HYPERLIQUID · PERPETUAL FUTURES

MORPHO

MORPHO-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-morpho · fresh · feed 4s old
24h sparkline · 60 pts▼ -0.66%
realized vol (ann.)
42.83%
max drawdown
1.06%
sharpe
-31.82
ulcer index
0.57%
RMS drawdown
pain index
0.51%
mean drawdown
mod. VaR 95%
0.02%
Cornish-Fisher
martin ratio
-2379.93
ret / ulcer
CDaR 95%
0.93%
cond. drawdown
gain/pain
0.94
Σgain / Σ|loss|
sterling
-1459.29
ret / CDaR
omega (θ=0)
0.94
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-0.66%
flow lean
—
carry
shorts_pay
-10.54%
signalNEUTRALconfidence 38%
  • funding: shorts pay — perp longs get paid to wait
  • mark cheap vs HL oracle by 13.4bps — long bias
Same bundle via M2M API: /api/m2m/hl-morpho/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH3.5s⏱--:--:-- 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
$1.943
24h Δ · live
-0.66%
24h vol · live
$0.7M
MORPHO · live 24h price
n=24 · μ=1.9481 · σ=0.0073 · range [1.9327, 1.9595] · R²=0.003▼ FALLING -0.81%σ LOW 0.38%LAST 1.94321.95951.95281.94611.93941.9327μ = 1.9481max 1.9595min 1.9327dataMA(4)OLS R²=0.00μ lineμ ± σ bandmaxminlive endpoint
24 closes · last $1.94
Funding direction · live
Long fee 48.0%Short fee 52.0%SHORT FEE52.0%
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
48.0%▬ +0.00pp
Short fee
52.0%▬ +0.00pp
1h funding -0.001203% · shorts pay
Hourly contract volume · live
n=24 · Σ=374,812 · μ=15617.2 · σ=24450.0 · CV=1.57BURSTY · concentratedcumulative energy ↗ · 50% by h=5030,91061,82092,730123,640μ = 15617123,640.350%h1h5h9h13h17h21#1 peak#2-3> μactivequietμ linecum energy
peak 123640 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
3.5s
$mark $
$1.9429
$mid $
$1.9429
◉prev-day close
$1.9558
Δ24h Δ %
-0.660%
$24h vol $
$731.59k
◐open interest $
$4.21M
%funding (1h)
-0.001203%
%funding (yr)
-10.54%/yr

§1 · 24h time-series

Close price · hourly
n=24 · μ=1.9481 · σ=0.0073 · range [1.9327, 1.9595] · R²=0.003▼ FALLING -0.81%σ LOW 0.38%LAST 1.94321.95951.95281.94611.93941.9327μ = 1.9481max 1.9595min 1.9327dataMA(4)OLS R²=0.00μ lineμ ± σ bandmaxmin
mark $1.9429 · 24h -0.66% · range $[1.9327, 1.9595]
OHLC candles · hourly
n=24 · up 11 · down 13 (46% up) · range [1.9222, 1.9804] · σ=0.0073 · CV=0.00 · bodyµ=41%BEARISH -0.64%CLOSE 1.9432 vs OPEN 1.9558 (-0.64%)&#9660; CLOSE 1.94321.98041.96581.95131.93671.9222μ close = 1.9481O1.956 H1.967 L1.953 C1.959 (+0.16%)O1.956 H1.967 L1.953 C1.959 (+0.16%)O1.958 H1.959 L1.942 C1.942 (-0.81%)O1.958 H1.959 L1.942 C1.942 (-0.81%)O1.942 H1.980 L1.938 C1.943 (+0.04%)O1.942 H1.980 L1.938 C1.943 (+0.04%)O1.943 H1.953 L1.936 C1.941 (-0.07%)O1.943 H1.953 L1.936 C1.941 (-0.07%)O1.942 H1.950 L1.933 C1.947 (+0.28%)O1.942 H1.950 L1.933 C1.947 (+0.28%)O1.946 H1.958 L1.934 C1.956 (+0.52%)O1.946 H1.958 L1.934 C1.956 (+0.52%)O1.954 H1.955 L1.944 C1.948 (-0.29%)O1.954 H1.955 L1.944 C1.948 (-0.29%)O1.948 H1.948 L1.922 C1.933 (-0.79%)O1.948 H1.948 L1.922 C1.933 (-0.79%)O1.933 H1.946 L1.927 C1.943 (+0.52%)O1.933 H1.946 L1.927 C1.943 (+0.52%)O1.942 H1.956 L1.942 C1.951 (+0.46%)O1.942 H1.956 L1.942 C1.951 (+0.46%)O1.952 H1.960 L1.941 C1.950 (-0.09%)O1.952 H1.960 L1.941 C1.950 (-0.09%)O1.954 H1.961 L1.950 C1.952 (-0.10%)O1.954 H1.961 L1.950 C1.952 (-0.10%)O1.954 H1.960 L1.951 C1.958 (+0.25%)O1.954 H1.960 L1.951 C1.958 (+0.25%)O1.958 H1.962 L1.954 C1.960 (+0.06%)O1.958 H1.962 L1.954 C1.960 (+0.06%)O1.960 H1.971 L1.946 C1.948 (-0.59%)O1.960 H1.971 L1.946 C1.948 (-0.59%)O1.948 H1.950 L1.939 C1.944 (-0.23%)O1.948 H1.950 L1.939 C1.944 (-0.23%)O1.944 H1.952 L1.936 C1.940 (-0.21%)O1.944 H1.952 L1.936 C1.940 (-0.21%)O1.939 H1.946 L1.934 C1.937 (-0.07%)O1.939 H1.946 L1.934 C1.937 (-0.07%)1.1%O1.938 H1.964 L1.938 C1.959 (+1.08%)O1.938 H1.964 L1.938 C1.959 (+1.08%)O1.957 H1.963 L1.949 C1.950 (-0.35%)O1.957 H1.963 L1.949 C1.950 (-0.35%)O1.950 H1.957 L1.946 C1.953 (+0.19%)O1.950 H1.957 L1.946 C1.953 (+0.19%)O1.955 H1.956 L1.941 C1.944 (-0.57%)O1.955 H1.956 L1.941 C1.944 (-0.57%)O1.942 H1.962 L1.941 C1.952 (+0.53%)O1.942 H1.962 L1.941 C1.952 (+0.53%)O1.952 H1.958 L1.939 C1.943 (-0.48%)O1.952 H1.958 L1.939 C1.943 (-0.48%)#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=374,812 · μ=15617.2 · σ=24450.0 · CV=1.57BURSTY · concentratedcumulative energy &nearr; · 50% by h=5030,91061,82092,730123,640μ = 1561735,711.5 · 28.9% peak35,711.5 · 28.9% peak14,192.4 · 11.5% peak14,192.4 · 11.5% peak123,640.3123,640.3 · 100.0% peak123,640.3 · 100.0% peak10,960.2 · 8.9% peak10,960.2 · 8.9% peak8,750.1 · 7.1% peak8,750.1 · 7.1% peak6,843.3 · 5.5% peak6,843.3 · 5.5% peak2,709.6 · 2.2% peak2,709.6 · 2.2% peak9,156.4 · 7.4% peak9,156.4 · 7.4% peak7,245.7 · 5.9% peak7,245.7 · 5.9% peak8,289.8 · 6.7% peak8,289.8 · 6.7% peak8,290.2 · 6.7% peak8,290.2 · 6.7% peak3,550.9 · 2.9% peak3,550.9 · 2.9% peak2,712.5 · 2.2% peak2,712.5 · 2.2% peak5,650 · 4.6% peak5,650 · 4.6% peak12,649.9 · 10.2% peak12,649.9 · 10.2% peak7,151.4 · 5.8% peak7,151.4 · 5.8% peak3,372.4 · 2.7% peak3,372.4 · 2.7% peak19,663.4 · 15.9% peak19,663.4 · 15.9% peak10,472.9 · 8.5% peak10,472.9 · 8.5% peak6,586.9 · 5.3% peak6,586.9 · 5.3% peak3,305.4 · 2.7% peak3,305.4 · 2.7% peak13,287.8 · 10.7% peak13,287.8 · 10.7% peak29,299 · 23.7% peak29,299 · 23.7% peak21,320.1 · 17.2% peak21,320.1 · 17.2% peak50%#1#5#9#13#17#21#1 peak#2-3> μactivequietμ linecum energy
Σ vol 374812 · peak 123640 · CV 1.57

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=23 · 12 bins · μ=-0.0005 · σ=0.0046 · skew=0.28 (symmetric) · kurt=-0.63 (mesokurtic)43210 2-78.95bpbin -78.95bp · n=2 · 50.0% peakbin -78.95bp · n=2 · 50.0% peak 1-62.53bpbin -62.53bp · n=1 · 25.0% peakbin -62.53bp · n=1 · 25.0% peak 4-46.11bpbin -46.11bp · n=4 · 100.0% peakbin -46.11bp · n=4 · 100.0% peak 2-29.69bpbin -29.69bp · n=2 · 50.0% peakbin -29.69bp · n=2 · 50.0% peak 3-13.28bpbin -13.28bp · n=3 · 75.0% peakbin -13.28bp · n=3 · 75.0% peak 33.14bpbin 3.14bp · n=3 · 75.0% peakbin 3.14bp · n=3 · 75.0% peak 119.56bpbin 19.56bp · n=1 · 25.0% peakbin 19.56bp · n=1 · 25.0% peak 335.98bpbin 35.98bp · n=3 · 75.0% peakbin 35.98bp · n=3 · 75.0% peak 352.39bpbin 52.39bp · n=3 · 75.0% peakbin 52.39bp · n=3 · 75.0% peak68.81bp85.23bp 1101.65bpbin 101.65bp · n=1 · 25.0% peakbin 101.65bp · n=1 · 25.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=23 · positive 11 · negative 12
Q-Q plot · standardised rₜ vs N(0,1)
n=23 · skew=0.27 · kurt=-0.22 · near 22 / mid 1 / far 0 · OLS slope=1.02 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
$1.9429
Mid price
$1.9429
24h change
-0.66%
Mark–mid spread
0.26 bps
Prev-day close
$1.9558

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=24APPROXIMATELY NORMAL · WELL-BEHAVED
μ MEAN1.9481$95% CI: [1.9452$, 1.9510$]
σ STD DEV0.0073$σ² = 0.536×10⁻⁴ · CV = 0.38%
med MEDIAN1.9482$Q₁ 1.9431$ · Q₃ 1.9527$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0268$ · IQR 0.0096$ (1.349σ→0.0099$)
min 1.9327$Q₁ 1.9431$med 1.9482$Q₃ 1.9527$max 1.9595$μ
SKEWNESS · G₁-0.077approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-0.943mesokurtic · normal-like
−30+2+4+6
μ ↔ median≈ equal · symmetric|μ−med| / σ = 0.01
σ × 1.349 ↔ IQRconsistent with normalratio = 1.03
range ↔ σconcentrated (range < 4σ)range / σ = 3.66
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=-6.95
μᵣ MEAN / h-0.035209%drift is negative per h · |μ|/σ = 0.074
σᵣ STD / h0.474107%σ²ᵣ = 0.225×10⁻⁴ · CV = 13.47×
σ ANNUALISED44.37%/yrscaled by √8760 (hourly→yearly) · 0.474%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-6.95negative edge
-2-10+1+2+3+4
SORTINO (annualised)-7.02downside 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 · G₁0.29approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.04mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.01
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-308.43%/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 0.76%
VaR₉₅ (h)0.757%5% prob of larger adverse h move
VaR₉₉ (h)0.851%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.825%expected loss given 5% tail event
MAX DRAWDOWN1.34%7h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.757%VaR₉₉−0.851%ES₉₅−0.825%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 7h duration
PEAK195.90$
−1.34% drawdown over 7h
193.27$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.09× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.12× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +1.36% (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)
45.1 · neutral
Bollinger %B
0.318 · within band
Bollinger upper
$1.9630
Bollinger MA
$1.9485
Bollinger lower
$1.9340

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ADF rejects unit root
ρ(1) AUTOCORR-0.191within white-noise band
ρ(2) AUTOCORR-0.120lag-2 not significant
H · HURST EXPONENT0.657persistent
OLS TREND · t-STAT+0.255fails 5% test
HURST EXPONENT [0, 1]persistent · H = 0.657
H = 0.657PERSISTENT
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=1-0.191k=2-0.120k=3-0.235k=4+0.059k=5-0.0720+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]NOT SIGNIFICANT (|t|=0.25)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ADF rejects unit rootfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.50high · clear structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCENOT SIGNIFICANT (|t|=0.25)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)
$731.59k
Open interest (USD)
$4.21M
Vol / OI (turnover)
0.17x
1h funding
-0.001203%
Funding (annualised)
-10.54%/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 1.10% · worst -0.87% · typical |Δ| 0.38%MILD BEARISH -0.81%BEST+1.10%05hWORST-0.87%12hTYPICAL |Δ|0.38%mean absoluteCUMULATIVE-0.81%Σ signed ΔSTREAK↘ 1down-runASIA · 00-08 UTCμ -0.03% · Σ -0.26%EUROPE · 08-16 UTCμ -0.16% · Σ -1.12%US · 16-24 UTCμ +0.07% · Σ +0.57%CUMULATIVE Δ PATH · final -0.81%+0.03%-1.35%-0.87% · 12h-0.87% · 12h-0.87%12h▼ WORST0.04% · 13h0.04% · 13h0.04%13h-0.07% · 14h-0.07% · 14h-0.07%14h0.30% · 15h0.30% · 15h0.30%15h0.45% · 16h0.45% · 16h0.45%16h-0.43% · 17h-0.43% · 17h-0.43%17h-0.78% · 18h-0.78% · 18h-0.78%18h0.55% · 19h0.55% · 19h0.55%19h0.42% · 20h0.42% · 20h0.42%20h-0.08% · 21h-0.08% · 21h-0.08%21h0.11% · 22h0.11% · 22h0.11%22h0.33% · 23h0.33% · 23h0.33%23h0.06% · 00h0.06% · 00h0.06%00h-0.56% · 01h-0.56% · 01h-0.56%01h-0.23% · 02h-0.23% · 02h-0.23%02h-0.24% · 03h-0.24% · 03h-0.24%03h-0.11% · 04h-0.11% · 04h-0.11%04h1.10% · 05h1.10% · 05h1.10%05h★ BEST-0.42% · 06h-0.42% · 06h-0.42%06h0.15% · 07h0.15% · 07h0.15%07h-0.49% · 08h-0.49% · 08h-0.49%08h0.45% · 09h0.45% · 09h0.45%09h-0.48% · 10h-0.48% · 10h-0.48%10hTIME PATTERNUS-led (+0.57%)RUNSup max 3 · down max 4BREADTH48% up · 52% down
11 up bars · 12 down · best 1.10% · worst -0.87% · typical |Δ| 0.379%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=24 barsLOSS · SHALLOW DD (-0.83%)FINAL-0.83%MAX DD-1.35%RECOVERYONGOING · 12 barsMAX RUN-UP+0.01%UNDERWATER22/24 (92%)STREAK↘ 1EQUITY CURVE · end 0.9917 · peak 1.0001 · range [0.9865, 1.0001]1.00010.9865break-even = 1★ PEAK 1.0001UNDERWATER DRAWDOWN · max -1.35% · moderate0%-1.35%▼ TROUGH -1.35%TOP DRAWDOWN PERIODS · 2 total#1 -1.35%bar 2-13 · 12 bars · recovered#2 -1.14%bar 15-24 · 10 bars · ONGOINGDD SEVERITYmoderate (max -1.35%)RECOVERYongoing · 23 barsTIME UNDER WATER92% of session · 22/24 bars
final equity 0.9917 (-0.83%) · max DD -1.35% · time-under-water 22/24 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +10 / −9 (53% positive) · μ=1.81 · σ=39.32MIXED EDGELAST -34.32 (-0.92σ vs μ)98.5149.260.00-49.26-98.51μ = 1.81-5.39-5.3916.3716.37-19.20-19.203.123.126.536.53-10.83-10.837.557.5598.5198.5176.0276.02-8.35-8.35-15.88-15.88-35.31-35.31-89.47-89.47-1.19-1.192.972.9714.7614.766.296.2922.2222.22-34.32-34.32v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -34.325 · range [-89.47, 98.51] · μ 1.810 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=43.9350 · σ=14.3724 · range [19.1339, 61.6218] · R²=0.029▼ FALLING -15.73%σ EXTREME 32.71%LAST 40.552561.621850.999840.377829.755919.1339μ = 43.9350max 61.6218min 19.1339dataMA(3)OLS R²=0.03μ lineμ ± σ bandmaxmin
latest 40.55% · range [19.13%, 61.62%] · μ 43.94% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +8 / −11 (42% positive) · μ=-0.155 · σ=0.303CLOSE TO MARTINGALELAST -0.776 (-2.05σ vs μ)0.7760.3880.000-0.388-0.776μ = -0.1550.0790.079-0.266-0.2660.2690.269-0.098-0.098-0.023-0.0230.0850.085-0.257-0.2570.1340.134-0.452-0.4520.0630.0630.2870.2870.1280.128-0.453-0.4530.0480.048-0.349-0.349-0.481-0.481-0.462-0.462-0.421-0.421-0.776-0.776v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.776 · |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
0.3200
p-VALUE (log scale)
0.8522
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
3.2023
p-VALUE (log scale)
0.6714
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedconsistent with white noise
Ψ

Dickey-Fuller (τ_μ)

REJECT H₀**

H₀: p has a unit root (non-stationary)

STATISTIC
-3.9836
p-VALUE (log scale)
0.0019
α
10⁻⁴10⁻³10⁻²10⁻¹1
p < α · rejection zonestationary · mean-reverting (crit ≈ -2.86)
±

Wald-Wolfowitz runs

FAIL TO REJECTns

H₀: Sign sequence of Δ is random

STATISTIC
1.0785
p-VALUE (log scale)
0.2808
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (15 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.0627
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=2

FAIL TO REJECTns

H₀: Δln-r is a random walk · VR = 1

STATISTIC
-1.2224
p-VALUE (log scale)
0.2215
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.745 ≈ 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=2.25e-5 · top T=4.60h (24.2%) · top-3 cover 60.6%2 SIGNIFICANT CYCLEScumulative energy ↗ (2 bins above 2× noise)6.0e-54.5e-53.0e-51.5e-50.0e+0μ noise floor2× noise (significance)period 23.0 · power 4.96e-6 · 2.0% energyperiod 23.0 · power 4.96e-6 · 2.0% energyperiod 11.5 · power 9.52e-6 · 3.9% energyperiod 11.5 · power 9.52e-6 · 3.9% energyperiod 7.7 · power 3.90e-5 · 15.8% energyperiod 7.7 · power 3.90e-5 · 15.8% energyperiod 5.8 · power 6.18e-6 · 2.5% energyperiod 5.8 · power 6.18e-6 · 2.5% energyperiod 4.6 · power 5.99e-5 · 24.2% energyperiod 4.6 · power 5.99e-5 · 24.2% energyperiod 3.8 · power 9.80e-7 · 0.4% energyperiod 3.8 · power 9.80e-7 · 0.4% energyperiod 3.3 · power 5.10e-5 · 20.6% energyperiod 3.3 · power 5.10e-5 · 20.6% energyperiod 2.9 · power 4.41e-6 · 1.8% energyperiod 2.9 · power 4.41e-6 · 1.8% energyperiod 2.6 · power 2.21e-5 · 8.9% energyperiod 2.6 · power 2.21e-5 · 8.9% energyperiod 2.3 · power 3.26e-5 · 13.2% energyperiod 2.3 · power 3.26e-5 · 13.2% energyperiod 2.1 · power 1.67e-5 · 6.7% energyperiod 2.1 · power 1.67e-5 · 6.7% energy50% by T=3.3h#1 dominantT=4.60h#2T=3.29h#3T=7.67hT=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 ≈ 4.60h (freq 0.217) · concentrates 24.2% of total energy · Σ|X̂|²/n = 2.473e-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 -3.62× · 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
-3.62×
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 -2.83400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.001
annualized -2.83
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 -70% · APY -55% · Sharpe -1.60σ ann 44% · Sortino -0.88 · n 4999
-192%-143%-94%-45%4%53%-70.4%APR (simple)-55.1%APY (compound)44.1%Ann. vol σ-159.6%Sharpe (ann)-88.4%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%
1.8561.8941.9311.9692.0062.044t-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 11:00:20 UTC
Snapshot age
3.5s
History points
24 hourly closes
Page rendered
2026-06-14 11:00:24 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
7615a04f054fb64d239bb4535374c83d11695a482ab5423beab658bf9fe71209 · 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
$4.50K
bid $2.39K · ask $2.11K
Depth within 10bp
$12.69K
bid $7.69K · ask $5.00K
Depth within 50bp
$55.25K
bid $31.88K · ask $23.37K
Mid price
1.942700
(best bid + best ask) / 2
Spread
3.1bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.156
bid-heavy
Imbalance (top-5)
-0.199
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-morpho/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K1.94332.96bp1.94352FILLED
BUY$10.00K1.944911.26bp1.94649FILLED
BUY$100.00K1.946821.32bp1.949520PARTIAL
SELL$1.00K1.94232.00bp1.94212FILLED
SELL$10.00K1.94137.46bp1.93959FILLED
SELL$100.00K1.939417.20bp1.936320PARTIAL

Funding carry

▸ SHORTS PAY · longs receive
Hourly funding
-1.203e-5
-0.00120% / hr
Annualised APR
-10.546%
hourly · 24 · 365.25
Long: days to 1% carry
34.6d
longs receive
Short: days to 1% carry
34.6d
shorts pay
SideDirectionAnnualised carryDays → 1%Days → 10%
LONGRECEIVE10.546%34.6d346.3d
SHORTPAY-10.546%34.6d346.3d

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

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 24 records
Price binBarsVolumeDistribution
$1.0000–$2.0000★24$374.81K

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

Order flow

▸ BID-LEAN · +0.237 · Hyperliquid candles
Bars (buy / sell)
11 / 12
1 unclassified
Buy weight
$209.76K
real volume
Sell weight
$129.34K
real volume
Net delta
$80.42K
buyers net
Imbalance
23.72%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
23.7%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 5 found · deepest 1.20% · 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 18:00:00Z1.0h1.9561→1.93271.196%2
#22026-06-14 01:00:00Z3.0h1.9595→1.93731.133%4
#32026-06-13 12:00:00Z2.0h1.9590→1.94140.898%3

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
44.09%
σ per bar = 0.000192
Mean return (annualised)
-70.36%
μ per bar = -0.000000
Sharpe (rf=0)
-1.60
annualised; risk-free assumed zero
Max drawdown
1.26%
peak 1.96 → trough 1.94 over 3019 bars

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