HYPERLIQUID · PERPETUAL FUTURES

PENDLE

PENDLE-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-pendle · fresh · feed 1s old
24h sparkline · 60 pts▲ 0.90%
realized vol (ann.)
106.96%
max drawdown
3.60%
sharpe
-48.06
ulcer index
2.23%
RMS drawdown
pain index
1.86%
mean drawdown
mod. VaR 95%
0.00%
Cornish-Fisher
martin ratio
-2304.14
ret / ulcer
CDaR 95%
3.43%
cond. drawdown
gain/pain
0.91
Σgain / Σ|loss|
sterling
-1500.32
ret / CDaR
omega (θ=0)
0.91
upside/downside
roll spread
2.1 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
0.90%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 35%
  • funding: longs pay — perp shorts get paid to wait
  • mark cheap vs HL oracle by 5.3bps — long bias
Same bundle via M2M API: /api/m2m/hl-pendle/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH1.4s⏱--:--:-- 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
$1.332
24h Δ · live
0.90%
24h vol · live
$1.5M
PENDLE · live 24h price
n=25 · μ=1.3286 · σ=0.0112 · range [1.3168, 1.3608] · R²=0.275▲ RISING +0.35%σ LOW 0.85%LAST 1.33201.36081.34981.33881.32781.3168μ = 1.3286max 1.3608min 1.3168dataMA(5)OLS R²=0.28μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $1.33
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=1,120,011 · μ=44800.4 · σ=56599.1 · CV=1.26BURSTYcumulative energy ↗ · 50% by h=19044,72689,453134,179178,905μ = 44800178,90550%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 178905 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
1.4s
$mark $
$1.3318
$mid $
$1.3324
◉prev-day close
$1.3199
Δ24h Δ %
+0.902%
$24h vol $
$1.50M
◐open interest $
$7.54M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=1.3286 · σ=0.0112 · range [1.3168, 1.3608] · R²=0.275▲ RISING +0.35%σ LOW 0.85%LAST 1.33201.36081.34981.33881.32781.3168μ = 1.3286max 1.3608min 1.3168dataMA(5)OLS R²=0.28μ lineμ ± σ bandmaxmin
mark $1.3318 · 24h 0.90% · range $[1.3168, 1.3608]
OHLC candles · hourly
n=25 · up 14 · down 11 (56% up) · range [1.3098, 1.3766] · σ=0.0112 · CV=0.01 · bodyµ=43%BULLISH +0.92%CLOSE 1.3320 vs OPEN 1.3199 (+0.92%)&#9650; CLOSE 1.33201.37661.35991.34321.32651.3098μ close = 1.3286O1.320 H1.334 L1.317 C1.327 (+0.56%)O1.320 H1.334 L1.317 C1.327 (+0.56%)O1.329 H1.336 L1.321 C1.330 (+0.05%)O1.329 H1.336 L1.321 C1.330 (+0.05%)O1.329 H1.333 L1.322 C1.323 (-0.44%)O1.329 H1.333 L1.322 C1.323 (-0.44%)O1.325 H1.330 L1.322 C1.325 (+0.04%)O1.325 H1.330 L1.322 C1.325 (+0.04%)O1.324 H1.338 L1.321 C1.332 (+0.57%)O1.324 H1.338 L1.321 C1.332 (+0.57%)O1.331 H1.334 L1.310 C1.317 (-1.08%)O1.331 H1.334 L1.310 C1.317 (-1.08%)O1.317 H1.325 L1.313 C1.323 (+0.41%)O1.317 H1.325 L1.313 C1.323 (+0.41%)O1.322 H1.327 L1.318 C1.319 (-0.25%)O1.322 H1.327 L1.318 C1.319 (-0.25%)O1.320 H1.327 L1.314 C1.320 (+0.01%)O1.320 H1.327 L1.314 C1.320 (+0.01%)O1.321 H1.321 L1.315 C1.318 (-0.23%)O1.321 H1.321 L1.315 C1.318 (-0.23%)O1.318 H1.339 L1.317 C1.328 (+0.76%)O1.318 H1.339 L1.317 C1.328 (+0.76%)O1.329 H1.330 L1.322 C1.322 (-0.48%)O1.329 H1.330 L1.322 C1.322 (-0.48%)O1.321 H1.322 L1.317 C1.318 (-0.19%)O1.321 H1.322 L1.317 C1.318 (-0.19%)O1.320 H1.323 L1.316 C1.319 (-0.11%)O1.320 H1.323 L1.316 C1.319 (-0.11%)O1.320 H1.328 L1.317 C1.324 (+0.33%)O1.320 H1.328 L1.317 C1.324 (+0.33%)O1.323 H1.328 L1.310 C1.323 (+0.02%)O1.323 H1.328 L1.310 C1.323 (+0.02%)O1.322 H1.334 L1.316 C1.333 (+0.79%)O1.322 H1.334 L1.316 C1.333 (+0.79%)O1.332 H1.336 L1.319 C1.323 (-0.74%)O1.332 H1.336 L1.319 C1.323 (-0.74%)O1.323 H1.328 L1.315 C1.327 (+0.36%)O1.323 H1.328 L1.315 C1.327 (+0.36%)1.4%O1.328 H1.353 L1.328 C1.347 (+1.45%)O1.328 H1.353 L1.328 C1.347 (+1.45%)O1.348 H1.363 L1.339 C1.361 (+0.96%)O1.348 H1.363 L1.339 C1.361 (+0.96%)O1.362 H1.377 L1.351 C1.354 (-0.58%)O1.362 H1.377 L1.351 C1.354 (-0.58%)O1.353 H1.355 L1.327 C1.339 (-1.02%)O1.353 H1.355 L1.327 C1.339 (-1.02%)O1.341 H1.345 L1.332 C1.332 (-0.68%)O1.341 H1.345 L1.332 C1.332 (-0.68%)O1.332 H1.332 L1.332 C1.332 (+0.02%)O1.332 H1.332 L1.332 C1.332 (+0.02%)#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=1,120,011 · μ=44800.4 · σ=56599.1 · CV=1.26BURSTYcumulative energy &nearr; · 50% by h=19044,72689,453134,179178,905μ = 4480039,347 · 22.0% peak39,347 · 22.0% peak12,785 · 7.1% peak12,785 · 7.1% peak17,764 · 9.9% peak17,764 · 9.9% peak8,313 · 4.6% peak8,313 · 4.6% peak29,191 · 16.3% peak29,191 · 16.3% peak21,655 · 12.1% peak21,655 · 12.1% peak20,278 · 11.3% peak20,278 · 11.3% peak10,061 · 5.6% peak10,061 · 5.6% peak13,686 · 7.6% peak13,686 · 7.6% peak7,005 · 3.9% peak7,005 · 3.9% peak6,884 · 3.8% peak6,884 · 3.8% peak2,654 · 1.5% peak2,654 · 1.5% peak8,496 · 4.7% peak8,496 · 4.7% peak3,206 · 1.8% peak3,206 · 1.8% peak6,343 · 3.5% peak6,343 · 3.5% peak11,905 · 6.7% peak11,905 · 6.7% peak165,728 · 92.6% peak165,728 · 92.6% peak129,557 · 72.4% peak129,557 · 72.4% peak104,372 · 58.3% peak104,372 · 58.3% peak130,542 · 73.0% peak130,542 · 73.0% peak127,580 · 71.3% peak127,580 · 71.3% peak178,905178,905 · 100.0% peak178,905 · 100.0% peak38,769 · 21.7% peak38,769 · 21.7% peak24,545 · 13.7% peak24,545 · 13.7% peak440 · 0.2% peak440 · 0.2% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 1120011 · peak 178905 · CV 1.26

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0000 · σ=0.0062 · skew=0.24 (symmetric) · kurt=-0.53 (mesokurtic)54310 2-103.32bpbin -103.32bp · n=2 · 40.0% peakbin -103.32bp · n=2 · 40.0% peak 1-81.20bpbin -81.20bp · n=1 · 20.0% peakbin -81.20bp · n=1 · 20.0% peak 3-59.08bpbin -59.08bp · n=3 · 60.0% peakbin -59.08bp · n=3 · 60.0% peak 3-36.96bpbin -36.96bp · n=3 · 60.0% peakbin -36.96bp · n=3 · 60.0% peak 2-14.84bpbin -14.84bp · n=2 · 40.0% peakbin -14.84bp · n=2 · 40.0% peak 57.28bpbin 7.28bp · n=5 · 100.0% peakbin 7.28bp · n=5 · 100.0% peak 129.40bpbin 29.40bp · n=1 · 20.0% peakbin 29.40bp · n=1 · 20.0% peak 351.52bpbin 51.52bp · n=3 · 60.0% peakbin 51.52bp · n=3 · 60.0% peak 273.64bpbin 73.64bp · n=2 · 40.0% peakbin 73.64bp · n=2 · 40.0% peak 195.75bpbin 95.75bp · n=1 · 20.0% peakbin 95.75bp · n=1 · 20.0% peak117.87bp 1139.99bpbin 139.99bp · n=1 · 20.0% peakbin 139.99bp · n=1 · 20.0% 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=0.21 · kurt=-0.18 · near 23 / 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
$1.3318
Mid price
$1.3324
24h change
+0.90%
Mark–mid spread
4.13 bps
Prev-day close
$1.3199

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25STRONGLY RIGHT-SKEWED (G₁=1.41)
μ MEAN1.3286$95% CI: [1.3242$, 1.3330$]
σ STD DEV0.0112$σ² = 1.262×10⁻⁴ · CV = 0.85%
med MEDIAN1.3251$Q₁ 1.3223$ · Q₃ 1.3317$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0440$ · IQR 0.0094$ (1.349σ→0.0152$)
min 1.3168$Q₁ 1.3223$med 1.3251$Q₃ 1.3317$max 1.3608$μ
SKEWNESS · G₁1.415right-skewed
−3−10+1+3
EXCESS KURTOSIS · G₂1.296leptokurtic · fat tails
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.31
σ × 1.349 ↔ IQRdiverges from normalratio = 1.61
range ↔ σconcentrated (range < 4σ)range / σ = 3.92
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-ADJUSTEDEXCELLENT · SR=2.14
μᵣ MEAN / h+0.014728%drift is positive per h · |μ|/σ = 0.023
σᵣ STD / h0.645051%σ²ᵣ = 0.416×10⁻⁴ · CV = 43.80×
σ ANNUALISED60.37%/yrscaled by √8760 (hourly→yearly) · 0.645%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)2.14excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)2.19strong downside-adjusted
-2-10+1+2+3+4
CALMAR (return / max-DD)60.33exceptional DD control
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁0.23approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂0.08mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside ≈ total vol · symmetricSoR / SR = 1.03
CALMAR · DD CONTROLdrawdown control exceptionalCR = 60.33
EXPECTED EDGE+129.02%/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 1.07%
VaR₉₅ (h)1.069%5% prob of larger adverse h move
VaR₉₉ (h)1.140%1% prob · extreme-tail threshold
ES₉₅ (CVaR)1.134%expected loss given 5% tail event
MAX DRAWDOWN2.14%3h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−1.069%VaR₉₉−1.140%ES₉₅−1.134%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 3h duration
PEAK136.08$
−2.14% drawdown over 3h
133.17$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.06× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.07× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +2.19% (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)
49.6 · neutral
Bollinger %B
0.562 · within band
Bollinger upper
$1.3539
Bollinger MA
$1.3289
Bollinger lower
$1.3039

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MARTINGALE · UNPREDICTABLE
ρ(1) AUTOCORR+0.007within white-noise band
ρ(2) AUTOCORR-0.178lag-2 not significant
H · HURST EXPONENT0.728strongly persistent
OLS TREND · t-STAT+2.955significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.728
H = 0.728STRONGLY 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+0.007k=2-0.178k=3-0.270k=4+0.033k=5-0.0180+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|=2.96)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMARTINGALE · UNPREDICTABLEfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.46high · clear structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=2.96)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)
$1.50M
Open interest (USD)
$7.54M
Vol / OI (turnover)
0.20x
1h funding
0.001250%
Funding (annualised)
+10.95%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
3.540× leverage · optimal log-utility leverage
Half-Kelly
1.770× · industry-standard conservative
Quarter-Kelly
0.885×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=24 bars · best 1.51% · worst -1.14% · typical |Δ| 0.51%MILD BULLISH +0.35%BEST+1.51%06hWORST-1.14%09hTYPICAL |Δ|0.51%mean absoluteCUMULATIVE+0.35%Σ signed ΔSTREAK↗ 1up-runASIA · 00-08 UTCμ +0.40% · Σ +3.17%EUROPE · 08-16 UTCμ -0.23% · Σ -1.81%US · 16-24 UTCμ -0.13% · Σ -1.01%CUMULATIVE Δ PATH · final +0.35%+2.49%-0.79%0.18% · 12h0.18% · 12h0.18%12h-0.50% · 13h-0.50% · 13h-0.50%13h0.15% · 14h0.15% · 14h0.15%14h0.50% · 15h0.50% · 15h0.50%15h-1.13% · 16h-1.13% · 16h-1.13%16h0.45% · 17h0.45% · 17h0.45%17h-0.32% · 18h-0.32% · 18h-0.32%18h0.14% · 19h0.14% · 19h0.14%19h-0.19% · 20h-0.19% · 20h-0.19%20h0.79% · 21h0.79% · 21h0.79%21h-0.46% · 22h-0.46% · 22h-0.46%22h-0.30% · 23h-0.30% · 23h-0.30%23h0.02% · 00h0.02% · 00h0.02%00h0.42% · 01h0.42% · 01h0.42%01h-0.08% · 02h-0.08% · 02h-0.08%02h0.71% · 03h0.71% · 03h0.71%03h-0.75% · 04h-0.75% · 04h-0.75%04h0.35% · 05h0.35% · 05h0.35%05h1.51% · 06h1.51% · 06h1.51%06h★ BEST0.99% · 07h0.99% · 07h0.99%07h-0.49% · 08h-0.49% · 08h-0.49%08h-1.14% · 09h-1.14% · 09h-1.14%09h▼ WORST-0.52% · 10h-0.52% · 10h-0.52%10h0.02% · 11h0.02% · 11h0.02%11hTIME PATTERNAsia-led (+3.17%)RUNSup max 3 · down max 3BREADTH54% up · 46% down
13 up bars · 11 down · best 1.51% · worst -1.14% · typical |Δ| 0.505%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsPROFITABLE +0.31%FINAL+0.31%MAX DD-2.15%RECOVERYONGOING · 4 barsMAX RUN-UP+2.48%UNDERWATER19/25 (76%)STREAK↗ 1EQUITY CURVE · end 1.0031 · peak 1.0248 · range [0.9920, 1.0248]1.02480.9920break-even = 1★ PEAK 1.0248UNDERWATER DRAWDOWN · max -2.15% · moderate0%-2.15%▼ TROUGH -2.15%TOP DRAWDOWN PERIODS · 4 total#1 -2.15%bar 22-25 · 4 bars · ONGOING#2 -1.13%bar 6-16 · 11 bars · recovered#3 -0.75%bar 18-19 · 2 bars · recoveredDD SEVERITYmoderate (max -2.15%)RECOVERYongoing · 4 barsTIME UNDER WATER76% of session · 19/25 bars
final equity 1.0031 (0.31%) · max DD -2.15% · time-under-water 19/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +12 / −7 (63% positive) · μ=8.63 · σ=19.98MIXED EDGELAST 5.59 (-0.15σ vs μ)53.1826.590.00-26.59-53.18μ = 8.63-8.57-8.57-21.05-21.05-5.24-5.24-14.08-14.08-5.78-5.7813.4413.44-11.22-11.22-0.00-0.009.169.1613.1413.1410.8910.890.450.4520.5520.5544.5844.5853.1853.1841.4141.416.926.9210.6710.675.595.59v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 5.594 · range [-21.05, 53.18] · μ 8.634 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=61.3123 · σ=19.1416 · range [41.3206, 97.8978] · R²=0.403▲ RISING +59.33%σ EXTREME 31.22%LAST 94.215897.897883.753569.609255.464941.3206μ = 61.3123max 97.8978min 41.3206dataMA(3)OLS R²=0.40μ lineμ ± σ bandmaxmin
latest 94.22% · range [41.32%, 97.90%] · μ 61.31% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +5 / −14 (26% positive) · μ=-0.269 · σ=0.389MEAN-REVERSIONLAST 0.439 (+1.82σ vs μ)0.7480.3740.000-0.374-0.748μ = -0.269-0.607-0.607-0.625-0.625-0.645-0.645-0.748-0.748-0.386-0.386-0.654-0.654-0.407-0.407-0.412-0.412-0.333-0.333-0.219-0.2190.0510.051-0.460-0.460-0.710-0.710-0.196-0.1960.0430.043-0.057-0.0570.3020.3020.5050.5050.4390.439v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest 0.439 · |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
0.2146
p-VALUE (log scale)
0.8983
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
3.1112
p-VALUE (log scale)
0.6855
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
-1.8893
p-VALUE (log scale)
0.3480
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
1.7169
p-VALUE (log scale)
0.0860
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (17 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.4209
p-VALUE (log scale)
0.0682
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
-0.1380
p-VALUE (log scale)
0.8902
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.958 ≈ 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=4.34e-5 · top T=4.80h (17.5%) · top-3 cover 46.0%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)9.1e-56.8e-54.6e-52.3e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 2.51e-5 · 4.8% energyperiod 24.0 · power 2.51e-5 · 4.8% energyperiod 12.0 · power 2.72e-5 · 5.2% energyperiod 12.0 · power 2.72e-5 · 5.2% energyperiod 8.0 · power 4.41e-5 · 8.5% energyperiod 8.0 · power 4.41e-5 · 8.5% energyperiod 6.0 · power 6.34e-5 · 12.2% energyperiod 6.0 · power 6.34e-5 · 12.2% energyperiod 4.8 · power 9.10e-5 · 17.5% energyperiod 4.8 · power 9.10e-5 · 17.5% energyperiod 4.0 · power 4.10e-5 · 7.9% energyperiod 4.0 · power 4.10e-5 · 7.9% energyperiod 3.4 · power 3.20e-5 · 6.1% energyperiod 3.4 · power 3.20e-5 · 6.1% energyperiod 3.0 · power 5.15e-5 · 9.9% energyperiod 3.0 · power 5.15e-5 · 9.9% energyperiod 2.7 · power 7.17e-6 · 1.4% energyperiod 2.7 · power 7.17e-6 · 1.4% energyperiod 2.4 · power 2.45e-5 · 4.7% energyperiod 2.4 · power 2.45e-5 · 4.7% energyperiod 2.2 · power 2.90e-5 · 5.6% energyperiod 2.2 · power 2.90e-5 · 5.6% energyperiod 2.0 · power 8.51e-5 · 16.3% energyperiod 2.0 · power 8.51e-5 · 16.3% energy50% by T=4.0h#1 dominantT=4.80h#2T=2.00h#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 ≈ 4.80h (freq 0.208) · concentrates 17.5% of total energy · Σ|X̂|²/n = 5.210e-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)]
f★ empirical 8.00× · g(f★) 0.002%/barparametric μ/σ² 15.06× · μ 0.000% · σ 0.04%
μ per barmean
0.000%
σ per barvol
0.04%
Empirical f★argmax g(f)
8.00×
from observed distribution
Parametric f★μ/σ²
15.06×
Merton continuous-time
Half-Kelly½ f★
4.00×
~⅔ of full growth, half the variance
Quarter-Kelly¼ f★
2.00×
industry default — survives model error
0.00%0.00%0.00%0.00%0.00%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 3.00× leverage
Median CAGR/bar 0.000% · annualized Sharpe 12.67400 paths × 720 bars · leverage 3.00× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
0.006
annualized 12.67
μ per barafter L
0.001%
σ per barafter L
0.13%
VaR 95%5%
0.18%
per-bar worst-case
CVaR 95%ES
0.29%
mean tail loss
Max DD (median)MDD
-0.3%
0.91×0.95×0.99×1.03×1.08×1.12×0120240360480600720startbar #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 1000% · Sharpe 14.68σ ann 97% · Sortino 11.57 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
0%352%705%1057%1410%1762%1000.0%APR (simple)1000.0%APY (compound)97.5%Ann. vol σ1468.4%Sharpe (ann)1156.6%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%
1.2591.2931.3281.3631.3981.433t-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 11:01:03 UTC
Snapshot age
1.4s
History points
25 hourly closes
Page rendered
2026-06-14 11:01:04 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
4151bc3468ce482389f36e87b0b44febb4059a42405ea4f3e4f7817fa59b58d3 · 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
$8.67K
bid $956 · ask $7.71K
Depth within 10bp
$11.06K
bid $956 · ask $10.11K
Depth within 50bp
$134.09K
bid $47.79K · ask $86.30K
Mid price
1.332350
(best bid + best ask) / 2
Spread
3.8bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.285
ask-heavy
Imbalance (top-5)
-0.271
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-pendle/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K1.33261.88bp1.33261FILLED
BUY$10.00K1.33294.46bp1.33367FILLED
BUY$100.00K1.334818.68bp1.336420PARTIAL
SELL$1.00K1.33183.81bp1.33084FILLED
SELL$10.00K1.330513.86bp1.33009FILLED
SELL$100.00K1.329322.71bp1.328120PARTIAL

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-pendle/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$1.0000–$2.0000★25$1.12M

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

Order flow

▸ BID-LEAN · +0.165 · Hyperliquid candles
Bars (buy / sell)
13 / 11
1 unclassified
Buy weight
$629.35K
real volume
Sell weight
$451.32K
real volume
Net delta
$178.03K
buyers net
Imbalance
16.47%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
16.5%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 4 found · deepest 2.14% · 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 09:00:00Z2.0h1.3608→1.33172.138%3
#22026-06-13 16:00:00Z2.0h1.3317→1.31681.119%3
#32026-06-13 23:00:00Z1.0h1.3284→1.31830.760%2

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
97.49%
σ per bar = 0.000425
Mean return (annualised)
1431.47%
μ per bar = 0.000003
Sharpe (rf=0)
14.68
annualised; risk-free assumed zero
Max drawdown
3.60%
peak 1.38 → trough 1.33 over 565 bars

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