HYPERLIQUID · PERPETUAL FUTURES

ZRO

ZRO-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-zro · fresh · feed 5s old
24h sparkline · 60 pts▼ -2.06%
realized vol (ann.)
38.39%
max drawdown
0.95%
sharpe
5.90
ulcer index
0.32%
RMS drawdown
pain index
0.25%
mean drawdown
mod. VaR 95%
0.02%
Cornish-Fisher
martin ratio
713.96
ret / ulcer
CDaR 95%
0.75%
cond. drawdown
gain/pain
1.01
Σgain / Σ|loss|
sterling
303.90
ret / CDaR
omega (θ=0)
1.01
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-2.06%
flow lean
—
carry
longs_pay
10.95%
signalSHORTconfidence 39%suggested side: SELL
  • 24h change -2.06%
  • funding: longs pay — perp shorts get paid to wait
Same bundle via M2M API: /api/m2m/hl-zro/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH4.7s⏱--:--:-- 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
$0.928
24h Δ · live
-2.06%
24h vol · live
$1.3M
ZRO · live 24h price
n=25 · μ=0.9408 · σ=0.0086 · range [0.9265, 0.9554] · R²=0.823▼ FALLING -2.34%σ LOW 0.92%LAST 0.92830.95540.94820.94100.93370.9265μ = 0.9408max 0.9554min 0.9265dataMA(5)OLS R²=0.82μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $0.93
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=1,395,339 · μ=55813.6 · σ=52864.2 · CV=0.95BURSTYcumulative energy ↗ · 50% by h=10066,198132,397198,595264,794μ = 55814264,793.950%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 264794 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
4.7s
$mark $
$0.9282
$mid $
$0.9281
◉prev-day close
$0.9477
Δ24h Δ %
-2.063%
$24h vol $
$1.32M
◐open interest $
$24.84M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=0.9408 · σ=0.0086 · range [0.9265, 0.9554] · R²=0.823▼ FALLING -2.34%σ LOW 0.92%LAST 0.92830.95540.94820.94100.93370.9265μ = 0.9408max 0.9554min 0.9265dataMA(5)OLS R²=0.82μ lineμ ± σ bandmaxmin
mark $0.9282 · 24h -2.06% · range $[0.9265, 0.9554]
OHLC candles · hourly
n=25 · up 10 · down 15 (40% up) · range [0.9248, 0.9670] · σ=0.0086 · CV=0.01 · bodyµ=40%BEARISH -2.05%CLOSE 0.9283 vs OPEN 0.9477 (-2.05%)&#9660; CLOSE 0.92830.96700.95650.94590.93540.9248μ close = 0.9408O0.948 H0.957 L0.942 C0.950 (+0.29%)O0.948 H0.957 L0.942 C0.950 (+0.29%)O0.951 H0.959 L0.945 C0.954 (+0.35%)O0.951 H0.959 L0.945 C0.954 (+0.35%)O0.956 H0.957 L0.947 C0.948 (-0.80%)O0.956 H0.957 L0.947 C0.948 (-0.80%)O0.949 H0.955 L0.941 C0.948 (-0.09%)O0.949 H0.955 L0.941 C0.948 (-0.09%)O0.948 H0.958 L0.947 C0.955 (+0.75%)O0.948 H0.958 L0.947 C0.955 (+0.75%)O0.956 H0.957 L0.936 C0.949 (-0.73%)O0.956 H0.957 L0.936 C0.949 (-0.73%)O0.947 H0.954 L0.946 C0.947 (+0.06%)O0.947 H0.954 L0.946 C0.947 (+0.06%)O0.948 H0.967 L0.944 C0.946 (-0.28%)O0.948 H0.967 L0.944 C0.946 (-0.28%)O0.946 H0.947 L0.938 C0.938 (-0.90%)O0.946 H0.947 L0.938 C0.938 (-0.90%)O0.937 H0.943 L0.935 C0.942 (+0.46%)O0.937 H0.943 L0.935 C0.942 (+0.46%)O0.942 H0.950 L0.938 C0.946 (+0.48%)O0.942 H0.950 L0.938 C0.946 (+0.48%)O0.947 H0.951 L0.944 C0.944 (-0.29%)O0.947 H0.951 L0.944 C0.944 (-0.29%)O0.944 H0.947 L0.942 C0.944 (-0.02%)O0.944 H0.947 L0.942 C0.944 (-0.02%)O0.944 H0.952 L0.940 C0.940 (-0.40%)O0.944 H0.952 L0.940 C0.940 (-0.40%)O0.941 H0.948 L0.938 C0.941 (-0.06%)O0.941 H0.948 L0.938 C0.941 (-0.06%)O0.940 H0.945 L0.938 C0.940 (-0.04%)O0.940 H0.945 L0.938 C0.940 (-0.04%)O0.940 H0.944 L0.939 C0.944 (+0.44%)O0.940 H0.944 L0.939 C0.944 (+0.44%)-0.9%O0.944 H0.945 L0.934 C0.936 (-0.93%)O0.944 H0.945 L0.934 C0.936 (-0.93%)O0.935 H0.938 L0.931 C0.933 (-0.17%)O0.935 H0.938 L0.931 C0.933 (-0.17%)O0.934 H0.939 L0.925 C0.927 (-0.74%)O0.934 H0.939 L0.925 C0.927 (-0.74%)O0.927 H0.929 L0.926 C0.926 (-0.07%)O0.927 H0.929 L0.926 C0.926 (-0.07%)O0.926 H0.934 L0.926 C0.930 (+0.46%)O0.926 H0.934 L0.926 C0.930 (+0.46%)O0.930 H0.937 L0.929 C0.934 (+0.38%)O0.930 H0.937 L0.929 C0.934 (+0.38%)O0.934 H0.935 L0.927 C0.927 (-0.67%)O0.934 H0.935 L0.927 C0.927 (-0.67%)O0.928 H0.928 L0.928 C0.928 (+0.04%)O0.928 H0.928 L0.928 C0.928 (+0.04%)#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=1,395,339 · μ=55813.6 · σ=52864.2 · CV=0.95BURSTYcumulative energy &nearr; · 50% by h=10066,198132,397198,595264,794μ = 55814264,793.9264,793.9 · 100.0% peak264,793.9 · 100.0% peak55,060.8 · 20.8% peak55,060.8 · 20.8% peak60,216.6 · 22.7% peak60,216.6 · 22.7% peak65,836.3 · 24.9% peak65,836.3 · 24.9% peak40,142.4 · 15.2% peak40,142.4 · 15.2% peak47,463.1 · 17.9% peak47,463.1 · 17.9% peak21,234.5 · 8.0% peak21,234.5 · 8.0% peak48,959.2 · 18.5% peak48,959.2 · 18.5% peak71,914.9 · 27.2% peak71,914.9 · 27.2% peak63,417 · 23.9% peak63,417 · 23.9% peak45,330.9 · 17.1% peak45,330.9 · 17.1% peak34,129.4 · 12.9% peak34,129.4 · 12.9% peak56,625.8 · 21.4% peak56,625.8 · 21.4% peak57,810.9 · 21.8% peak57,810.9 · 21.8% peak112,284.2 · 42.4% peak112,284.2 · 42.4% peak30,113.6 · 11.4% peak30,113.6 · 11.4% peak70,369 · 26.6% peak70,369 · 26.6% peak23,743.9 · 9.0% peak23,743.9 · 9.0% peak18,399.6 · 6.9% peak18,399.6 · 6.9% peak130,665.9 · 49.3% peak130,665.9 · 49.3% peak11,848.6 · 4.5% peak11,848.6 · 4.5% peak10,424.5 · 3.9% peak10,424.5 · 3.9% peak26,798.2 · 10.1% peak26,798.2 · 10.1% peak27,539.2 · 10.4% peak27,539.2 · 10.4% peak216.7 · 0.1% peak216.7 · 0.1% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 1395339 · peak 264794 · CV 0.95

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0010 · σ=0.0044 · skew=-0.14 (symmetric) · kurt=-1.06 (platykurtic (thin tails))54310 2-84.85bpbin -84.85bp · n=2 · 40.0% peakbin -84.85bp · n=2 · 40.0% peak 2-71.12bpbin -71.12bp · n=2 · 40.0% peakbin -71.12bp · n=2 · 40.0% peak 2-57.40bpbin -57.40bp · n=2 · 40.0% peakbin -57.40bp · n=2 · 40.0% peak 1-43.67bpbin -43.67bp · n=1 · 20.0% peakbin -43.67bp · n=1 · 20.0% peak 1-29.94bpbin -29.94bp · n=1 · 20.0% peakbin -29.94bp · n=1 · 20.0% peak 3-16.22bpbin -16.22bp · n=3 · 60.0% peakbin -16.22bp · n=3 · 60.0% peak 5-2.49bpbin -2.49bp · n=5 · 100.0% peakbin -2.49bp · n=5 · 100.0% peak 111.24bpbin 11.24bp · n=1 · 20.0% peakbin 11.24bp · n=1 · 20.0% peak24.96bp 538.69bpbin 38.69bp · n=5 · 100.0% peakbin 38.69bp · n=5 · 100.0% peak 152.42bpbin 52.42bp · n=1 · 20.0% peakbin 52.42bp · n=1 · 20.0% peak 166.14bpbin 66.14bp · n=1 · 20.0% peakbin 66.14bp · n=1 · 20.0% 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=-0.14 · kurt=-0.96 · near 21 / mid 3 / far 0 · OLS slope=1.01 intercept=-0.00MATCHES NORMAL · WELL-BEHAVEDUPPER TAIL NORMALLOWER TAIL NORMAL-3σ-3σ-2σ-2σ-1σ-1σ+0σ+0σ+1σ+1σ+2σ+2σ+3σ+3σsample ↓marginal: sample bars + theoretical N(0,1) curve →theoretical Φ⁻¹(p) →↑ sample z-quantile|Δ| < 0.3σ · on the line|Δ| < 1σ · moderate|Δ| ≥ 1σ · outliery = x refOLS fit

§3 · Spot quote

Mark price
$0.9282
Mid price
$0.9281
24h change
-2.06%
Mark–mid spread
0.32 bps
Prev-day close
$0.9477

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25PLATYKURTIC · THIN TAILS (G₂=-1.16)
μ MEAN0.9408$95% CI: [0.9374$, 0.9442$]
σ STD DEV0.0086$σ² = 0.742×10⁻⁴ · CV = 0.92%
med MEDIAN0.9416$Q₁ 0.9339$ · Q₃ 0.9472$
FIVE-NUMBER SUMMARY · BOX PLOTrange 0.0290$ · IQR 0.0133$ (1.349σ→0.0116$)
min 0.9265$Q₁ 0.9339$med 0.9416$Q₃ 0.9472$max 0.9554$μ
SKEWNESS · G₁-0.229approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-1.158platykurtic · thin tails
−30+2+4+6
μ ↔ median≈ equal · symmetric|μ−med| / σ = 0.10
σ × 1.349 ↔ IQRconsistent with normalratio = 0.88
range ↔ σconcentrated (range < 4σ)range / σ = 3.36
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=-19.74
μᵣ MEAN / h-0.098476%drift is negative per h · |μ|/σ = 0.211
σᵣ STD / h0.467014%σ²ᵣ = 0.218×10⁻⁴ · CV = 4.74×
σ ANNUALISED43.71%/yrscaled by √8760 (hourly→yearly) · 0.467%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-19.74negative edge
-2-10+1+2+3+4
SORTINO (annualised)-18.05downside 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 · G₁-0.15approximately symmetric
-3-10+1+3
EXCESS KURTOSIS · G₂-0.90mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 0.91
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -100.00
EXPECTED EDGE-862.65%/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 0.85%
VaR₉₅ (h)0.850%5% prob of larger adverse h move
VaR₉₉ (h)0.908%1% prob · extreme-tail threshold
ES₉₅ (CVaR)0.897%expected loss given 5% tail event
MAX DRAWDOWN3.03%16h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−0.850%VaR₉₉−0.908%ES₉₅−0.897%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEmoderate drawdown · 16h duration
PEAK95.54$
−3.03% drawdown over 16h
92.65$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.05× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.07× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONmoderate drawdownrecovery needed: +3.13% (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)
37.0 · neutral
Bollinger %B
0.167 · within band
Bollinger upper
$0.9531
Bollinger MA
$0.9382
Bollinger lower
$0.9233

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MEAN-REVERTING · ρ(1) -0.22 + ADF rejected
ρ(1) AUTOCORR-0.225within white-noise band
ρ(2) AUTOCORR-0.178lag-2 not significant
H · HURST EXPONENT0.766strongly persistent
OLS TREND · t-STAT-10.338significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.766
H = 0.766STRONGLY 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=1-0.225k=2-0.178k=3-0.015k=4-0.232k=5-0.0040+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|=10.34)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMEAN-REVERTING · ρ(1) -0.22 + ADF rejectedfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 0.76very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=10.34)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)
$1.32M
Open interest (USD)
$24.84M
Vol / OI (turnover)
0.05x
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 0.73% · worst -0.92% · typical |Δ| 0.38%MILD BEARISH -2.36%BEST+0.73%15hWORST-0.92%04hTYPICAL |Δ|0.38%mean absoluteCUMULATIVE-2.36%Σ signed ΔSTREAK↗ 1up-runASIA · 00-08 UTCμ -0.23% · Σ -1.87%EUROPE · 08-16 UTCμ +0.09% · Σ +0.72%US · 16-24 UTCμ -0.15% · Σ -1.21%CUMULATIVE Δ PATH · final -2.36%+0.52%-2.56%0.35% · 12h0.35% · 12h0.35%12h-0.59% · 13h-0.59% · 13h-0.59%13h0.03% · 14h0.03% · 14h0.03%14h0.73% · 15h0.73% · 15h0.73%15h★ BEST-0.63% · 16h-0.63% · 16h-0.63%16h-0.24% · 17h-0.24% · 17h-0.24%17h-0.15% · 18h-0.15% · 18h-0.15%18h-0.88% · 19h-0.88% · 19h-0.88%19h0.44% · 20h0.44% · 20h0.44%20h0.48% · 21h0.48% · 21h0.48%21h-0.20% · 22h-0.20% · 22h-0.20%22h-0.04% · 23h-0.04% · 23h-0.04%23h-0.37% · 00h-0.37% · 00h-0.37%00h0.02% · 01h0.02% · 01h0.02%01h-0.06% · 02h-0.06% · 02h-0.06%02h0.44% · 03h0.44% · 03h0.44%03h-0.92% · 04h-0.92% · 04h-0.92%04h▼ WORST-0.22% · 05h-0.22% · 05h-0.22%05h-0.70% · 06h-0.70% · 06h-0.70%06h-0.05% · 07h-0.05% · 07h-0.05%07h0.40% · 08h0.40% · 08h0.40%08h0.41% · 09h0.41% · 09h0.41%09h-0.70% · 10h-0.70% · 10h-0.70%10h0.09% · 11h0.09% · 11h0.09%11hTIME PATTERNEurope-led (+0.72%)RUNSup max 2 · down max 4BREADTH42% up · 58% down
10 up bars · 14 down · best 0.73% · worst -0.92% · typical |Δ| 0.380%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-2.36%)FINAL-2.36%MAX DD-3.05%RECOVERYONGOING · 20 barsMAX RUN-UP+0.52%UNDERWATER22/25 (88%)STREAK↗ 1EQUITY CURVE · end 0.9764 · peak 1.0052 · range [0.9745, 1.0052]1.00520.9745break-even = 1★ PEAK 1.0052UNDERWATER DRAWDOWN · max -3.05% · moderate0%-3.05%▼ TROUGH -3.05%TOP DRAWDOWN PERIODS · 2 total#1 -3.05%bar 6-25 · 20 bars · ONGOING#2 -0.59%bar 3-4 · 2 bars · recoveredDD SEVERITYmoderate (max -3.05%)RECOVERYongoing · 20 barsTIME UNDER WATER88% of session · 22/25 bars
final equity 0.9764 (-2.36%) · max DD -3.05% · time-under-water 22/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +1 / −18 (5% positive) · μ=-22.91 · σ=14.74UNPROFITABLE STRATEGYLAST -17.42 (+0.37σ vs μ)48.3824.190.00-24.19-48.38μ = -22.91-9.96-9.96-26.55-26.55-31.61-31.61-18.45-18.45-27.77-27.77-16.97-16.97-10.94-10.94-17.25-17.2515.1415.14-9.08-9.08-12.06-12.06-31.86-31.86-38.47-38.47-45.46-45.46-48.38-48.38-29.78-29.78-30.97-30.97-27.49-27.49-17.42-17.42v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -17.418 · range [-48.38, 15.14] · μ -22.912 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=45.0898 · σ=8.5168 · range [25.2420, 57.3621] · R²=0.021▼ FALLING -6.23%σ EXTREME 18.89%LAST 47.093357.362149.332141.302133.272125.2420μ = 45.0898max 57.3621min 25.2420dataMA(3)OLS R²=0.02μ lineμ ± σ bandmaxmin
latest 47.09% · range [25.24%, 57.36%] · μ 45.09% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +3 / −16 (16% positive) · μ=-0.166 · σ=0.197MEAN-REVERSIONLAST -0.138 (+0.14σ vs μ)0.4280.2140.000-0.214-0.428μ = -0.166-0.379-0.379-0.249-0.249-0.137-0.137-0.410-0.410-0.013-0.013-0.096-0.096-0.116-0.116-0.146-0.1460.2280.228-0.245-0.245-0.082-0.082-0.428-0.428-0.356-0.356-0.251-0.251-0.375-0.375-0.252-0.2520.2640.2640.0280.028-0.138-0.138v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.138 · |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
0.8989
p-VALUE (log scale)
0.6380
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
3.9571
p-VALUE (log scale)
0.5576
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
-1.0724
p-VALUE (log scale)
0.7250
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
0.1433
p-VALUE (log scale)
0.8861
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (13 runs)
χ

KPSS (μ stationarity)

REJECT H₀**

H₀: p IS level-stationary

STATISTIC
0.8431
p-VALUE (log scale)
0.0056
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
-1.2923
p-VALUE (log scale)
0.1963
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 0.607 ≈ 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=2.21e-5 · top T=3.00h (35.9%) · top-3 cover 67.1%2 SIGNIFICANT CYCLEScumulative energy ↗ (2 bins above 2× noise)9.5e-57.2e-54.8e-52.4e-50.0e+0μ noise floor2× noise (significance)period 24.0 · power 1.27e-6 · 0.5% energyperiod 24.0 · power 1.27e-6 · 0.5% energyperiod 12.0 · power 1.42e-5 · 5.4% energyperiod 12.0 · power 1.42e-5 · 5.4% energyperiod 8.0 · power 2.04e-6 · 0.8% energyperiod 8.0 · power 2.04e-6 · 0.8% energyperiod 6.0 · power 5.32e-5 · 20.0% energyperiod 6.0 · power 5.32e-5 · 20.0% energyperiod 4.8 · power 1.38e-5 · 5.2% energyperiod 4.8 · power 1.38e-5 · 5.2% energyperiod 4.0 · power 5.42e-6 · 2.0% energyperiod 4.0 · power 5.42e-6 · 2.0% energyperiod 3.4 · power 1.49e-5 · 5.6% energyperiod 3.4 · power 1.49e-5 · 5.6% energyperiod 3.0 · power 9.53e-5 · 35.9% energyperiod 3.0 · power 9.53e-5 · 35.9% energyperiod 2.7 · power 1.03e-5 · 3.9% energyperiod 2.7 · power 1.03e-5 · 3.9% energyperiod 2.4 · power 9.55e-6 · 3.6% energyperiod 2.4 · power 9.55e-6 · 3.6% energyperiod 2.2 · power 1.60e-5 · 6.0% energyperiod 2.2 · power 1.60e-5 · 6.0% energyperiod 2.0 · power 2.95e-5 · 11.1% energyperiod 2.0 · power 2.95e-5 · 11.1% energy50% by T=3.0h#1 dominantT=3.00h#2T=6.00h#3T=2.00hT=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 ≈ 3.00h (freq 0.333) · concentrates 35.9% of total energy · Σ|X̂|²/n = 2.656e-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
-61.58×
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 -32.43400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.014
annualized -32.43
μ per barafter L
-0.000%
σ per barafter L
0.00%
VaR 95%5%
0.00%
per-bar worst-case
CVaR 95%ES
0.01%
mean tail loss
Max DD (median)MDD
-0.0%
0.95×0.97×0.99×1.01×1.03×1.05×0120240360480600720startbar #equity multiple
median25/75 band5/95 band
Median path with 25/75 and 5/95 percentile bands across 400 simulated careers. Bars resample with replacement from the observed return distribution — preserves fat tails the parametric model misses.

§19 · Annualized breakdown

Annualized return components
APR -1000% · APY -100% · Sharpe -30.06σ ann 49% · Sortino -21.14 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-3608%-2874%-2141%-1408%-675%59%-1000.0%APR (simple)-100.0%APY (compound)48.8%Ann. vol σ-3006.4%Sharpe (ann)-2114.5%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%
0.8880.9070.9260.9450.9640.983t-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
4.7s
History points
25 hourly closes
Page rendered
2026-06-14 11:01:13 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
76b35f93e8fb9c3b360f0f22349c2eb40fc76028ad8ef56403e2164e4b4e3edc · 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
$884
bid $812 · ask $72
Depth within 5bp
$8.44K
bid $6.76K · ask $1.68K
Depth within 10bp
$25.22K
bid $9.13K · ask $16.08K
Depth within 50bp
$51.96K
bid $22.79K · ask $29.17K
Mid price
0.928165
(best bid + best ask) / 2
Spread
1.6bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.122
ask-heavy
Imbalance (top-5)
+0.709
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-zro/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K0.9283071.53bp0.9284405FILLED
BUY$10.00K0.9286665.40bp0.9287609FILLED
BUY$100.00K0.9290479.51bp0.92951020PARTIAL
SELL$1.00K0.9280820.89bp0.9280502FILLED
SELL$10.00K0.9277124.88bp0.92722010FILLED
SELL$100.00K0.92721310.26bp0.92636020PARTIAL

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-zro/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$0.000000–$1.0000★25$1.40M

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

Order flow

▸ ASK-LEAN · -0.133 · Hyperliquid candles
Bars (buy / sell)
10 / 14
1 unclassified
Buy weight
$489.88K
real volume
Sell weight
$640.67K
real volume
Net delta
$150.79K
sellers net
Imbalance
-13.34%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
13.3%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 5 found · deepest 1.88% · 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 04:00:00Z3.0h0.944190→0.9264701.877%4
#22026-06-13 16:00:00Z4.0h0.955440→0.9375401.873%5
#32026-06-14 10:00:00Z1.0h0.933940→0.9274200.698%2

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
48.82%
σ per bar = 0.000213
Mean return (annualised)
-1467.65%
μ per bar = -0.000003
Sharpe (rf=0)
-30.06
annualised; risk-free assumed zero
Max drawdown
2.11%
peak 0.94 → trough 0.92 over 1582 bars

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