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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 6s old
24h sparkline · 60 pts▲ 8.68%
realized vol (ann.)
146.20%
max drawdown
3.65%
sharpe
12.07
ulcer index
2.00%
RMS drawdown
pain index
1.67%
mean drawdown
mod. VaR 95%
0.10%
Cornish-Fisher
martin ratio
880.28
ret / ulcer
CDaR 95%
3.50%
cond. drawdown
gain/pain
1.02
Σgain / Σ|loss|
sterling
504.28
ret / CDaR
omega (θ=0)
1.02
upside/downside
roll spread
0.0 bps
implied (price-only)
bars used
2000
store
spread
—
24h Δ
8.68%
flow lean
—
carry
longs_pay
10.95%
signalNEUTRALconfidence 32%
  • 24h change +8.68%
  • funding: longs pay — perp shorts get paid to wait
  • mark rich vs HL oracle by 7.8bps — fade/short bias
Same bundle via M2M API: /api/m2m/hl-tao/bundle · venue execution: hyperliquid →
LIVEPOLL0SRCFRESH6.1s⏱--:--:-- 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
$269.910
24h Δ · live
8.68%
24h vol · live
$76.6M
TAO · live 24h price
n=25 · μ=264.7232 · σ=8.6818 · range [246.4400, 276.1300] · R²=0.617▲ RISING +9.88%σ NORMAL 3.28%LAST 270.8000276.1300268.7075261.2850253.8625246.4400μ = 264.7232max 276.1300min 246.4400dataMA(5)OLS R²=0.62μ lineμ ± σ bandmaxminlive endpoint
25 closes · last $270.80
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=295,401 · μ=11816.0 · σ=9129.7 · CV=0.77FADING -51% h/hcumulative energy ↗ · 50% by h=809,29918,59727,89637,194μ = 1181637,194.0250%h1h5h9h13h17h21h25#1 peak#2-3> μactivequietμ linecum energy
peak 37194 contracts
Live numerics · pulse on poll
LIVE NUMERICS9 metrics·POLL 0
⏱snapshot age
6.1s
$mark $
$269.91
$mid $
$270.12
◉prev-day close
$248.35
Δ24h Δ %
+8.681%
$24h vol $
$76.56M
◐open interest $
$56.37M
%funding (1h)
0.001250%
%funding (yr)
+10.95%/yr

§1 · 24h time-series

Close price · hourly
n=25 · μ=264.7232 · σ=8.6818 · range [246.4400, 276.1300] · R²=0.617▲ RISING +9.88%σ NORMAL 3.28%LAST 270.8000276.1300268.7075261.2850253.8625246.4400μ = 264.7232max 276.1300min 246.4400dataMA(5)OLS R²=0.62μ lineμ ± σ bandmaxmin
mark $269.9100 · 24h 8.68% · range $[246.4400, 276.1300]
OHLC candles · hourly
n=25 · up 14 · down 11 (56% up) · range [243.4200, 283.5600] · σ=8.6818 · CV=0.03 · bodyµ=41%BULLISH +10.27%CLOSE 270.8000 vs OPEN 245.5700 (+10.27%)&#9650; CLOSE 270.8000283.5600273.5250263.4900253.4550243.4200μ close = 264.7232O245.570 H250.000 L243.420 C246.440 (+0.35%)O245.570 H250.000 L243.420 C246.440 (+0.35%)O246.300 H251.940 L245.140 C248.320 (+0.82%)O246.300 H251.940 L245.140 C248.320 (+0.82%)O248.420 H256.450 L246.390 C256.160 (+3.12%)O248.420 H256.450 L246.390 C256.160 (+3.12%)O256.270 H266.620 L256.180 C265.710 (+3.68%)O256.270 H266.620 L256.180 C265.710 (+3.68%)O265.980 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 C270.800 (-1.87%)O275.960 H276.310 L269.370 C270.800 (-1.87%)#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=295,401 · μ=11816.0 · σ=9129.7 · CV=0.77FADING -51% h/hcumulative energy &nearr; · 50% by h=809,29918,59727,89637,194μ = 118167,801.596 · 21.0% peak7,801.596 · 21.0% peak8,138.237 · 21.9% peak8,138.237 · 21.9% peak10,067.709 · 27.1% peak10,067.709 · 27.1% peak18,534.423 · 49.8% peak18,534.423 · 49.8% peak28,395.88 · 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% peak1,984.3 · 5.3% peak1,984.3 · 5.3% peak50%#1#5#9#13#17#21#25#1 peak#2-3> μactivequietμ linecum energy
Σ vol 295401 · peak 37194 · CV 0.77

§2 · Returns distribution (log-returns)

Histogram of rₜ = ln(pₜ/pₜ₋₁)
n=24 · 12 bins · μ=0.0036 · σ=0.0165 · skew=0.65 (right-skewed) · kurt=-0.44 (mesokurtic)43210 3-189.72bpbin -189.72bp · n=3 · 75.0% peakbin -189.72bp · n=3 · 75.0% peak 1-138.52bpbin -138.52bp · n=1 · 25.0% peakbin -138.52bp · n=1 · 25.0% peak 3-87.33bpbin -87.33bp · n=3 · 75.0% peakbin -87.33bp · n=3 · 75.0% peak 4-36.14bpbin -36.14bp · n=4 · 100.0% peakbin -36.14bp · n=4 · 100.0% peak 315.05bpbin 15.05bp · n=3 · 75.0% peakbin 15.05bp · n=3 · 75.0% peak 466.24bpbin 66.24bp · n=4 · 100.0% peakbin 66.24bp · n=4 · 100.0% peak117.43bp 2168.62bpbin 168.62bp · n=2 · 50.0% peakbin 168.62bp · n=2 · 50.0% peak219.81bp 1271.00bpbin 271.00bp · n=1 · 25.0% peakbin 271.00bp · n=1 · 25.0% peak 1322.19bpbin 322.19bp · n=1 · 25.0% peakbin 322.19bp · n=1 · 25.0% peak 2373.38bpbin 373.38bp · n=2 · 50.0% peakbin 373.38bp · n=2 · 50.0% 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=0.53 · kurt=-0.46 · near 19 / mid 5 / 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
$269.91
Mid price
$270.12
24h change
+8.68%
Mark–mid spread
7.78 bps
Prev-day close
$248.35

§4 · Sample moments (prices)

Descriptive statistics · 5-number summary · shape diagnostics
SAMPLE MOMENTS · N=25APPROXIMATELY NORMAL · WELL-BEHAVED
μ MEAN264.7232$95% CI: [261.3199$, 268.1265$]
σ STD DEV8.6818$σ² = 75.373 · CV = 3.28%
med MEDIAN265.0000$Q₁ 260.4600$ · Q₃ 270.8000$
FIVE-NUMBER SUMMARY · BOX PLOTrange 29.6900$ · IQR 10.3400$ (1.349σ→11.7117$)
min 246.4400$Q₁ 260.4600$med 265.0000$Q₃ 270.8000$max 276.1300$μ
SKEWNESS · G₁-0.418approximately symmetric
−3−10+1+3
EXCESS KURTOSIS · G₂-0.793mesokurtic · normal-like
−30+2+4+6
μ ↔ median≈ equal · symmetric|μ−med| / σ = 0.03
σ × 1.349 ↔ IQRconsistent with normalratio = 1.13
range ↔ σconcentrated (range < 4σ)range / σ = 3.42
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-ADJUSTEDEXCEPTIONAL EDGE · SR=21.22
μᵣ MEAN / h+0.392758%drift is positive per h · |μ|/σ = 0.227
σᵣ STD / h1.732476%σ²ᵣ = 3.001×10⁻⁴ · CV = 4.41×
σ ANNUALISED162.15%/yrscaled by √8760 (hourly→yearly) · 1.732%/h base
RISK-ADJUSTED PERFORMANCEhigher = better edge per unit risk
SHARPE (annualised)21.22excellent · top-decile
-2-10+1+2+3+4
SORTINO (annualised)29.11strong downside-adjusted
-2-10+1+2+3+4
CALMAR (return / max-DD)100.00exceptional DD control
-20+2+4+6
RETURN-DISTRIBUTION SHAPE|skew| < 0.5 ≈ symmetric · |kurt| < 1 ≈ mesokurtic
SKEWNESS · G₁0.56right-skewed · heavy positive tail
-3-10+1+3
EXCESS KURTOSIS · G₂-0.27mesokurtic · normal-like tails
-30+2+4+6
SORTINO vs SHARPEdownside vol < total vol · favourableSoR / SR = 1.37
CALMAR · DD CONTROLdrawdown control exceptionalCR = 100.00
EXPECTED EDGE+3440.56%/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 2.09%
VaR₉₅ (h)2.091%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 DRAWDOWN5.38%5h from peak to trough
TAIL-RISK LADDER (h losses)larger negative = worse · markers show severity
0 · no lossVaR₉₅−2.091%VaR₉₉−2.148%ES₉₅−2.143%worst tail ←→ zero loss
MAX DRAWDOWN PROFILEsignificant drawdown · 5h duration
PEAK26571.00$
−5.38% drawdown over 5h
25142.00$TROUGH
ES / VaR · TAIL THICKNESSthin tails · ES ≈ VaR|ES₉₅| / |VaR₉₅| = 1.03× (normal ≈ 1.25)
VaR₉₉ / VaR₉₅ · CONCENTRATIONuniform tailratio = 1.03× (normal ≈ 1.41)
DRAWDOWN · CAPITAL DURATIONsignificant drawdownrecovery needed: +5.68% (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)
61.0 · neutral
Bollinger %B
0.632 · within band
Bollinger upper
$281.6599
Bollinger MA
$266.9195
Bollinger lower
$252.1791

§8 · Time-series structure

Regime & autocorrelation diagnostics
TIME-SERIES STRUCTUREREGIME: INDETERMINATE · weak signal at n=24
ρ(1) AUTOCORR+0.108within white-noise band
ρ(2) AUTOCORR-0.027lag-2 not significant
H · HURST EXPONENT0.982strongly persistent
OLS TREND · t-STAT+6.093significant @ α=0.05
HURST EXPONENT [0, 1]strongly persistent · H = 0.982
H = 0.982STRONGLY 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+0.108k=2-0.027k=3-0.131k=4-0.134k=5-0.2510+1−1+0.41−0.41+ momentum (ρ > +0.41)− reversal (ρ < −0.41)noise (within band)±2/√n threshold
OLS TREND · t-STAT · [-5, +5]SIGNIFICANT @ 1% (|t|=6.09)
−5 reject−1.960 retain H₀+1.96+5 reject
REGIME CLASSIFICATIONINDETERMINATE · weak signal at n=24from Hurst + ρ(1) joint diagnosis
PREDICTABILITY · score 1.00very high · strong structure|ρ(1)| + 2·|H − 0.5| heuristic
TREND SIGNIFICANCESIGNIFICANT @ 1% (|t|=6.09)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)
$76.56M
Open interest (USD)
$56.37M
Vol / OI (turnover)
1.36x
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 3.99% · worst -2.15% · typical |Δ| 1.33%MILD BULLISH +9.43%BEST+3.99%02hWORST-2.15%18hTYPICAL |Δ|1.33%mean absoluteCUMULATIVE+9.43%Σ signed ΔSTREAK↘ 1down-runASIA · 00-08 UTCμ +0.32% · Σ +2.56%EUROPE · 08-16 UTCμ +0.86% · Σ +6.89%US · 16-24 UTCμ -0.00% · Σ -0.03%CUMULATIVE Δ PATH · final +9.43%+11.38%0.00%0.76% · 12h0.76% · 12h0.76%12h3.11% · 13h3.11% · 13h3.11%13h3.66% · 14h3.66% · 14h3.66%14h-1.00% · 15h-1.00% · 15h-1.00%15h0.73% · 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-1.85% · 11h-1.85% · 11h-1.85%11hTIME PATTERNEurope-led (+6.89%)RUNSup max 7 · down max 4BREADTH54% up · 46% down
13 up bars · 11 down · best 3.99% · worst -2.15% · typical |Δ| 1.332%

§12 · Equity curve & underwater drawdown

Cumulative compounded return + running peak-to-trough
EQUITY & DRAWDOWN ANALYSIS · n=25 barsPROFITABLE +9.49%FINAL+9.49%MAX DD-5.43%RECOVERYONGOING · 11 barsMAX RUN-UP+11.72%UNDERWATER20/25 (80%)STREAK↘ 1EQUITY CURVE · end 1.0949 · peak 1.1172 · range [1.0000, 1.1172]1.11721.0000break-even = 1★ PEAK 1.1172UNDERWATER DRAWDOWN · max -5.43% · significant0%-5.43%▼ TROUGH -5.43%TOP DRAWDOWN PERIODS · 2 total#1 -5.43%bar 5-15 · 11 bars · recovered#2 -2.83%bar 17-25 · 9 bars · ONGOINGDD SEVERITYsignificant (max -5.43%)RECOVERYongoing · 21 barsTIME UNDER WATER80% of session · 20/25 bars
final equity 1.0949 (9.49%) · max DD -5.43% · time-under-water 20/25 bars

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

Rolling annualised Sharpe ratio · green positive · red negative
n=19 · +12 / −7 (63% positive) · μ=14.97 · σ=47.16MIXED EDGELAST -17.28 (-0.68σ vs μ)117.5458.770.00-58.77-117.54μ = 14.9749.6049.6022.1222.12-13.16-13.16-35.82-35.82-8.46-8.46-8.12-8.121.861.8632.9732.97117.54117.5481.2281.2258.6458.6444.8544.8546.0546.0530.8830.8813.6613.66-64.45-64.45-71.24-71.243.633.63-17.28-17.28v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -17.284 · range [-71.24, 117.54] · μ 14.971 · positive Sharpe = excess-return-per-risk earned by buying-and-holding through this window
Rolling annualised volatility (%)
n=19 · μ=147.3037 · σ=45.2245 · range [56.1922, 222.6438] · R²=0.308▼ FALLING -17.31%σ EXTREME 30.70%LAST 153.0117222.6438181.0309139.418097.805156.1922μ = 147.3037max 222.6438min 56.1922dataMA(3)OLS R²=0.31μ lineμ ± σ bandmaxmin
latest 153.01% · range [56.19%, 222.64%] · μ 147.30% · σ̂ scaled to annualised (×√8760)
Rolling lag-1 autocorrelation ρ(1)
n=19 · +9 / −10 (47% positive) · μ=-0.007 · σ=0.247CLOSE TO MARTINGALELAST -0.332 (-1.32σ vs μ)0.4260.2130.000-0.213-0.426μ = -0.0070.0360.0360.2360.2360.0170.017-0.145-0.1450.2720.2720.4170.4170.3200.320-0.172-0.1720.4100.410-0.127-0.127-0.426-0.426-0.276-0.276-0.243-0.243-0.162-0.1620.0240.024-0.007-0.007-0.022-0.0220.0480.048-0.332-0.332v > 0 · positivev < 0 · negativeμ mean lineμ ± σ bandlatest bar (outlined)
latest -0.332 · |ρ| > 0.3 ⇒ regime with persistence (ρ > 0) or reversal (ρ < 0) · |ρ| ≤ 0.1 = consistent with random walk

§14 · Hypothesis tests (α = 0.05)

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

Jarque-Bera

FAIL TO REJECTns

H₀: Δln-r ~ Normal(μ, σ²)

STATISTIC
1.3448
p-VALUE (log scale)
0.5105
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
3.4816
p-VALUE (log scale)
0.6286
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
-2.2231
p-VALUE (log scale)
0.2029
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
-1.2264
p-VALUE (log scale)
0.2201
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedsigns appear random (10 runs)
χ

KPSS (μ stationarity)

REJECT H₀*

H₀: p IS level-stationary

STATISTIC
0.7008
p-VALUE (log scale)
0.0135
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
0.5121
p-VALUE (log scale)
0.6086
α
10⁻⁴10⁻³10⁻²10⁻¹1
p ≥ α · null retainedVR 1.156 ≈ 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=3.23e-4 · top T=12.00h (22.8%) · top-3 cover 58.9%2 SIGNIFICANT CYCLEScumulative energy ↗ (2 bins above 2× noise)8.8e-46.6e-44.4e-42.2e-40.0e+0μ noise floor2× noise (significance)period 24.0 · power 9.68e-7 · 0.0% energyperiod 24.0 · power 9.68e-7 · 0.0% energyperiod 12.0 · power 8.84e-4 · 22.8% energyperiod 12.0 · power 8.84e-4 · 22.8% energyperiod 8.0 · power 1.70e-4 · 4.4% energyperiod 8.0 · power 1.70e-4 · 4.4% energyperiod 6.0 · power 5.50e-4 · 14.2% energyperiod 6.0 · power 5.50e-4 · 14.2% energyperiod 4.8 · power 1.46e-5 · 0.4% energyperiod 4.8 · power 1.46e-5 · 0.4% energyperiod 4.0 · power 5.52e-4 · 14.3% energyperiod 4.0 · power 5.52e-4 · 14.3% energyperiod 3.4 · power 3.77e-4 · 9.7% energyperiod 3.4 · power 3.77e-4 · 9.7% energyperiod 3.0 · power 2.06e-4 · 5.3% energyperiod 3.0 · power 2.06e-4 · 5.3% energyperiod 2.7 · power 1.90e-4 · 4.9% energyperiod 2.7 · power 1.90e-4 · 4.9% energyperiod 2.4 · power 6.02e-5 · 1.6% energyperiod 2.4 · power 6.02e-5 · 1.6% energyperiod 2.2 · power 2.40e-5 · 0.6% energyperiod 2.2 · power 2.40e-5 · 0.6% energyperiod 2.0 · power 8.44e-4 · 21.8% energyperiod 2.0 · power 8.44e-4 · 21.8% energy50% by T=4.0h#1 dominantT=12.00h#2T=2.00h#3T=4.00hT=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 ≈ 12.00h (freq 0.083) · concentrates 22.8% of total energy · Σ|X̂|²/n = 3.874e-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 -0.000% per barparametric μ/σ² -7.06× · μ -0.000% · σ 0.07%
μ per barmean
-0.000%
σ per barvol
0.07%
Empirical f★argmax g(f)
0.00×
from observed distribution
Parametric f★μ/σ²
-7.06×
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 -8.59400 paths × 720 bars · leverage 0.10× · bootstrap from 4999 observed returns
Sharpe / barμ/σ
-0.004
annualized -8.59
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
-0.0%
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 -11.08σ ann 157% · Sortino -10.54 · n 4999 · ⚠ capped (n=4999 too small to support 8760-bar projection)
-1330%-1026%-722%-419%-115%188%-1000.0%APR (simple)-100.0%APY (compound)156.9%Ann. vol σ-1108.0%Sharpe (ann)-1053.7%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 = 1.005% · long-run σ = 2.236%
254.694262.557270.420278.282286.145294.008t-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 11:25:15 UTC
Snapshot age
6.1s
History points
25 hourly closes
Page rendered
2026-06-14 11:25:22 UTC
Storage policy
no persistence — fetched on every request
SHA-256 attestation
dfbf5402ec096a5cb1b61251219978bf1e0c9c790883353c4f17d42fe8dfad86 · 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 PREDGermany94.4¢HL PREDSpain90.4¢HL PREDUruguay66.6¢HL PERPBTC-USD perpetual$64,528HL PERPETH-USD perpetual$1,673.8HL PERPHYPE-USD perpetual$60.79

Also see: /arb opportunities · RSS feed

Market depth

▸ live order book · Hyperliquid perp
Depth within 1bp
$11.59K
bid $1.64K · ask $9.95K
Depth within 5bp
$31.39K
bid $8.98K · ask $22.40K
Depth within 10bp
$61.27K
bid $17.32K · ask $43.95K
Depth within 50bp
$98.68K
bid $33.82K · ask $64.86K
Mid price
270.495000
(best bid + best ask) / 2
Spread
0.4bp
(bestAsk − bestBid) / mid
Imbalance (whole book)
-0.314
ask-heavy
Imbalance (top-5)
-0.550
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-tao/slippage?size=10000&side=buy

SideNotionalAvg fillSlippageWorst fillLevelsStatus
BUY$1.00K270.500.18bp270.501FILLED
BUY$10.00K270.500.19bp270.532FILLED
BUY$100.00K270.707.56bp270.8620PARTIAL
SELL$1.00K270.480.45bp270.472FILLED
SELL$10.00K270.432.56bp270.359FILLED
SELL$100.00K270.268.52bp270.1220PARTIAL

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$1.98K
$269.00–$270.002$9.49K
$268.00–$269.001$4.73K
$265.00–$266.003$38.84K
$264.00–$265.001$5.77K
$263.00–$264.001$28.40K
$262.00–$263.003$49.37K
$260.00–$261.001$12.38K
$256.00–$257.00★3$54.07K
$251.00–$252.001$17.55K
$248.00–$249.001$8.14K
$246.00–$247.001$7.80K

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

Order flow

▸ ASK-LEAN · -0.155 · Hyperliquid candles
Bars (buy / sell)
13 / 11
1 unclassified
Buy weight
$121.50K
real volume
Sell weight
$166.10K
real volume
Net delta
$44.59K
sellers net
Imbalance
-15.50%
(buy − sell) / (buy + sell)
Toxicity (VPIN)
15.5%
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 · 4 found · deepest 5.38% · 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 17:00:00Z3.0h265.71→251.425.378%4
#22026-06-14 06:00:00Z3.0h275.81→268.352.705%4
#32026-06-14 11:00:00Z0ms275.86→270.801.834%1

/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)
156.93%
σ per bar = 0.000684
Mean return (annualised)
-1738.84%
μ per bar = -0.000003
Sharpe (rf=0)
-11.08
annualised; risk-free assumed zero
Max drawdown
6.14%
peak 282.50 → trough 265.15 over 2891 bars

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