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HYPERLIQUID · PERPETUAL FUTURES

TAO

TAO-USD perpetual · 24/7 trading on Hyperliquid

▸ Advanced metrics · M2M bundle

hyperliquid · perp-tao · fresh · feed 1s old
24h sparkline · 60 pts▼ -2.00%
realized vol (ann.)
136.04%
max drawdown
5.54%
sharpe
-72.19
ulcer index
3.34%
RMS drawdown
pain index
3.09%
mean drawdown
mod. VaR 95%
0.10%
Cornish-Fisher
martin ratio
-2940.30
ret / ulcer
CDaR 95%
5.27%
cond. drawdown
gain/pain
0.91
Σgain / Σ|loss|
sterling
-1862.77
ret / CDaR
omega (θ=0)
0.91
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
-2.00%
flow lean
—
carry
longs_pay
10.95%
signalSHORTconfidence 39%suggested side: SELL
  • 24h change -2.00%
  • funding: longs pay — perp shorts get paid to wait
Same bundle via M2M API: /api/m2m/hl-TAO/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH699ms⏱--:--:-- 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
$262.140
24h Δ · live
-2.00%
24h vol · live
$75.3M
TAO · live 24h price
n=25 · μ=266.2180 · σ=6.7354 · range [251.4200, 276.1300] · R²=0.178▼ FALLING -0.35%σ NORMAL 2.53%LAST 262.1400276.1300269.9525263.7750257.5975251.4200μ = 266.2180max 276.1300min 251.4200dataMA(5)OLS R²=0.18μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $262.14
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=290,175 · μ=11607.0 · σ=9150.8 · CV=0.79FADING -48% h/hcumulative energy ↗ · 50% by h=709,29918,59727,89637,194μ = 1160737,194.0250%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 37194 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
699ms
$mark $
$262.14
$mid $
$262.175
◉prev-day close
$267.5
Δ24h Δ %
-2.004%
$24h vol $
$75.25M
◐open interest $
$51.81M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=266.2180 · σ=6.7354 · range [251.4200, 276.1300] · R²=0.178▼ FALLING -0.35%σ NORMAL 2.53%LAST 262.1400276.1300269.9525263.7750257.5975251.4200μ = 266.2180max 276.1300min 251.4200dataMA(5)OLS R²=0.18μ lineμ ± σ bandmaxmin
mark $262.1400 · 24h -2.00% · range $[251.4200, 276.1300]
OHLC candles · hourly
n=25 · up 12 · down 13 (48% up) · range [250.2500, 283.5600] · σ=6.7354 · CV=0.03 · bodyµ=39%BEARISH -1.44%CLOSE 262.1400 vs OPEN 265.9800 (-1.44%)&#9660; CLOSE 262.1400283.5600275.2325266.9050258.5775250.2500μ close = 266.2180O265.980 H269.790 L258.700 C263.060 (-1.10%)O265.980 H269.790 L258.700 C263.060 (-1.10%)O262.940 H265.560 L260.790 C265.000 (+0.78%)O262.940 H265.560 L260.790 C265.000 (+0.78%)O265.000 H277.320 L258.680 C262.430 (-0.97%)O265.000 H277.320 L258.680 C262.430 (-0.97%)O262.320 H262.700 L251.420 C256.840 (-2.09%)O262.320 H262.700 L251.420 C256.840 (-2.09%)O256.940 H257.080 L250.710 C251.420 (-2.15%)O256.940 H257.080 L250.710 C251.420 (-2.15%)O251.480 H256.570 L250.250 C256.110 (+1.84%)O251.480 H256.570 L250.250 C256.110 (+1.84%)O255.990 H264.380 L253.380 C260.460 (+1.75%)O255.990 H264.380 L253.380 C260.460 (+1.75%)O260.590 H264.530 L260.220 C262.480 (+0.73%)O260.590 H264.530 L260.220 C262.480 (+0.73%)O262.320 H266.920 L261.560 C262.990 (+0.26%)O262.320 H266.920 L261.560 C262.990 (+0.26%)O262.880 H267.520 L261.550 C264.770 (+0.72%)O262.880 H267.520 L261.550 C264.770 (+0.72%)O264.690 H269.920 L261.860 C265.330 (+0.24%)O264.690 H269.920 L261.860 C265.330 (+0.24%)4.1%O265.220 H276.450 L264.050 C276.130 (+4.11%)O265.220 H276.450 L264.050 C276.130 (+4.11%)O276.110 H277.170 L272.510 C275.810 (-0.11%)O276.110 H277.170 L272.510 C275.810 (-0.11%)O275.780 H283.560 L272.620 C274.930 (-0.31%)O275.780 H283.560 L272.620 C274.930 (-0.31%)O274.910 H278.200 L273.220 C275.750 (+0.31%)O274.910 H278.200 L273.220 C275.750 (+0.31%)O275.720 H278.010 L270.780 C273.910 (-0.66%)O275.720 H278.010 L270.780 C273.910 (-0.66%)O273.970 H275.770 L267.890 C269.820 (-1.51%)O273.970 H275.770 L267.890 C269.820 (-1.51%)O269.500 H275.430 L268.170 C269.200 (-0.11%)O269.500 H275.430 L268.170 C269.200 (-0.11%)O269.080 H269.720 L265.100 C268.350 (-0.27%)O269.080 H269.720 L265.100 C268.350 (-0.27%)O268.350 H277.000 L268.040 C275.860 (+2.80%)O268.350 H277.000 L268.040 C275.860 (+2.80%)O275.960 H276.310 L269.370 C270.480 (-1.99%)O275.960 H276.310 L269.370 C270.480 (-1.99%)O270.480 H270.750 L263.640 C264.970 (-2.04%)O270.480 H270.750 L263.640 C264.970 (-2.04%)O264.920 H266.550 L259.700 C265.590 (+0.25%)O264.920 H266.550 L259.700 C265.590 (+0.25%)O265.700 H265.750 L257.160 C261.620 (-1.54%)O265.700 H265.750 L257.160 C261.620 (-1.54%)O261.680 H262.680 L261.120 C262.140 (+0.18%)O261.680 H262.680 L261.120 C262.140 (+0.18%)#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=290,175 · μ=11607.0 · σ=9150.8 · CV=0.79FADING -48% h/hcumulative energy &nearr; · 50% by h=709,29918,59727,89637,194μ = 1160728,395.88 · 76.3% peak28,395.88 · 76.3% peak10,245.413 · 27.5% peak10,245.413 · 27.5% peak37,194.0237,194.02 · 100.0% peak37,194.02 · 100.0% peak32,428.29 · 87.2% peak32,428.29 · 87.2% peak17,552.718 · 47.2% peak17,552.718 · 47.2% peak11,578.479 · 31.1% peak11,578.479 · 31.1% peak12,377.367 · 33.3% peak12,377.367 · 33.3% peak4,473.384 · 12.0% peak4,473.384 · 12.0% peak7,701.557 · 20.7% peak7,701.557 · 20.7% peak5,767.157 · 15.5% peak5,767.157 · 15.5% peak10,062.688 · 27.1% peak10,062.688 · 27.1% peak13,237.533 · 35.6% peak13,237.533 · 35.6% peak7,162.138 · 19.3% peak7,162.138 · 19.3% peak18,543.104 · 49.9% peak18,543.104 · 49.9% peak5,215.654 · 14.0% peak5,215.654 · 14.0% peak8,609.55 · 23.1% peak8,609.55 · 23.1% peak6,071.576 · 16.3% peak6,071.576 · 16.3% peak3,421.93 · 9.2% peak3,421.93 · 9.2% peak4,732.184 · 12.7% peak4,732.184 · 12.7% peak4,104.079 · 11.0% peak4,104.079 · 11.0% peak3,254.314 · 8.7% peak3,254.314 · 8.7% peak14,781.665 · 39.7% peak14,781.665 · 39.7% peak12,098.807 · 32.5% peak12,098.807 · 32.5% peak9,116.337 · 24.5% peak9,116.337 · 24.5% peak2,049.368 · 5.5% peak2,049.368 · 5.5% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 290175 · peak 37194 · CV 0.79

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=-0.0004 · σ=0.0142 · skew=0.78 (right-skewed) · kurt=0.39 (mesokurtic)54310 4-189.72bpbin -189.72bp · n=4 · 80.0% peakbin -189.72bp · n=4 · 80.0% peak 2-138.52bpbin -138.52bp · n=2 · 40.0% peakbin -138.52bp · n=2 · 40.0% peak 2-87.33bpbin -87.33bp · n=2 · 40.0% peakbin -87.33bp · n=2 · 40.0% peak 4-36.14bpbin -36.14bp · n=4 · 80.0% peakbin -36.14bp · n=4 · 80.0% peak 515.05bpbin 15.05bp · n=5 · 100.0% peakbin 15.05bp · n=5 · 100.0% peak 366.24bpbin 66.24bp · n=3 · 60.0% peakbin 66.24bp · n=3 · 60.0% peak117.43bp 2168.62bpbin 168.62bp · n=2 · 40.0% peakbin 168.62bp · n=2 · 40.0% peak219.81bp 1271.00bpbin 271.00bp · n=1 · 20.0% peakbin 271.00bp · n=1 · 20.0% peak322.19bp 1373.38bpbin 373.38bp · n=1 · 20.0% peakbin 373.38bp · n=1 · 20.0% peakμΔ < 0 · loss barsΔ ≈ 0 · flatΔ > 0 · gain barsN(μ,σ²) referenceμ line · ±σ band shaded
n=24 · positive 12 · negative 12
Q-Q plot · standardised rₜ vs N(0,1)
n=24 · skew=0.66 · kurt=0.33 · near 21 / mid 3 / far 0 · OLS slope=1.00 intercept=-0.00APPROXIMATELY NORMALMILDLY HEAVY UPPERLOWER TAIL NORMAL-3σ-3σ-2σ-2σ-1σ-1σ+0σ+0σ+1σ+1σ+2σ+2σ+3σ+3σsample ↓marginal: sample bars + theoretical N(0,1) curve →theoretical Φ⁻¹(p) →↑ sample z-quantile|Δ| < 0.3σ · on the line|Δ| < 1σ · moderate|Δ| ≥ 1σ · outliery = x refOLS fit

§3 · Spot quote

Mark price
$262.14
Mid price
$262.175
24h change
-2.00%
Mark–mid spread
1.34 bps
Prev-day close
$267.5

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25APPROXIMATELY NORMAL · WELL-BEHAVED
μ MEAN266.2180$95% CI: [263.5777$, 268.8583$]
σ STD DEV6.7354$σ² = 45.366 · CV = 2.53%
med MEDIAN265.0000$Q₁ 262.4300$ · Q₃ 270.4800$
FIVE-NUMBER SUMMARY · BOX PLOTrange 24.7100$ · IQR 8.0500$ (1.349σ→9.0861$)
min 251.4200$Q₁ 262.4300$med 265.0000$Q₃ 270.4800$max 276.1300$μ
SKEWNESS · G₁-0.097approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-0.795mesokurtic · normal-like
−30+2+4+6
μ ↔ medianμ > med · right-tailed|μ−med| / σ = 0.18
σ × 1.349 ↔ IQRconsistent with normalratio = 1.13
range ↔ σconcentrated (range < 4σ)range / σ = 3.67
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=-0.88
μᵣ MEAN / h-0.014598%drift is negative per h · |μ|/σ = 0.009
σᵣ STD / h1.548333%σ²ᵣ = 2.397×10⁻⁴ · CV = 106.07×
σ ANNUALISED144.92%/yrscaled by √8760 (hourly→yearly) · 1.548%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)-0.88negative edge
-2-10+1+2+3+4
SORTINO (annualised)-0.98downside drag
-2-10+1+2+3+4
CALMAR (return / max-DD)-24.34drawdown overwhelms returns
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁0.70right-skewed · heavy positive tail
-3-10+1+3
EXCESS KURTOSIS · G₂0.71mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.11
CALMAR · DD CONTROLdrawdown > returns · adverseCR = -24.34
EXPECTED EDGE-127.88%/yr driftμ × 8760 = annualised expectation
rₜ = ln(pₜ/pₜ₋₁). σ × √8760 = annualised. Sharpe = μ/σ scaled; Sortino uses downside-only vol; Calmar = annual return / max drawdown.

§6 · Risk metrics

Tail risk + drawdown · downside diagnostics
TAIL & DRAWDOWN RISKHIGH · 95% VaR 2.12%
VaR₉₅ (h)2.122%5% prob of larger adverse h move
VaR₉₉ (h)2.148%1% prob · extreme-tail threshold
ES₉₅ (CVaR)2.143%expected loss given 5% tail event
MAX DRAWDOWN5.25%12h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−2.122%VaR₉₉−2.148%ES₉₅−2.143%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEsignificant drawdown · 12h duration
PEAK27613.00$
−5.25% drawdown over 12h
26162.00$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.01× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.01× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONsignificant drawdownrecovery needed: +5.55% (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)
45.4 · neutral
Bollinger %B
0.266 · within band
Bollinger upper
$280.0071
Bollinger MA
$267.8350
Bollinger lower
$255.6629

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: MARTINGALE · UNPREDICTABLE
ρ(1) AUTOCORR+0.091within white-noise band
ρ(2) AUTOCORR-0.109lag-2 not significant
H · HURST EXPONENT1.068strongly persistent
OLS TREND · t-STAT+2.235significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 1.068
H = 1.068STRONGLY 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+0.091k=2-0.109k=3-0.077k=4-0.060k=5+0.1100+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 @ 5% (|t|=2.24)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONMARTINGALE · UNPREDICTABLEfrom Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 5% (|t|=2.24)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)
$75.25M
Open interest (USD)
$51.81M
Vol / OI (turnover)
1.45x
1h funding
0.001250%
Funding (annualised)
+10.95%/yr

§10 · Position sizing

Continuous Kelly (μ/σ²)
-0.609× leverage · optimal log-utility leverage
Half-Kelly
-0.304× · industry-standard conservative
Quarter-Kelly
-0.152×

§11 · Hourly return heatmap

24-hour signed Δln-r grid · green = up · red = down
HOURLY RETURN HEATMAP · n=24 bars · best 3.99% · worst -2.15% · typical |Δ| 1.15%MILD BEARISH -0.35%BEST+3.99%02hWORST-2.15%18hTYPICAL |Δ|1.15%mean absoluteCUMULATIVE-0.35%Σ signed ΔSTREAK↗ 1up-runASIA · 00-08 UTCμ +0.32% · Σ +2.56%EUROPE · 08-16 UTCμ -0.36% · Σ -2.89%US · 16-24 UTCμ -0.00% · Σ -0.03%CUMULATIVE Δ PATH · final -0.35%+4.85%-4.53%0.73% · 16h0.73% · 16h0.73%16h-0.97% · 17h-0.97% · 17h-0.97%17h-2.15% · 18h-2.15% · 18h-2.15%18h▼ WORST-2.13% · 19h-2.13% · 19h-2.13%19h1.85% · 20h1.85% · 20h1.85%20h1.68% · 21h1.68% · 21h1.68%21h0.77% · 22h0.77% · 22h0.77%22h0.19% · 23h0.19% · 23h0.19%23h0.67% · 00h0.67% · 00h0.67%00h0.21% · 01h0.21% · 01h0.21%01h3.99% · 02h3.99% · 02h3.99%02h★ BEST-0.12% · 03h-0.12% · 03h-0.12%03h-0.32% · 04h-0.32% · 04h-0.32%04h0.30% · 05h0.30% · 05h0.30%05h-0.67% · 06h-0.67% · 06h-0.67%06h-1.50% · 07h-1.50% · 07h-1.50%07h-0.23% · 08h-0.23% · 08h-0.23%08h-0.32% · 09h-0.32% · 09h-0.32%09h2.76% · 10h2.76% · 10h2.76%10h-1.97% · 11h-1.97% · 11h-1.97%11h-2.06% · 12h-2.06% · 12h-2.06%12h0.23% · 13h0.23% · 13h0.23%13h-1.51% · 14h-1.51% · 14h-1.51%14h0.20% · 15h0.20% · 15h0.20%15hTIME PATTERNAsia-led (+2.56%)RUNSup max 7 · down max 4BREADTH50% up · 50% down
12 up bars · 12 down · best 3.99% · worst -2.15% · typical |Δ| 1.148%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsLOSS WITH MODERATE DD (-0.62%)FINAL-0.62%MAX DD-5.35%RECOVERYONGOING · 13 barsMAX RUN-UP+4.79%UNDERWATER21/25 (84%)STREAK↗ 1EQUITY CURVE · end 0.9938 · peak 1.0479 · range [0.9552, 1.0479]1.04790.9552break-even = 1★ PEAK 1.0479UNDERWATER DRAWDOWN · max -5.35% · significant0%-5.35%▼ TROUGH -5.35%TOP DRAWDOWN PERIODS · 2 total#1 -5.35%bar 13-25 · 13 bars · ONGOING#2 -5.17%bar 3-10 · 8 bars · recoveredDD SEVERITYsignificant (max -5.35%)RECOVERYongoing · 13 barsTIME UNDER WATER84% of session · 21/25 bars
final equity 0.9938 (-0.62%) · max DD -5.35% · time-under-water 21/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +10 / −9 (53% positive) · μ=9.17 · σ=47.33MIXED EDGELAST -19.70 (-0.61σ vs μ)117.5458.770.00-58.77-117.54μ = 9.17-8.46-8.46-8.12-8.121.861.8632.9732.97117.54117.5481.2281.2258.6458.6444.8544.8546.0546.0530.8830.8813.6613.66-64.45-64.45-71.24-71.243.633.63-18.16-18.16-28.66-28.66-13.99-13.99-24.31-24.31-19.70-19.70v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -19.702 · range [-71.24, 117.54] · μ 9.168 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=142.9013 · σ=39.3294 · range [56.1922, 179.3733] · R²=0.003▲ RISING +1.24%σ EXTREME 27.52%LAST 173.5022179.3733148.5781117.782886.987556.1922μ = 142.9013max 179.3733min 56.1922dataMA(3)OLS R²=0.00μ lineμ ± σ bandmaxmin
latest 173.50% · range [56.19%, 179.37%] · μ 142.90% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +6 / −13 (32% positive) · μ=-0.059 · σ=0.253MEAN-REVERSIONLAST -0.276 (-0.86σ vs μ)0.4260.2130.000-0.213-0.426μ = -0.0590.2720.2720.4170.4170.3200.320-0.172-0.1720.4100.410-0.127-0.127-0.426-0.426-0.276-0.276-0.243-0.243-0.162-0.1620.0240.024-0.007-0.007-0.022-0.0220.0480.048-0.346-0.346-0.123-0.123-0.203-0.203-0.227-0.227-0.276-0.276v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.276 · |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
2.4849
p-VALUE (log scale)
0.2887
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
1.2491
p-VALUE (log scale)
0.9388
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
-1.4577
p-VALUE (log scale)
0.5535
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
-0.8348
p-VALUE (log scale)
0.4038
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (11 runs)
χ

KPSS (μ stationarity)

FAIL TO REJECTns

H₀: p IS level-stationary

STATISTIC
0.3476
p-VALUE (log scale)
0.0998
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
0.4383
p-VALUE (log scale)
0.6611
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 1.133 ≈ 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=2.41e-4 · top T=6.00h (22.6%) · top-3 cover 53.3%1 SIGNIFICANT CYCLEcumulative energy ↗ (1 bin above 2× noise)6.5e-44.9e-43.3e-41.6e-40.0e+0μ noise floor2× noise (significance)period 24.0 · power 4.12e-4 · 14.2% energyperiod 24.0 · power 4.12e-4 · 14.2% energyperiod 12.0 · power 1.52e-4 · 5.3% energyperiod 12.0 · power 1.52e-4 · 5.3% energyperiod 8.0 · power 1.94e-5 · 0.7% energyperiod 8.0 · power 1.94e-5 · 0.7% energyperiod 6.0 · power 6.53e-4 · 22.6% energyperiod 6.0 · power 6.53e-4 · 22.6% energyperiod 4.8 · power 2.64e-4 · 9.1% energyperiod 4.8 · power 2.64e-4 · 9.1% energyperiod 4.0 · power 2.01e-4 · 7.0% energyperiod 4.0 · power 2.01e-4 · 7.0% energyperiod 3.4 · power 2.62e-4 · 9.0% energyperiod 3.4 · power 2.62e-4 · 9.0% energyperiod 3.0 · power 6.78e-5 · 2.3% energyperiod 3.0 · power 6.78e-5 · 2.3% energyperiod 2.7 · power 4.76e-4 · 16.5% energyperiod 2.7 · power 4.76e-4 · 16.5% energyperiod 2.4 · power 4.71e-5 · 1.6% energyperiod 2.4 · power 4.71e-5 · 1.6% energyperiod 2.2 · power 6.85e-5 · 2.4% energyperiod 2.2 · power 6.85e-5 · 2.4% energyperiod 2.0 · power 2.69e-4 · 9.3% energyperiod 2.0 · power 2.69e-4 · 9.3% energy50% by T=4.8h#1 dominantT=6.00h#2T=2.67h#3T=24.00hT=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 ≈ 6.00h (freq 0.167) · concentrates 22.6% of total energy · Σ|X̂|²/n = 2.892e-3

▸ Depth section using sovereign-store price series (5000 bars · effective 5257847 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 -0.001% per barparametric μ/σ² short edge (μ<0) · μ -0.001% · σ 0.06%
μ per barmean
-0.001%
σ per barvol
0.06%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-20.51×
Merton continuous-time
Half-Kelly½ f★
0.00×
~⅔ of full growth, half the variance
Quarter-Kelly¼ f★
0.00×
industry default — survives model error
-0.01%0.02%0.05%0.07%0.10%0.0×1.6×3.2×4.8×6.4×8.0×leverage fraction fexpected log-growth per bar
g(f) empiricalf★ argmaxparametric f★
Maximum expected log-growth from leveraging the historical return distribution. Empirical f★ argmaxes the sample expectation; parametric f★ = μ/σ² is Merton's continuous-time optimum.

§18 · MC equity fan

Bootstrapped equity fan at 0.10× leverage
Median CAGR/bar -0.000% · annualized Sharpe -27.38400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.012
annualized -27.38
μ per barafter L
-0.000%
σ per barafter L
0.01%
VaR 95%5%
0.01%
per-bar worst-case
CVaR 95%ES
0.02%
mean tail loss
Max DD (median)MDD
-0.1%
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 -29.55σ ann 144% · Sortino -27.18 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-3546%-2802%-2059%-1315%-571%173%-1000.0%APR (simple)-100.0%APY (compound)144.1%Ann. vol σ-2955.2%Sharpe (ann)-2718.3%Sortino (ann)
Simple APR vs compounded APY · annualized volatility · risk-adjusted Sharpe and Sortino. All scaled by √(periods/yr).

§20 · GARCH(1,1) volatility band

GARCH(1,1) · conditional vol envelope (±2σ)
GARCH persistence α+β = 0.980· σ̂ₜ = 1.001% · long-run σ = 2.236%
247.173255.346263.519271.691279.864288.037t-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 15:11:27 UTC
Snapshot age
699ms
History points
25 hourly closes
Page rendered
2026-06-14 15:11:28 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
69808f2b97a626b0e543022633b6950438ae4743d1d734983eb339bc7603e3dc · deterministic hash of the source snapshot — proves this page was rendered from this exact data
Open data licence
CC0 / public domain · free to mirror, syndicate, analyse

§∞-2 · Related markets · explore more

HL PREDGermany94.5¢HL PREDSpain89.4¢HL PREDUruguay66.7¢HL PERPBTC-USD perpetual$64,084HL PERPETH-USD perpetual$1,663HL PERPHYPE-USD perpetual$60.39

Also see: /arb opportunities · RSS feed

Market depth

▸ live order book · Hyperliquid perp
Depth within 1bp
$0
bid $0 · ask $0
Depth within 5bp
$40.59K
bid $31.19K · ask $9.40K
Depth within 10bp
$94.71K
bid $67.34K · ask $27.36K
Depth within 50bp
$122.30K
bid $91.68K · ask $30.62K
Mid price
262.175000
(best bid + best ask) / 2
Spread
3.4bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
+0.500
bid-heavy
Imbalance (top-5)
+0.491
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-TAO/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K262.221.72bp262.221FILLED
BUY$10.00K262.263.24bp262.359FILLED
BUY$100.00K262.367.04bp262.4720PARTIAL
SELL$1.00K262.112.58bp262.093FILLED
SELL$10.00K262.093.18bp262.093FILLED
SELL$100.00K261.996.92bp261.8520PARTIAL

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-TAO/carry · same metrics, JSON

Volume profile

▸ real volume · Hyperliquid candlesstep $ 1 · 25 records
Price binBarsVolumeDistribution
$276.00–$277.001$13.24K
$275.00–$276.003$16.48K
$274.00–$275.001$18.54K
$273.00–$274.001$8.61K
$270.00–$271.001$3.25K
$269.00–$270.002$9.49K
$268.00–$269.001$4.73K
$265.00–$266.003$32.41K
$264.00–$265.002$20.55K
$263.00–$264.001$28.40K
$262.00–$263.00★4$51.42K
$261.00–$262.001$9.12K
$260.00–$261.001$12.38K
$256.00–$257.002$44.01K
$251.00–$252.001$17.55K

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

Order flow

▸ ASK-LEAN · -0.244 · Hyperliquid candles
Bars (buy / sell)
12 / 12
1 unclassified
Buy weight
$98.91K
real volume
Sell weight
$162.87K
real volume
Net delta
$63.96K
sellers net
Imbalance
-24.43%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
24.4%
two-sided / balanced
Impact (|Δp|/vol)
—
needs real volume

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

Cascade clusters

▸ DOWN · 3 found · deepest 5.16% · 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 11:00:00Z4.0h275.86→261.625.162%5
#22026-06-13 17:00:00Z3.0h265.00→251.425.125%4
#32026-06-14 06:00:00Z3.0h275.81→268.352.705%4

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

Risk metrics

▸ sovereign store · 5,000 barsperiods/year ≈ 5.26M
Realized vol (annualised)
144.08%
σ per bar = 0.000628
Mean return (annualised)
-4257.94%
μ per bar = -0.000008
Sharpe (rf=0)
-29.55
annualised; risk-free assumed zero
Max drawdown
7.03%
peak 276.77 → trough 257.32 over 2292 bars

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