$0.5355
◉prev-day close
$0.5451
Δ24h Δ %
-1.798%
$24h vol $
$1.47M
◐open interest $
$3.03M
%funding (1h)
-0.002318%
%funding (yr)
-20.31%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.5441 · σ=0.0051 · range [0.5343, 0.5515] · R²=0.033▼ FALLING -2.18%σ LOW 0.93%LAST 0.53560.55150.54720.54290.53860.5343μ = 0.5441max 0.5515min 0.5343dataMA(5)OLS R²=0.03μ lineμ ± σ bandmaxmin
mark $0.5353 · 24h -1.80% · range $[0.5343, 0.5515]
OHLC candles · hourly
n=25 · up 14 · down 11 (56% up) · range [0.5327, 0.5550] · σ=0.0051 · CV=0.01 · bodyµ=51%BEARISH -1.73%CLOSE 0.5356 vs OPEN 0.5451 (-1.73%)&#9660; CLOSE 0.53560.55500.54940.54380.53830.5327μ close = 0.5441O0.545 H0.550 L0.543 C0.548 (+0.47%)O0.545 H0.550 L0.543 C0.548 (+0.47%)O0.547 H0.550 L0.544 C0.549 (+0.31%)O0.547 H0.550 L0.544 C0.549 (+0.31%)O0.548 H0.551 L0.548 C0.549 (+0.16%)O0.548 H0.551 L0.548 C0.549 (+0.16%)O0.549 H0.551 L0.545 C0.550 (+0.09%)O0.549 H0.551 L0.545 C0.550 (+0.09%)O0.549 H0.554 L0.549 C0.551 (+0.36%)O0.549 H0.554 L0.549 C0.551 (+0.36%)O0.551 H0.555 L0.540 C0.541 (-1.82%)O0.551 H0.555 L0.540 C0.541 (-1.82%)O0.541 H0.541 L0.533 C0.534 (-1.32%)O0.541 H0.541 L0.533 C0.534 (-1.32%)O0.534 H0.540 L0.534 C0.538 (+0.72%)O0.534 H0.540 L0.534 C0.538 (+0.72%)O0.538 H0.543 L0.538 C0.540 (+0.48%)O0.538 H0.543 L0.538 C0.540 (+0.48%)O0.542 H0.543 L0.537 C0.539 (-0.54%)O0.542 H0.543 L0.537 C0.539 (-0.54%)O0.539 H0.552 L0.536 C0.548 (+1.72%)O0.539 H0.552 L0.536 C0.548 (+1.72%)O0.548 H0.550 L0.544 C0.544 (-0.71%)O0.548 H0.550 L0.544 C0.544 (-0.71%)O0.543 H0.548 L0.543 C0.544 (+0.21%)O0.543 H0.548 L0.543 C0.544 (+0.21%)O0.545 H0.545 L0.538 C0.540 (-0.90%)O0.545 H0.545 L0.538 C0.540 (-0.90%)O0.540 H0.549 L0.538 C0.549 (+1.66%)O0.540 H0.549 L0.538 C0.549 (+1.66%)O0.549 H0.551 L0.541 C0.543 (-1.11%)O0.549 H0.551 L0.541 C0.543 (-1.11%)O0.542 H0.548 L0.542 C0.545 (+0.59%)O0.542 H0.548 L0.542 C0.545 (+0.59%)O0.545 H0.545 L0.540 C0.541 (-0.68%)O0.545 H0.545 L0.540 C0.541 (-0.68%)O0.541 H0.548 L0.540 C0.548 (+1.34%)O0.541 H0.548 L0.540 C0.548 (+1.34%)O0.547 H0.550 L0.546 C0.549 (+0.32%)O0.547 H0.550 L0.546 C0.549 (+0.32%)O0.550 H0.550 L0.544 C0.547 (-0.42%)O0.550 H0.550 L0.544 C0.547 (-0.42%)O0.547 H0.551 L0.547 C0.549 (+0.29%)O0.547 H0.551 L0.547 C0.549 (+0.29%)O0.549 H0.552 L0.545 C0.546 (-0.52%)O0.549 H0.552 L0.545 C0.546 (-0.52%)-1.9%O0.547 H0.550 L0.535 C0.536 (-1.89%)O0.547 H0.550 L0.535 C0.536 (-1.89%)O0.536 H0.536 L0.535 C0.536 (-0.07%)O0.536 H0.536 L0.535 C0.536 (-0.07%)#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=2,699,107 · μ=107964.3 · σ=103366.2 · CV=0.96BURSTYcumulative energy &nearr; · 50% by h=10099,053198,106297,158396,211μ = 107964221,339 · 55.9% peak221,339 · 55.9% peak100,028 · 25.2% peak100,028 · 25.2% peak79,786 · 20.1% peak79,786 · 20.1% peak170,808 · 43.1% peak170,808 · 43.1% peak131,115 · 33.1% peak131,115 · 33.1% peak396,211396,211 · 100.0% peak396,211 · 100.0% peak69,405 · 17.5% peak69,405 · 17.5% peak99,746 · 25.2% peak99,746 · 25.2% peak19,933 · 5.0% peak19,933 · 5.0% peak82,408 · 20.8% peak82,408 · 20.8% peak384,248 · 97.0% peak384,248 · 97.0% peak121,158 · 30.6% peak121,158 · 30.6% peak32,980 · 8.3% peak32,980 · 8.3% peak192,584 · 48.6% peak192,584 · 48.6% peak30,044 · 7.6% peak30,044 · 7.6% peak39,123 · 9.9% peak39,123 · 9.9% peak42,922 · 10.8% peak42,922 · 10.8% peak22,753 · 5.7% peak22,753 · 5.7% peak68,876 · 17.4% peak68,876 · 17.4% peak40,348 · 10.2% peak40,348 · 10.2% peak44,723 · 11.3% peak44,723 · 11.3% peak20,975 · 5.3% peak20,975 · 5.3% peak99,271 · 25.1% peak99,271 · 25.1% peak182,126 · 46.0% peak182,126 · 46.0% peak6,197 · 1.6% peak6,197 · 1.6% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 2699107 · peak 396211 · CV 0.96

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0012 · σ=0.0088 · skew=-0.08 (symmetric) · kurt=-0.28 (mesokurtic)54310 2-182.34bpbin -182.34bp · n=2 · 40.0% peakbin -182.34bp · n=2 · 40.0% peak-151.82bp 2-121.30bpbin -121.30bp · n=2 · 40.0% peakbin -121.30bp · n=2 · 40.0% peak 2-90.78bpbin -90.78bp · n=2 · 40.0% peakbin -90.78bp · n=2 · 40.0% peak 1-60.26bpbin -60.26bp · n=1 · 20.0% peakbin -60.26bp · n=1 · 20.0% peak 3-29.74bpbin -29.74bp · n=3 · 60.0% peakbin -29.74bp · n=3 · 60.0% peak 50.78bpbin 0.78bp · n=5 · 100.0% peakbin 0.78bp · n=5 · 100.0% peak 531.30bpbin 31.30bp · n=5 · 100.0% peakbin 31.30bp · n=5 · 100.0% peak 161.82bpbin 61.82bp · n=1 · 20.0% peakbin 61.82bp · n=1 · 20.0% peak92.34bp 1122.86bpbin 122.86bp · n=1 · 20.0% peakbin 122.86bp · n=1 · 20.0% peak 2153.38bpbin 153.38bp · n=2 · 40.0% peakbin 153.38bp · n=2 · 40.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 13 · negative 11
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.06 · kurt=-0.17 · near 21 / mid 3 / far 0 · OLS slope=1.01 intercept=-0.00MATCHES NORMAL · WELL-BEHAVEDUPPER 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
$0.5353
Mid price
$0.5355
24h change
-1.80%
Mark–mid spread
3.74 bps
Prev-day close
$0.5451

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.25)
μ MEAN0.5441$95% CI: [0.5422$, 0.5461$]
σ STD DEV0.0051$σ² = 0.255×10⁻⁴ · CV = 0.93%
med MEDIAN0.5451$Q₁ 0.5403$ · Q₃ 0.5487$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0171$ · IQR 0.0084$ (1.349σ→0.0068$)
min 0.5343$Q₁ 0.5403$med 0.5451$Q₃ 0.5487$max 0.5515$μ
SKEWNESS · G₁-0.416approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.247platykurtic · thin tails
−30+2+4+6
μ ↔ medianμ < med · left-tailed|μ−med| / σ = 0.18
σ × 1.349 ↔ IQRconsistent with normalratio = 0.81
range ↔ σconcentrated (range < 4σ)range / σ = 3.39
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=-9.12
μᵣ MEAN / h-0.092012%drift is negative per h · |μ|/σ = 0.097
σᵣ STD / h0.944212%σ²ᵣ = 0.892×10⁻⁴ · CV = 10.26×
σ ANNUALISED88.37%/yrscaled by √8760 (hourly→yearly) · 0.944%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-9.12negative edge
-2-10+1+2+3+4
SORTINO (annualised)-8.15downside 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 · G₁-0.06approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.09mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.89
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-806.02%/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 1.76%
VaR₉₅ (h)1.765%5% prob of larger adverse h move
VaR₉₉ (h)1.951%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.922%expected loss given 5% tail event
MAX DRAWDOWN3.11%2h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−1.765%VaR₉₉−1.951%ES₉₅−1.922%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 2h duration
PEAK55.15$
−3.11% drawdown over 2h
53.43$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.09× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.11× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +3.21% (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)
40.0 · neutral
Bollinger %B
0.124 · within band
Bollinger upper
$0.5524
Bollinger MA
$0.5428
Bollinger lower
$0.5333

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.26 + ADF rejected
ρ(1) AUTOCORR-0.258within white-noise band
ρ(2) AUTOCORR+0.095lag-2 not significant
H · HURST EXPONENT0.851strongly persistent
OLS TREND · t-STAT-0.880fails 5% test
HURST EXPONENT [0, 1]strongly persistent · H = 0.851
H = 0.851STRONGLY 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=1-0.258k=2+0.095k=3-0.226k=4+0.158k=5-0.4030+1−1+0.41−0.41+ momentum (ρ > +0.41)− reversal (ρ < −0.41)noise (within band)±2/√n threshold
OLS TREND · t-STAT · [-5, +5]NOT SIGNIFICANT (|t|=0.88)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.26 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.96very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCENOT SIGNIFICANT (|t|=0.88)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)
$1.47M
Open interest (USD)
$3.03M
Vol / OI (turnover)
0.49x
1h funding
-0.002318%
Funding (annualised)
-20.31%/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 1.69% · worst -1.98% · typical |Δ| 0.71%MILD BEARISH -2.21%BEST+1.69%21hWORST-1.98%16hTYPICAL |Δ|0.71%mean absoluteCUMULATIVE-2.21%Σ signed ΔSTREAK↘ 3down-runASIA · 00-08 UTCμ +0.07% · Σ +0.53%EUROPE · 08-16 UTCμ -0.18% · Σ -1.47%US · 16-24 UTCμ -0.16% · Σ -1.28%CUMULATIVE Δ PATH · final -2.21%+0.70%-2.45%0.19% · 12h0.19% · 12h0.19%12h0.12% · 13h0.12% · 13h0.12%13h0.06% · 14h0.06% · 14h0.06%14h0.33% · 15h0.33% · 15h0.33%15h-1.98% · 16h-1.98% · 16h-1.98%16h▼ WORST-1.18% · 17h-1.18% · 17h-1.18%17h0.68% · 18h0.68% · 18h0.68%18h0.42% · 19h0.42% · 19h0.42%19h-0.32% · 20h-0.32% · 20h-0.32%20h1.69% · 21h1.69% · 21h1.69%21h★ BEST-0.76% · 22h-0.76% · 22h-0.76%22h0.16% · 23h0.16% · 23h0.16%23h-0.89% · 00h-0.89% · 00h-0.89%00h1.66% · 01h1.66% · 01h1.66%01h-1.12% · 02h-1.12% · 02h-1.12%02h0.45% · 03h0.45% · 03h0.45%03h-0.71% · 04h-0.71% · 04h-0.71%04h1.29% · 05h1.29% · 05h1.29%05h0.16% · 06h0.16% · 06h0.16%06h-0.31% · 07h-0.31% · 07h-0.31%07h0.24% · 08h0.24% · 08h0.24%08h-0.41% · 09h-0.41% · 09h-0.41%09h-1.87% · 10h-1.87% · 10h-1.87%10h-0.13% · 11h-0.13% · 11h-0.13%11hTIME PATTERNAsia-led (+0.53%)RUNSup max 4 · down max 3BREADTH54% up · 46% down
13 up bars · 11 down · best 1.69% · worst -1.98% · typical |Δ| 0.714%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-2.29%)FINAL-2.29%MAX DD-3.13%RECOVERYONGOING · 20 barsMAX RUN-UP+0.71%UNDERWATER20/25 (80%)STREAK↘ 3EQUITY CURVE · end 0.9771 · peak 1.0071 · range [0.9755, 1.0071]1.00710.9755break-even = 1★ PEAK 1.0071UNDERWATER DRAWDOWN · max -3.13% · moderate0%-3.13%▼ TROUGH -3.13%TOP DRAWDOWN PERIODS · 1 total#1 -3.13%bar 6-25 · 20 bars · ONGOINGDD SEVERITYmoderate (max -3.13%)RECOVERYongoing · 20 barsTIME UNDER WATER80% of session · 20/25 bars
final equity 0.9771 (-2.29%) · max DD -3.13% · time-under-water 20/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +9 / −10 (47% positive) · μ=-3.65 · σ=23.07MIXED EDGELAST -47.15 (-1.89σ vs μ)47.1523.570.00-23.57-47.15μ = -3.65-40.51-40.51-29.86-29.86-24.48-24.48-30.35-30.35-7.95-7.958.068.0634.5934.594.974.9720.7620.769.059.05-7.30-7.30-6.63-6.639.009.0025.0125.01-4.25-4.2525.5725.575.685.68-13.54-13.54-47.15-47.15v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -47.149 · range [-47.15, 34.59] · μ -3.649 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=94.2806 · σ=16.4101 · range [64.1450, 124.2817] · R²=0.161▼ FALLING -18.57%σ EXTREME 17.41%LAST 71.9971124.2817109.247694.213479.179264.1450μ = 94.2806max 124.2817min 64.1450dataMA(3)OLS R²=0.16μ lineμ ± σ bandmaxmin
latest 72.00% · range [64.14%, 124.28%] · μ 94.28% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +5 / −14 (26% positive) · μ=-0.338 · σ=0.340MEAN-REVERSIONLAST -0.090 (+0.73σ vs μ)0.7810.3910.000-0.391-0.781μ = -0.3380.2170.217-0.021-0.0210.0920.0920.0410.0410.1240.124-0.488-0.488-0.610-0.610-0.498-0.498-0.547-0.547-0.603-0.603-0.741-0.741-0.781-0.781-0.721-0.721-0.583-0.583-0.411-0.411-0.541-0.541-0.396-0.3960.1270.127-0.090-0.090v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.090 · |ρ| > 0.3 ⇒ regime with persistence (ρ > 0) or reversal (ρ < 0) · |ρ| ≤ 0.1 = consistent with random walk

§14 · Hypothesis tests (α = 0.05)

Formal inference at 5% significance
ALL TESTS PASS · data behaves as nominal0 reject·6 pass·α = 0.05
𝒩

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
0.0233
p-VALUE (log scale)
0.9884
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
9.6818
p-VALUE (log scale)
0.0838
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
-2.5350
p-VALUE (log scale)
0.1103
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
1.2965
p-VALUE (log scale)
0.1948
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (16 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.1062
p-VALUE (log scale)
0.5000
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedstationary not rejected (crit 0.463)
χ

Variance ratio q=3

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-0.9120
p-VALUE (log scale)
0.3618
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.722 ≈ 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=1.04e-4 · top T=2.00h (35.9%) · top-3 cover 62.2%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)4.5e-43.4e-42.2e-41.1e-40.0e+0μ noise floor2× noise (significance)period 24.0 · power 4.88e-5 · 3.9% energyperiod 24.0 · power 4.88e-5 · 3.9% energyperiod 12.0 · power 2.76e-6 · 0.2% energyperiod 12.0 · power 2.76e-6 · 0.2% energyperiod 8.0 · power 1.30e-4 · 10.4% energyperiod 8.0 · power 1.30e-4 · 10.4% energyperiod 6.0 · power 1.33e-4 · 10.6% energyperiod 6.0 · power 1.33e-4 · 10.6% energyperiod 4.8 · power 7.49e-6 · 0.6% energyperiod 4.8 · power 7.49e-6 · 0.6% energyperiod 4.0 · power 2.28e-5 · 1.8% energyperiod 4.0 · power 2.28e-5 · 1.8% energyperiod 3.4 · power 1.96e-4 · 15.6% energyperiod 3.4 · power 1.96e-4 · 15.6% energyperiod 3.0 · power 9.88e-5 · 7.9% energyperiod 3.0 · power 9.88e-5 · 7.9% energyperiod 2.7 · power 2.35e-6 · 0.2% energyperiod 2.7 · power 2.35e-6 · 0.2% energyperiod 2.4 · power 5.48e-5 · 4.4% energyperiod 2.4 · power 5.48e-5 · 4.4% energyperiod 2.2 · power 1.05e-4 · 8.4% energyperiod 2.2 · power 1.05e-4 · 8.4% energyperiod 2.0 · power 4.49e-4 · 35.9% energyperiod 2.0 · power 4.49e-4 · 35.9% energy50% by T=3.0h#1 dominantT=2.00h#2T=3.43h#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 35.9% of total energy · Σ|X̂|²/n = 1.250e-3

▸ 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 0.04%
μ per barmean
-0.000%
σ per barvol
0.04%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-28.84×
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 -34.61400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.015
annualized -34.61
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.01%
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 -24.09σ ann 84% · Sortino -20.55 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-2891%-2293%-1695%-1096%-498%100%-1000.0%APR (simple)-100.0%APY (compound)83.5%Ann. vol σ-2409.5%Sharpe (ann)-2055.3%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 = 1.001% · long-run σ = 2.236%
0.5140.5260.5380.5500.5620.574t-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 11:01:15 UTC
Snapshot age
2.0s
History points
25 hourly closes
Page rendered
2026-06-14 11:01:17 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
48bb09cd6de098b17782fdcaa10efac6be02b56c5b811a3c09df7fabf0e6e7dc · 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
$5.79K
bid $3.22K · ask $2.57K
Depth within 10bp
$23.56K
bid $17.95K · ask $5.61K
Depth within 50bp
$45.28K
bid $26.39K · ask $18.90K
Mid price
0.535565
(best bid + best ask) / 2
Spread
3.2bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.167
bid-heavy
Imbalance (top-5)
-0.442
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-jto/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.5356571.72bp0.5356702FILLED
BUY$10.00K0.53610710.12bp0.53645013FILLED
BUY$100.00K0.53641415.86bp0.53724020PARTIAL
SELL$1.00K0.5354731.72bp0.5354702FILLED
SELL$10.00K0.5352286.29bp0.53508014FILLED
SELL$100.00K0.5350439.74bp0.53447020PARTIAL

Funding carry

▸ SHORTS PAY · longs receive
Hourly funding
-2.318e-5
-0.00232% / hr
Annualised APR
-20.320%
hourly · 24 · 365.25
Long: days to 1% carry
18.0d
longs receive
Short: days to 1% carry
18.0d
shorts pay
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGRECEIVE20.320%18.0d179.7d
SHORTPAY-20.320%18.0d179.7d

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

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$2.70M

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

Order flow

▸ BALANCED · -0.014 · Hyperliquid candles
Bars (buy / sell)
13 / 11
1 unclassified
Buy weight
$1.22M
real volume
Sell weight
$1.26M
real volume
Net delta
$34.15K
sellers net
Imbalance
-1.38%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
1.4%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 4 found · deepest 3.11% · 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 16:00:00Z2.0h0.551470→0.5343303.108%3
#22026-06-14 10:00:00Z1.0h0.548730→0.5356402.386%2
#32026-06-13 22:00:00Z2.0h0.547750→0.5396301.482%3

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
83.53%
σ per bar = 0.000364
Mean return (annualised)
-2012.76%
μ per bar = -0.000004
Sharpe (rf=0)
-24.09
annualised; risk-free assumed zero
Max drawdown
3.06%
peak 0.55 → trough 0.54 over 999 bars

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