HYPERLIQUID · PERPETUAL FUTURES

LDO

LDO-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-ldo · fresh · feed 1s old
24h sparkline · 60 pts▼ -0.41%
realized vol (ann.)
36.51%
max drawdown
1.02%
sharpe
9.09
ulcer index
0.37%
RMS drawdown
pain index
0.29%
mean drawdown
mod. VaR 95%
0.02%
Cornish-Fisher
martin ratio
898.24
ret / ulcer
CDaR 95%
0.82%
cond. drawdown
gain/pain
1.02
Σgain / Σ|loss|
sterling
406.19
ret / CDaR
omega (θ=0)
1.02
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-0.41%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 35%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 7.3bps — long bias
Same bundle via M2M API: /api/m2m/hl-ldo/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH1.5s⏱--:--:-- 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
$0.262
24h Δ · live
-0.41%
24h vol · live
$0.3M
LDO · live 24h price
n=25 · μ=0.2634 · σ=0.0013 · range [0.2611, 0.2666] · R²=0.622▼ FALLING -0.90%σ LOW 0.48%LAST 0.26150.26660.26520.26390.26250.2611μ = 0.2634max 0.2666min 0.2611dataMA(5)OLS R²=0.62μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.26
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=1,309,503 · μ=52380.1 · σ=30401.2 · CV=0.58STEADY FLOWcumulative energy ↗ · 50% by h=10029,71059,42089,130118,840μ = 52380118,839.650%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 118840 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
1.5s
$mark $
$0.2616
$mid $
$0.2617
◉prev-day close
$0.2627
Δ24h Δ %
-0.415%
$24h vol $
$345.14k
◐open interest $
$4.66M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.2634 · σ=0.0013 · range [0.2611, 0.2666] · R²=0.622▼ FALLING -0.90%σ LOW 0.48%LAST 0.26150.26660.26520.26390.26250.2611μ = 0.2634max 0.2666min 0.2611dataMA(5)OLS R²=0.62μ lineμ ± σ bandmaxmin
mark $0.2616 · 24h -0.41% · range $[0.2611, 0.2666]
OHLC candles · hourly
n=25 · up 11 · down 14 (44% up) · range [0.2604, 0.2668] · σ=0.0013 · CV=0.00 · bodyµ=38%BEARISH -0.46%CLOSE 0.2615 vs OPEN 0.2627 (-0.46%)&#9660; CLOSE 0.26150.26680.26520.26360.26200.2604μ close = 0.2634O0.263 H0.264 L0.262 C0.264 (+0.45%)O0.263 H0.264 L0.262 C0.264 (+0.45%)O0.264 H0.266 L0.263 C0.265 (+0.41%)O0.264 H0.266 L0.263 C0.265 (+0.41%)O0.265 H0.265 L0.264 C0.265 (-0.01%)O0.265 H0.265 L0.264 C0.265 (-0.01%)O0.265 H0.266 L0.264 C0.265 (+0.06%)O0.265 H0.266 L0.264 C0.265 (+0.06%)O0.265 H0.267 L0.263 C0.267 (+0.60%)O0.265 H0.267 L0.263 C0.267 (+0.60%)-1.1%O0.267 H0.267 L0.263 C0.264 (-1.07%)O0.267 H0.267 L0.263 C0.264 (-1.07%)O0.264 H0.265 L0.263 C0.263 (-0.16%)O0.264 H0.265 L0.263 C0.263 (-0.16%)O0.264 H0.264 L0.263 C0.263 (-0.10%)O0.264 H0.264 L0.263 C0.263 (-0.10%)O0.264 H0.264 L0.262 C0.263 (-0.06%)O0.264 H0.264 L0.262 C0.263 (-0.06%)O0.263 H0.263 L0.262 C0.263 (-0.02%)O0.263 H0.263 L0.262 C0.263 (-0.02%)O0.263 H0.265 L0.262 C0.265 (+0.58%)O0.263 H0.265 L0.262 C0.265 (+0.58%)O0.265 H0.265 L0.264 C0.264 (-0.30%)O0.265 H0.265 L0.264 C0.264 (-0.30%)O0.264 H0.264 L0.263 C0.263 (-0.19%)O0.264 H0.264 L0.263 C0.263 (-0.19%)O0.263 H0.264 L0.263 C0.263 (+0.00%)O0.263 H0.264 L0.263 C0.263 (+0.00%)O0.263 H0.264 L0.261 C0.264 (+0.21%)O0.263 H0.264 L0.261 C0.264 (+0.21%)O0.264 H0.264 L0.263 C0.263 (-0.28%)O0.264 H0.264 L0.263 C0.263 (-0.28%)O0.263 H0.264 L0.263 C0.264 (+0.50%)O0.263 H0.264 L0.263 C0.264 (+0.50%)O0.264 H0.265 L0.263 C0.263 (-0.59%)O0.264 H0.265 L0.263 C0.263 (-0.59%)O0.263 H0.264 L0.261 C0.263 (+0.24%)O0.263 H0.264 L0.261 C0.263 (+0.24%)O0.263 H0.264 L0.262 C0.262 (-0.66%)O0.263 H0.264 L0.262 C0.262 (-0.66%)O0.261 H0.262 L0.261 C0.261 (-0.10%)O0.261 H0.262 L0.261 C0.261 (-0.10%)O0.261 H0.263 L0.261 C0.262 (+0.21%)O0.261 H0.263 L0.261 C0.262 (+0.21%)O0.262 H0.263 L0.260 C0.263 (+0.34%)O0.262 H0.263 L0.260 C0.263 (+0.34%)O0.263 H0.263 L0.262 C0.262 (-0.37%)O0.263 H0.263 L0.262 C0.262 (-0.37%)O0.262 H0.262 L0.262 C0.262 (-0.01%)O0.262 H0.262 L0.262 C0.262 (-0.01%)#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=1,309,503 · μ=52380.1 · σ=30401.2 · CV=0.58STEADY FLOWcumulative energy &nearr; · 50% by h=10029,71059,42089,130118,840μ = 5238049,211.1 · 41.4% peak49,211.1 · 41.4% peak64,706.6 · 54.4% peak64,706.6 · 54.4% peak64,412.5 · 54.2% peak64,412.5 · 54.2% peak84,950.8 · 71.5% peak84,950.8 · 71.5% peak61,926.2 · 52.1% peak61,926.2 · 52.1% peak108,846.8 · 91.6% peak108,846.8 · 91.6% peak109,613.5 · 92.2% peak109,613.5 · 92.2% peak51,262.7 · 43.1% peak51,262.7 · 43.1% peak45,480.8 · 38.3% peak45,480.8 · 38.3% peak29,643.2 · 24.9% peak29,643.2 · 24.9% peak68,152.8 · 57.3% peak68,152.8 · 57.3% peak15,988.9 · 13.5% peak15,988.9 · 13.5% peak22,995.8 · 19.4% peak22,995.8 · 19.4% peak44,559.2 · 37.5% peak44,559.2 · 37.5% peak83,646.2 · 70.4% peak83,646.2 · 70.4% peak11,362.5 · 9.6% peak11,362.5 · 9.6% peak14,821.4 · 12.5% peak14,821.4 · 12.5% peak47,745.1 · 40.2% peak47,745.1 · 40.2% peak55,735.8 · 46.9% peak55,735.8 · 46.9% peak47,941.4 · 40.3% peak47,941.4 · 40.3% peak20,991.1 · 17.7% peak20,991.1 · 17.7% peak28,176.3 · 23.7% peak28,176.3 · 23.7% peak118,839.6118,839.6 · 100.0% peak118,839.6 · 100.0% peak31,871.1 · 26.8% peak31,871.1 · 26.8% peak26,622 · 22.4% peak26,622 · 22.4% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 1309503 · peak 118840 · CV 0.58

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0004 · σ=0.0039 · skew=-0.40 (symmetric) · kurt=-0.29 (mesokurtic)43210 1-96.52bpbin -96.52bp · n=1 · 25.0% peakbin -96.52bp · n=1 · 25.0% peak-82.92bp 1-69.33bpbin -69.33bp · n=1 · 25.0% peakbin -69.33bp · n=1 · 25.0% peak 1-55.73bpbin -55.73bp · n=1 · 25.0% peakbin -55.73bp · n=1 · 25.0% peak 1-42.14bpbin -42.14bp · n=1 · 25.0% peakbin -42.14bp · n=1 · 25.0% peak 3-28.54bpbin -28.54bp · n=3 · 75.0% peakbin -28.54bp · n=3 · 75.0% peak 4-14.95bpbin -14.95bp · n=4 · 100.0% peakbin -14.95bp · n=4 · 100.0% peak 4-1.35bpbin -1.35bp · n=4 · 100.0% peakbin -1.35bp · n=4 · 100.0% peak 112.24bpbin 12.24bp · n=1 · 25.0% peakbin 12.24bp · n=1 · 25.0% peak 325.84bpbin 25.84bp · n=3 · 75.0% peakbin 25.84bp · n=3 · 75.0% peak 239.43bpbin 39.43bp · n=2 · 50.0% peakbin 39.43bp · n=2 · 50.0% peak 353.03bpbin 53.03bp · n=3 · 75.0% peakbin 53.03bp · n=3 · 75.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 10 · negative 14
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=-0.52 · kurt=0.12 · near 22 / mid 2 / far 0 · OLS slope=1.01 intercept=-0.00APPROXIMATELY NORMALUPPER TAIL NORMALMILDLY HEAVY LOWER-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
$0.2616
Mid price
$0.2617
24h change
-0.41%
Mark–mid spread
3.82 bps
Prev-day close
$0.2627

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25APPROXIMATELY NORMAL · WELL-BEHAVED
μ MEAN0.2634$95% CI: [0.2629$, 0.2639$]
σ STD DEV0.0013$σ² = 0.016×10⁻⁴ · CV = 0.48%
med MEDIAN0.2634$Q₁ 0.2628$ · Q₃ 0.2639$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0055$ · IQR 0.0011$ (1.349σ→0.0017$)
min 0.2611$Q₁ 0.2628$med 0.2634$Q₃ 0.2639$max 0.2666$μ
SKEWNESS · G₁0.262approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-0.070mesokurtic · normal-like
−30+2+4+6
μ ↔ median≈ equal · symmetric|μ−med| / σ = 0.02
σ × 1.349 ↔ IQRdiverges from normalratio = 1.54
range ↔ σwide tails (range > 4σ)range / σ = 4.30
μ = mean · σ = standard deviation · CV = coefficient of variation. Skew (G₁): >0 right-skewed. Kurt (G₂, excess): >0 leptokurtic. 95% CI = μ ± 1.96·SE.

§5 · Returns analytics (log-returns)

Risk-adjusted performance · log-returns
RETURNS · RISK-ADJUSTEDUNPROFITABLE · SR=-8.98
μᵣ MEAN / h-0.037751%drift is negative per h · |μ|/σ = 0.096
σᵣ STD / h0.393516%σ²ᵣ = 0.155×10⁻⁴ · CV = 10.42×
σ ANNUALISED36.83%/yrscaled by √8760 (hourly→yearly) · 0.394%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-8.98negative edge
-2-10+1+2+3+4
SORTINO (annualised)-8.72downside 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 · G₁-0.55left-skewed · heavy negative tail
-3-10+1+3
EXCESS KURTOSIS · G₂0.45mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.97
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-330.70%/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 RISKELEVATED · 95% VaR 0.64%
VaR₉₅ (h)0.639%5% prob of larger adverse h move
VaR₉₉ (h)0.944%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.840%expected loss given 5% tail event
MAX DRAWDOWN2.04%16h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.639%VaR₉₉−0.944%ES₉₅−0.840%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 16h duration
PEAK26.66$
−2.04% drawdown over 16h
26.11$TROUGH
ES / VaR · TAIL THICKNESSmild tail heaviness|ES₉₅| / |VaR₉₅| = 1.31× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONmoderate extreme-tail concentrationratio = 1.48× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +2.09% (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
0.125 · within band
Bollinger upper
$0.2649
Bollinger MA
$0.2629
Bollinger lower
$0.2610

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.37 + ADF rejected
ρ(1) AUTOCORR-0.370within white-noise band
ρ(2) AUTOCORR-0.013lag-2 not significant
H · HURST EXPONENT0.944strongly persistent
OLS TREND · t-STAT-6.148significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.944
H = 0.944STRONGLY 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=1-0.370k=2-0.013k=3-0.034k=4-0.039k=5-0.2800+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|=6.15)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.37 + 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|=6.15)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)
$345.14k
Open interest (USD)
$4.66M
Vol / OI (turnover)
0.07x
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 0.60% · worst -1.03% · typical |Δ| 0.30%MILD BEARISH -0.91%BEST+0.60%15hWORST-1.03%16hTYPICAL |Δ|0.30%mean absoluteCUMULATIVE-0.91%Σ signed ΔSTREAK↘ 2down-runASIA · 00-08 UTCμ -0.09% · Σ -0.72%EUROPE · 08-16 UTCμ +0.14% · Σ +1.16%US · 16-24 UTCμ -0.17% · Σ -1.34%CUMULATIVE Δ PATH · final -0.91%+1.02%-1.05%0.40% · 12h0.40% · 12h0.40%12h-0.10% · 13h-0.10% · 13h-0.10%13h0.12% · 14h0.12% · 14h0.12%14h0.60% · 15h0.60% · 15h0.60%15h★ BEST-1.03% · 16h-1.03% · 16h-1.03%16h▼ WORST-0.13% · 17h-0.13% · 17h-0.13%17h-0.04% · 18h-0.04% · 18h-0.04%18h-0.02% · 19h-0.02% · 19h-0.02%19h-0.08% · 20h-0.08% · 20h-0.08%20h0.52% · 21h0.52% · 21h0.52%21h-0.29% · 22h-0.29% · 22h-0.29%22h-0.27% · 23h-0.27% · 23h-0.27%23h0.03% · 00h0.03% · 00h0.03%00h0.21% · 01h0.21% · 01h0.21%01h-0.22% · 02h-0.22% · 02h-0.22%02h0.48% · 03h0.48% · 03h0.48%03h-0.59% · 04h-0.59% · 04h-0.59%04h0.23% · 05h0.23% · 05h0.23%05h-0.65% · 06h-0.65% · 06h-0.65%06h-0.21% · 07h-0.21% · 07h-0.21%07h0.24% · 08h0.24% · 08h0.24%08h0.33% · 09h0.33% · 09h0.33%09h-0.42% · 10h-0.42% · 10h-0.42%10h-0.01% · 11h-0.01% · 11h-0.01%11hTIME PATTERNEurope-led (+1.16%)RUNSup max 2 · down max 5BREADTH42% up · 58% down
10 up bars · 14 down · best 0.60% · worst -1.03% · typical |Δ| 0.301%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-0.92%)FINAL-0.92%MAX DD-2.06%RECOVERYONGOING · 20 barsMAX RUN-UP+1.02%UNDERWATER21/25 (84%)STREAK↘ 2EQUITY CURVE · end 0.9908 · peak 1.0102 · range [0.9894, 1.0102]1.01020.9894break-even = 1★ PEAK 1.0102UNDERWATER DRAWDOWN · max -2.06% · moderate0%-2.06%▼ TROUGH -2.06%TOP DRAWDOWN PERIODS · 2 total#1 -2.06%bar 6-25 · 20 bars · ONGOING#2 -0.10%bar 3-3 · 1 bars · recoveredDD SEVERITYmoderate (max -2.06%)RECOVERYongoing · 20 barsTIME UNDER WATER84% of session · 21/25 bars
final equity 0.9908 (-0.92%) · max DD -2.06% · time-under-water 21/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +2 / −17 (11% positive) · μ=-12.92 · σ=11.24UNPROFITABLE STRATEGYLAST -29.51 (-1.48σ vs μ)33.5616.780.00-16.78-33.56μ = -12.92-4.05-4.05-17.11-17.11-14.76-14.76-21.12-21.12-24.29-24.29-2.34-2.34-9.26-9.26-5.82-5.825.935.93-1.10-1.10-3.23-3.23-14.94-14.945.445.44-18.00-18.00-33.56-33.56-16.35-16.35-23.07-23.07-18.23-18.23-29.51-29.51v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -29.513 · range [-33.56, 5.93] · μ -12.915 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=38.6293 · σ=8.8354 · range [25.9632, 53.2949] · R²=0.084▼ FALLING -33.51%σ EXTREME 22.87%LAST 35.438453.294946.462039.629032.796125.9632μ = 38.6293max 53.2949min 25.9632dataMA(3)OLS R²=0.08μ lineμ ± σ bandmaxmin
latest 35.44% · range [25.96%, 53.29%] · μ 38.63% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +2 / −17 (11% positive) · μ=-0.349 · σ=0.225MEAN-REVERSIONLAST 0.017 (+1.63σ vs μ)0.7820.3910.000-0.391-0.782μ = -0.349-0.290-0.290-0.332-0.332-0.325-0.325-0.462-0.4620.0380.038-0.484-0.484-0.262-0.262-0.291-0.291-0.252-0.252-0.238-0.238-0.169-0.169-0.572-0.572-0.782-0.782-0.677-0.677-0.656-0.656-0.532-0.532-0.183-0.183-0.184-0.1840.0170.017v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 0.017 · |ρ| > 0.3 ⇒ regime with persistence (ρ > 0) or reversal (ρ < 0) · |ρ| ≤ 0.1 = consistent with random walk

§14 · Hypothesis tests (α = 0.05)

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

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
1.4307
p-VALUE (log scale)
0.4890
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
6.3748
p-VALUE (log scale)
0.2706
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
-1.8389
p-VALUE (log scale)
0.3719
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
0.5732
p-VALUE (log scale)
0.5665
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
0.7331
p-VALUE (log scale)
0.0105
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
-1.6486
p-VALUE (log scale)
0.0992
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.498 ≈ 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=1.79e-5 · top T=2.00h (33.9%) · top-3 cover 70.3%2 SIGNIFICANT CYCLEScumulative energy ↗ (2 bins above 2× noise)7.3e-55.4e-53.6e-51.8e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 2.99e-7 · 0.1% energyperiod 24.0 · power 2.99e-7 · 0.1% energyperiod 12.0 · power 9.02e-6 · 4.2% energyperiod 12.0 · power 9.02e-6 · 4.2% energyperiod 8.0 · power 3.52e-6 · 1.6% energyperiod 8.0 · power 3.52e-6 · 1.6% energyperiod 6.0 · power 2.47e-5 · 11.5% energyperiod 6.0 · power 2.47e-5 · 11.5% energyperiod 4.8 · power 2.62e-6 · 1.2% energyperiod 4.8 · power 2.62e-6 · 1.2% energyperiod 4.0 · power 1.84e-6 · 0.9% energyperiod 4.0 · power 1.84e-6 · 0.9% energyperiod 3.4 · power 2.39e-5 · 11.2% energyperiod 3.4 · power 2.39e-5 · 11.2% energyperiod 3.0 · power 5.34e-5 · 24.9% energyperiod 3.0 · power 5.34e-5 · 24.9% energyperiod 2.7 · power 5.50e-8 · 0.0% energyperiod 2.7 · power 5.50e-8 · 0.0% energyperiod 2.4 · power 1.98e-5 · 9.2% energyperiod 2.4 · power 1.98e-5 · 9.2% energyperiod 2.2 · power 2.68e-6 · 1.2% energyperiod 2.2 · power 2.68e-6 · 1.2% energyperiod 2.0 · power 7.26e-5 · 33.9% energyperiod 2.0 · power 7.26e-5 · 33.9% energy50% by T=3.0h#1 dominantT=2.00h#2T=3.00h#3T=6.00hT=2hT=3hT=4hT=6hT=8hT=12hT=16hT=24h← shorter cycle (high freq · Nyquist=½) · period T (bars per cycle) · longer cycle (low freq · 1/n) →#1 dominant#2 peak#3 peak> 2× noisenoiseμ floor2μ sig.cum energy
dominant period ≈ 2.00h (freq 0.500) · concentrates 33.9% of total energy · Σ|X̂|²/n = 2.144e-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 0.02%
μ per barmean
-0.000%
σ per barvol
0.02%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-55.79×
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 -30.05400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.013
annualized -30.05
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.00%
per-bar worst-case
CVaR 95%ES
0.00%
mean tail loss
Max DD (median)MDD
-0.0%
0.95×0.97×0.99×1.01×1.03×1.05×0120240360480600720startbar #equity multiple
median25/75 band5/95 band
Median path with 25/75 and 5/95 percentile bands across 400 simulated careers. Bars resample with replacement from the observed return distribution — preserves fat tails the parametric model misses.

§19 · Annualized breakdown

Annualized return components
APR -949% · APY -100% · Sharpe -23.01σ ann 41% · Sortino -14.81 · n 4999
-2761%-2199%-1637%-1075%-513%49%-948.7%APR (simple)-100.0%APY (compound)41.2%Ann. vol σ-2300.6%Sharpe (ann)-1481.0%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%
0.2500.2550.2610.2660.2710.276t-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 11:01:21 UTC
Snapshot age
1.5s
History points
25 hourly closes
Page rendered
2026-06-14 11:01:23 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
5d3febab8e9544b38442c4253dce1ce9b6ea1275e6579fc296e341eead3c4881 · 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
$5.23K
bid $3.31K · ask $1.92K
Depth within 10bp
$20.97K
bid $11.62K · ask $9.34K
Depth within 50bp
$98.80K
bid $65.71K · ask $33.09K
Mid price
0.261715
(best bid + best ask) / 2
Spread
3.4bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.331
bid-heavy
Imbalance (top-5)
+0.156
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-ldo/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.2617782.41bp0.2617902FILLED
BUY$10.00K0.2618726.01bp0.2619909FILLED
BUY$100.00K0.26204012.41bp0.26226020PARTIAL
SELL$1.00K0.2616641.95bp0.2616602FILLED
SELL$10.00K0.2615536.18bp0.2615006FILLED
SELL$100.00K0.26128716.35bp0.26112020PARTIAL

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-ldo/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$1.31M

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

Order flow

▸ BALANCED · -0.007 · Hyperliquid candles
Bars (buy / sell)
10 / 14
1 unclassified
Buy weight
$625.51K
real volume
Sell weight
$634.78K
real volume
Net delta
$9.26K
sellers net
Imbalance
-0.73%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
0.7%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 4 found · deepest 1.21% · 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
#12026-06-14 06:00:00Z2.0h0.264330→0.2611301.211%3
#22026-06-13 16:00:00Z2.0h0.266580→0.2633901.197%3
#32026-06-14 04:00:00Z0ms0.264330→0.2627700.590%1

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
41.24%
σ per bar = 0.000180
Mean return (annualised)
-948.71%
μ per bar = -0.000002
Sharpe (rf=0)
-23.01
annualised; risk-free assumed zero
Max drawdown
1.86%
peak 0.27 → trough 0.26 over 2948 bars

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