HYPERLIQUID · PERPETUAL FUTURES

KAITO

KAITO-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-kaito · fresh · feed 1s old
24h sparkline · 60 pts▲ 7.03%
realized vol (ann.)
453.79%
max drawdown
9.36%
sharpe
-16.12
ulcer index
4.61%
RMS drawdown
pain index
3.44%
mean drawdown
mod. VaR 95%
0.00%
Cornish-Fisher
martin ratio
-1585.42
ret / ulcer
CDaR 95%
8.50%
cond. drawdown
gain/pain
0.96
Σgain / Σ|loss|
sterling
-860.44
ret / CDaR
omega (θ=0)
0.96
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
7.03%
flow lean
—
carry
shorts_pay
-14.42%
signalLONGconfidence 43%suggested side: BUY
  • 24h change +7.03%
  • funding: shorts pay — perp longs get paid to wait
  • mark cheap vs HL oracle by 16.9bps — long bias
Same bundle via M2M API: /api/m2m/hl-kaito/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH1.1s⏱--:--:-- 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
$0.456
24h Δ · live
7.03%
24h vol · live
$1.1M
KAITO · live 24h price
n=24 · μ=0.4572 · σ=0.0159 · range [0.4248, 0.4857] · R²=0.464▲ RISING +7.05%σ NORMAL 3.48%LAST 0.45470.48570.47050.45520.44000.4248μ = 0.4572max 0.4857min 0.4248dataMA(4)OLS R²=0.46μ lineμ ± σ bandmaxminlive endpoint
24 closes · last $0.45
Funding direction · live
Long fee 48.5%Short fee 51.5%SHORT FEE51.5%
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
48.5%▬ +0.00pp
Short fee
51.5%▬ +0.00pp
1h funding -0.001647% · shorts pay
Hourly contract volume · live
n=24 · Σ=2,391,799 · μ=99658.3 · σ=118317.7 · CV=1.19BURSTY · concentratedcumulative energy ↗ · 50% by h=170123,782247,564371,346495,128μ = 99658495,12850%h1h5h9h13h17h21#1 peak#2-3> μactivequietμ linecum energy
peak 495128 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
1.1s
$mark $
$0.4556
$mid $
$0.4557
◉prev-day close
$0.4257
Δ24h Δ %
+7.033%
$24h vol $
$1.12M
◐open interest $
$914.50k
%funding (1h)
-0.001647%
%funding (yr)
-14.42%/yr

§1 · 24h time-series

Close price · hourly
n=24 · μ=0.4572 · σ=0.0159 · range [0.4248, 0.4857] · R²=0.464▲ RISING +7.05%σ NORMAL 3.48%LAST 0.45470.48570.47050.45520.44000.4248μ = 0.4572max 0.4857min 0.4248dataMA(4)OLS R²=0.46μ lineμ ± σ bandmaxmin
mark $0.4556 · 24h 7.03% · range $[0.4248, 0.4857]
OHLC candles · hourly
n=24 · up 15 · down 9 (63% up) · range [0.4240, 0.4958] · σ=0.0159 · CV=0.03 · bodyµ=44%STRONG BULLISH +6.81%CLOSE 0.4547 vs OPEN 0.4257 (+6.81%)&#9650; CLOSE 0.45470.49580.47790.45990.44190.4240μ close = 0.4572O0.426 H0.427 L0.424 C0.425 (-0.22%)O0.426 H0.427 L0.424 C0.425 (-0.22%)O0.425 H0.438 L0.425 C0.437 (+2.91%)O0.425 H0.438 L0.425 C0.437 (+2.91%)O0.437 H0.442 L0.433 C0.438 (+0.16%)O0.437 H0.442 L0.433 C0.438 (+0.16%)O0.438 H0.440 L0.437 C0.439 (+0.28%)O0.438 H0.440 L0.437 C0.439 (+0.28%)O0.439 H0.441 L0.439 C0.441 (+0.44%)O0.439 H0.441 L0.439 C0.441 (+0.44%)O0.441 H0.442 L0.439 C0.442 (+0.27%)O0.441 H0.442 L0.439 C0.442 (+0.27%)O0.443 H0.445 L0.439 C0.441 (-0.40%)O0.443 H0.445 L0.439 C0.441 (-0.40%)O0.441 H0.444 L0.441 C0.444 (+0.57%)O0.441 H0.444 L0.441 C0.444 (+0.57%)O0.445 H0.448 L0.445 C0.448 (+0.71%)O0.445 H0.448 L0.445 C0.448 (+0.71%)O0.448 H0.463 L0.448 C0.462 (+3.14%)O0.448 H0.463 L0.448 C0.462 (+3.14%)O0.462 H0.478 L0.462 C0.475 (+2.74%)O0.462 H0.478 L0.462 C0.475 (+2.74%)O0.475 H0.496 L0.475 C0.486 (+2.33%)O0.475 H0.496 L0.475 C0.486 (+2.33%)O0.487 H0.496 L0.480 C0.480 (-1.44%)O0.487 H0.496 L0.480 C0.480 (-1.44%)-3.2%O0.482 H0.484 L0.466 C0.467 (-3.18%)O0.482 H0.484 L0.466 C0.467 (-3.18%)O0.468 H0.475 L0.466 C0.466 (-0.32%)O0.468 H0.475 L0.466 C0.466 (-0.32%)O0.468 H0.471 L0.466 C0.468 (+0.06%)O0.468 H0.471 L0.466 C0.468 (+0.06%)O0.468 H0.471 L0.461 C0.463 (-1.06%)O0.468 H0.471 L0.461 C0.463 (-1.06%)O0.464 H0.469 L0.463 C0.468 (+0.93%)O0.464 H0.469 L0.463 C0.468 (+0.93%)O0.468 H0.471 L0.461 C0.468 (-0.11%)O0.468 H0.471 L0.461 C0.468 (-0.11%)O0.466 H0.466 L0.455 C0.466 (+0.01%)O0.466 H0.466 L0.455 C0.466 (+0.01%)O0.466 H0.472 L0.465 C0.471 (+1.00%)O0.466 H0.472 L0.465 C0.471 (+1.00%)O0.471 H0.476 L0.430 C0.469 (-0.29%)O0.471 H0.476 L0.430 C0.469 (-0.29%)O0.469 H0.488 L0.442 C0.456 (-2.78%)O0.469 H0.488 L0.442 C0.456 (-2.78%)O0.455 H0.459 L0.448 C0.455 (+0.00%)O0.455 H0.459 L0.448 C0.455 (+0.00%)#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=2,391,799 · μ=99658.3 · σ=118317.7 · CV=1.19BURSTY · concentratedcumulative energy &nearr; · 50% by h=170123,782247,564371,346495,128μ = 996584,339 · 0.9% peak4,339 · 0.9% peak26,609 · 5.4% peak26,609 · 5.4% peak63,820 · 12.9% peak63,820 · 12.9% peak77,259 · 15.6% peak77,259 · 15.6% peak10,068 · 2.0% peak10,068 · 2.0% peak20,936 · 4.2% peak20,936 · 4.2% peak29,439 · 5.9% peak29,439 · 5.9% peak3,062 · 0.6% peak3,062 · 0.6% peak56,668 · 11.4% peak56,668 · 11.4% peak73,422 · 14.8% peak73,422 · 14.8% peak52,821 · 10.7% peak52,821 · 10.7% peak348,841 · 70.5% peak348,841 · 70.5% peak151,218 · 30.5% peak151,218 · 30.5% peak141,826 · 28.6% peak141,826 · 28.6% peak69,171 · 14.0% peak69,171 · 14.0% peak37,971 · 7.7% peak37,971 · 7.7% peak61,699 · 12.5% peak61,699 · 12.5% peak35,090 · 7.1% peak35,090 · 7.1% peak107,665 · 21.7% peak107,665 · 21.7% peak25,822 · 5.2% peak25,822 · 5.2% peak63,990 · 12.9% peak63,990 · 12.9% peak495,128495,128 · 100.0% peak495,128 · 100.0% peak266,148 · 53.8% peak266,148 · 53.8% peak168,787 · 34.1% peak168,787 · 34.1% peak50%#1#5#9#13#17#21#1 peak#2-3> μactivequietμ linecum energy
Σ vol 2391799 · peak 495128 · CV 1.19

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=23 · 12 bins · μ=0.0032 · σ=0.0146 · skew=-0.07 (symmetric) · kurt=0.00 (mesokurtic)65320 2-269.17bpbin -269.17bp · n=2 · 33.3% peakbin -269.17bp · n=2 · 33.3% peak-218.94bp-168.71bp 2-118.47bpbin -118.47bp · n=2 · 33.3% peakbin -118.47bp · n=2 · 33.3% peak-68.24bp 6-18.01bpbin -18.01bp · n=6 · 100.0% peakbin -18.01bp · n=6 · 100.0% peak 532.22bpbin 32.22bp · n=5 · 83.3% peakbin 32.22bp · n=5 · 83.3% peak 382.45bpbin 82.45bp · n=3 · 50.0% peakbin 82.45bp · n=3 · 50.0% peak 1132.69bpbin 132.69bp · n=1 · 16.7% peakbin 132.69bp · n=1 · 16.7% peak182.92bp 1233.15bpbin 233.15bp · n=1 · 16.7% peakbin 233.15bp · n=1 · 16.7% peak 3283.38bpbin 283.38bp · n=3 · 50.0% peakbin 283.38bp · n=3 · 50.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=23 · positive 13 · negative 10
Q-Q plot · standardised rₜ vs N(0,1)
n=23 · skew=-0.13 · kurt=0.17 · near 18 / mid 5 / far 0 · OLS slope=1.00 intercept=-0.00MATCHES NORMAL · WELL-BEHAVEDMILDLY HEAVY UPPERLOWER TAIL NORMAL-3σ-3σ-2σ-2σ-1σ-1σ+0σ+0σ+1σ+1σ+2σ+2σ+3σ+3σsample ↓marginal: sample bars + theoretical N(0,1) curve →theoretical Φ⁻¹(p) →↑ sample z-quantile|Δ| < 0.3σ · on the line|Δ| < 1σ · moderate|Δ| ≥ 1σ · outliery = x refOLS fit

§3 · Spot quote

Mark price
$0.4556
Mid price
$0.4557
24h change
+7.03%
Mark–mid spread
0.99 bps
Prev-day close
$0.4257

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=24PLATYKURTIC · THIN TAILS (G₂=-1.10)
μ MEAN0.4572$95% CI: [0.4509$, 0.4636$]
σ STD DEV0.0159$σ² = 2.525×10⁻⁴ · CV = 3.48%
med MEDIAN0.4625$Q₁ 0.4420$ · Q₃ 0.4679$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0609$ · IQR 0.0259$ (1.349σ→0.0214$)
min 0.4248$Q₁ 0.4420$med 0.4625$Q₃ 0.4679$max 0.4857$μ
SKEWNESS · G₁-0.206approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.103platykurtic · thin tails
−30+2+4+6
μ ↔ medianμ < med · left-tailed|μ−med| / σ = 0.33
σ × 1.349 ↔ IQRconsistent with normalratio = 0.83
range ↔ σconcentrated (range < 4σ)range / σ = 3.84
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-ADJUSTEDEXCEPTIONAL EDGE · SR=18.07
μᵣ MEAN / h+0.296044%drift is positive per h · |μ|/σ = 0.193
σᵣ STD / h1.533288%σ²ᵣ = 2.351×10⁻⁴ · CV = 5.18×
σ ANNUALISED143.51%/yrscaled by √8760 (hourly→yearly) · 1.533%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)18.07excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)19.82strong downside-adjusted
-2-10+1+2+3+4
CALMAR (return / max-DD)100.00exceptional DD control
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁-0.14approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.53mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside ≈ total vol · symmetricSoR / SR = 1.10
CALMAR · DD CONTROLdrawdown control exceptionalCR = 100.00
EXPECTED EDGE+2593.34%/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 2.68%
VaR₉₅ (h)2.679%5% prob of larger adverse h move
VaR₉₉ (h)2.923%1% prob · extreme-tail threshold
ES₉₅ (CVaR)2.898%expected loss given 5% tail event
MAX DRAWDOWN6.38%12h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−2.679%VaR₉₉−2.923%ES₉₅−2.898%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEsignificant drawdown · 12h duration
PEAK48.57$
−6.38% drawdown over 12h
45.47$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.08× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.09× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONsignificant drawdownrecovery needed: +6.82% (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)
57.2 · neutral
Bollinger %B
0.365 · within band
Bollinger upper
$0.4878
Bollinger MA
$0.4617
Bollinger lower
$0.4357

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: TRENDING · variance ratio > 1
ρ(1) AUTOCORR+0.332within white-noise band
ρ(2) AUTOCORR-0.049lag-2 not significant
H · HURST EXPONENT0.843strongly persistent
OLS TREND · t-STAT+4.360significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.843
H = 0.843STRONGLY 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+0.332k=2-0.049k=3-0.074k=4-0.230k=5-0.2020+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|=4.36)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONTRENDING · variance ratio > 1from Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=4.36)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)
$1.12M
Open interest (USD)
$914.50k
Vol / OI (turnover)
1.22x
1h funding
-0.001647%
Funding (annualised)
-14.42%/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=23 bars · best 3.09% · worst -2.94% · typical |Δ| 1.10%MILD BULLISH +6.81%BEST+3.09%20hWORST-2.94%09hTYPICAL |Δ|1.10%mean absoluteCUMULATIVE+6.81%Σ signed ΔSTREAK↘ 3down-runASIA · 00-08 UTCμ -0.26% · Σ -2.04%EUROPE · 08-16 UTCμ +0.05% · Σ +0.37%US · 16-24 UTCμ +1.06% · Σ +8.48%CUMULATIVE Δ PATH · final +6.81%+13.41%0.00%2.86% · 12h2.86% · 12h2.86%12h0.16% · 13h0.16% · 13h0.16%13h0.28% · 14h0.28% · 14h0.28%14h0.51% · 15h0.51% · 15h0.51%15h0.19% · 16h0.19% · 16h0.19%16h-0.32% · 17h-0.32% · 17h-0.32%17h0.69% · 18h0.69% · 18h0.69%18h0.96% · 19h0.96% · 19h0.96%19h3.09% · 20h3.09% · 20h3.09%20h★ BEST2.64% · 21h2.64% · 21h2.64%21h2.33% · 22h2.33% · 22h2.33%22h-1.11% · 23h-1.11% · 23h-1.11%23h-2.85% · 00h-2.85% · 00h-2.85%00h-0.09% · 01h-0.09% · 01h-0.09%01h0.30% · 02h0.30% · 02h0.30%02h-1.09% · 03h-1.09% · 03h-1.09%03h1.14% · 04h1.14% · 04h1.14%04h-0.11% · 05h-0.11% · 05h-0.11%05h-0.27% · 06h-0.27% · 06h-0.27%06h0.93% · 07h0.93% · 07h0.93%07h-0.28% · 08h-0.28% · 08h-0.28%08h-2.94% · 09h-2.94% · 09h-2.94%09h▼ WORST-0.22% · 10h-0.22% · 10h-0.22%10hTIME PATTERNUS-led (+8.48%)RUNSup max 5 · down max 3BREADTH57% up · 43% down
13 up bars · 10 down · best 3.09% · worst -2.94% · typical |Δ| 1.104%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=24 barsPROFITABLE +6.76%FINAL+6.76%MAX DD-6.49%RECOVERYONGOING · 12 barsMAX RUN-UP+14.17%UNDERWATER13/24 (54%)STREAK↘ 3EQUITY CURVE · end 1.0676 · peak 1.1417 · range [1.0000, 1.1417]1.14171.0000break-even = 1★ PEAK 1.1417UNDERWATER DRAWDOWN · max -6.49% · significant0%-6.49%▼ TROUGH -6.49%TOP DRAWDOWN PERIODS · 2 total#1 -6.49%bar 13-24 · 12 bars · ONGOING#2 -0.32%bar 7-7 · 1 bars · recoveredDD SEVERITYsignificant (max -6.49%)RECOVERYongoing · 12 barsTIME UNDER WATER54% of session · 13/24 bars
final equity 1.0676 (6.76%) · max DD -6.49% · time-under-water 13/24 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +13 / −6 (68% positive) · μ=30.39 · σ=58.58PROFITABLE STRATEGYLAST -36.45 (-1.14σ vs μ)171.9585.970.00-85.97-171.95μ = 30.3964.7864.7851.5351.5366.6466.6477.7177.7166.2966.2993.3793.37171.95171.9587.0087.0028.9928.997.377.37-14.01-14.01-74.21-74.21-31.73-31.733.483.48-0.69-0.6912.2012.2037.9437.94-34.79-34.79-36.45-36.45v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -36.447 · range [-74.21, 171.95] · μ 30.389 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=115.9891 · σ=58.2353 · range [28.3508, 247.3567] · R²=0.031▲ RISING +23.29%σ EXTREME 50.21%LAST 133.8620247.3567192.6053137.853883.102328.3508μ = 115.9891max 247.3567min 28.3508dataMA(3)OLS R²=0.03μ lineμ ± σ bandmaxmin
latest 133.86% · range [28.35%, 247.36%] · μ 115.99% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +8 / −11 (42% positive) · μ=-0.075 · σ=0.326CLOSE TO MARTINGALELAST -0.076 (-0.01σ vs μ)0.6690.3340.000-0.334-0.669μ = -0.075-0.122-0.1220.0970.097-0.371-0.3710.0860.0860.1850.1850.3580.3580.2630.263-0.048-0.0480.3960.3960.3360.336-0.029-0.029-0.072-0.072-0.221-0.221-0.669-0.669-0.626-0.626-0.503-0.503-0.437-0.4370.0320.032-0.076-0.076v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.076 · |ρ| > 0.3 ⇒ regime with persistence (ρ > 0) or reversal (ρ < 0) · |ρ| ≤ 0.1 = consistent with random walk

§14 · Hypothesis tests (α = 0.05)

Formal inference at 5% significance
1 of 6 REJECT · mixed evidence1 reject·5 pass·α = 0.05
𝒩

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
0.3462
p-VALUE (log scale)
0.8411
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
6.0183
p-VALUE (log scale)
0.3039
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
-2.2087
p-VALUE (log scale)
0.2089
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
-1.0014
p-VALUE (log scale)
0.3166
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (10 runs)
χ

KPSS (μ stationarity)

REJECT H₀*

H₀: p IS level-stationary

STATISTIC
0.5539
p-VALUE (log scale)
0.0295
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonenon-stationary (crit 0.463)
χ

Variance ratio q=2

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
1.5561
p-VALUE (log scale)
0.1197
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 1.324 ≈ 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=11 bins · noise floor μ=2.35e-4 · top T=7.67h (32.8%) · top-3 cover 67.4%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)8.5e-46.4e-44.2e-42.1e-40.0e+0μ noise floor2× noise (significance)period 23.0 · power 3.12e-4 · 12.1% energyperiod 23.0 · power 3.12e-4 · 12.1% energyperiod 11.5 · power 1.61e-4 · 6.2% energyperiod 11.5 · power 1.61e-4 · 6.2% energyperiod 7.7 · power 8.48e-4 · 32.8% energyperiod 7.7 · power 8.48e-4 · 32.8% energyperiod 5.8 · power 6.89e-5 · 2.7% energyperiod 5.8 · power 6.89e-5 · 2.7% energyperiod 4.6 · power 4.33e-4 · 16.8% energyperiod 4.6 · power 4.33e-4 · 16.8% energyperiod 3.8 · power 3.47e-5 · 1.3% energyperiod 3.8 · power 3.47e-5 · 1.3% energyperiod 3.3 · power 4.62e-4 · 17.9% energyperiod 3.3 · power 4.62e-4 · 17.9% energyperiod 2.9 · power 1.67e-4 · 6.4% energyperiod 2.9 · power 1.67e-4 · 6.4% energyperiod 2.6 · power 3.68e-5 · 1.4% energyperiod 2.6 · power 3.68e-5 · 1.4% energyperiod 2.3 · power 1.45e-5 · 0.6% energyperiod 2.3 · power 1.45e-5 · 0.6% energyperiod 2.1 · power 4.82e-5 · 1.9% energyperiod 2.1 · power 4.82e-5 · 1.9% energy50% by T=7.7h#1 dominantT=7.67h#2T=3.29h#3T=4.60hT=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 ≈ 7.67h (freq 0.130) · concentrates 32.8% of total energy · Σ|X̂|²/n = 2.586e-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 -2.82× · μ -0.000% · σ 0.13%
μ per barmean
-0.000%
σ per barvol
0.13%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-2.82×
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
-0.01%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 -10.63400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.005
annualized -10.63
μ per barafter L
-0.000%
σ per barafter L
0.01%
VaR 95%5%
0.01%
per-bar worst-case
CVaR 95%ES
0.03%
mean tail loss
Max DD (median)MDD
-0.1%
0.94×0.97×0.99×1.01×1.03×1.06×0120240360480600720startbar #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 -8.56σ ann 303% · Sortino -8.04 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-1200%-887%-575%-262%51%364%-1000.0%APR (simple)-100.0%APY (compound)303.0%Ann. vol σ-855.6%Sharpe (ann)-803.8%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 = 1.001% · long-run σ = 2.236%
0.4130.4320.4510.4700.4880.507t-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 11:01:08 UTC
Snapshot age
1.1s
History points
24 hourly closes
Page rendered
2026-06-14 11:01:10 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
0dbaf44992d191525839985183cfd4011cc83c5e1137c3ec24d8f8e3f5e8ac99 · deterministic hash of the source snapshot — proves this page was rendered from this exact data
Open data licence
CC0 / public domain · free to mirror, syndicate, analyse

§∞-2 · Related markets · explore more

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Also see: /arb opportunities · RSS feed

Market depth

▸ live order book · Hyperliquid perp
Depth within 1bp
$0
bid $0 · ask $0
Depth within 5bp
$4.18K
bid $2.03K · ask $2.15K
Depth within 10bp
$14.14K
bid $7.17K · ask $6.97K
Depth within 50bp
$86.14K
bid $44.96K · ask $41.18K
Mid price
0.455675
(best bid + best ask) / 2
Spread
4.2bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.046
bid-heavy
Imbalance (top-5)
+0.305
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-kaito/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.4558133.04bp0.4559003FILLED
BUY$10.00K0.4561199.74bp0.45648013FILLED
BUY$100.00K0.45675123.62bp0.45708020PARTIAL
SELL$1.00K0.4555213.39bp0.4554502FILLED
SELL$10.00K0.4552219.96bp0.4548908FILLED
SELL$100.00K0.45458224.00bp0.45383020PARTIAL

Funding carry

▸ SHORTS PAY · longs receive
Hourly funding
-1.647e-5
-0.00165% / hr
Annualised APR
-14.434%
hourly · 24 · 365.25
Long: days to 1% carry
25.3d
longs receive
Short: days to 1% carry
25.3d
shorts pay
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGRECEIVE14.434%25.3d253.0d
SHORTPAY-14.434%25.3d253.0d

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

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 24 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★24$2.39M

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

Order flow

▸ ASK-LEAN · -0.271 · Hyperliquid candles
Bars (buy / sell)
13 / 10
1 unclassified
Buy weight
$870.56K
real volume
Sell weight
$1.52M
real volume
Net delta
$646.35K
sellers net
Imbalance
-27.07%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
27.1%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 2 found · deepest 4.73% · 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 23:00:00Z4.0h0.485710→0.4627404.729%5
#22026-06-14 09:00:00Z1.0h0.470640→0.4547003.387%2

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
303.04%
σ per bar = 0.001321
Mean return (annualised)
-2592.88%
μ per bar = -0.000005
Sharpe (rf=0)
-8.56
annualised; risk-free assumed zero
Max drawdown
9.36%
peak 0.49 → trough 0.44 over 201 bars

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