Cliff

Overview

Cliff estimates the 24-hour probability of liquidation by analyzing historical daily price movements. You choose a market, position side (long or short), cover amount, and leverage. We calculate your liquidation price using Hyperliquid's margin rules, then look at the last 366 days of daily candles to see how often price movements would have touched or crossed that liquidation level.

Touch Model

We use an OHLC touch model that considers intraday price extremes, not just close-to-close changes:

• For LONG positions: A liquidation occurs if the daily low (normalized by the day's open) falls by at least the liquidation distance d. Specifically: (low/open) - 1 ≤ -d
• For SHORT positions: A liquidation occurs if the daily high (normalized by the day's open) rises by at least the liquidation distance d. Specifically: (high/open) - 1 ≥ d

Probability Estimation

The probability is computed as the empirical frequency over the last 366 days of daily candles. For each day, we check if the price movement (using low for longs, high for shorts) would have triggered liquidation at the calculated distance threshold.

Assumptions & Limitations

• Daily independence: Each day's price movement is treated as independent
• Open-normalized: Moves are normalized by the day's open price, not the previous close
• OHLC only: The model uses only the high/low extremes from daily candles and does not consider intraday price paths beyond these extremes
• Historical sample: Based on 366 days of historical data; future market conditions may differ