The k-value algorithm of HedgeFutures is adjusted as follows
σ = |(S1 - S0) / S1 / T^0.5|
K = 0.002 * max(σ/σ0, 1) + t^0.5 * max(σ, σ0)
Variable description:
- S1 represents current price
- S0 represents previous price
- T represents seconds between S1 and S0
- σ represents real-time volatility
- t represents seconds between S1 to now
- σ0 represents long-term volatility of ETH, which is currently set to 0.00021368
FORT Core
2021.10.26