XBT Contango / Backwardation Index [ rumpypumpydumpy ]

Experimental idea calculating the momentum of contango/backwardation of spot/perp vs futures as an index. Basically the "RSI" of C/B. Histogram displays the ratio of C/B vs chart close. Multiplier is arbitrary and just to be able to "magnify" the histogram to a visible level.

Has some interesting divergences and as well as ratio trends, zero line cross overs as well as upper and lower CBI/bollinger interactions.

I haven't looked at it properly, but I suspect due to the generally low fluctuations relative to price, intraday will probably be less and less useful as you go to shorter time frames. Most likely useful for higher TFs and could possibly even indicate tops/bottoms on higher TFs, eg significantly high and highest recent ratio + CBI divergence + CBI/BB upper/lower band touch/breach.

In general it seems to be that the higher the ratio the more likely the divs are to be valid.

By default it has the bitmex index as the future's tickerid (which doesn't produce anything useful). You WILL need to add the rest of the tickerid for the futures contract you wish to use - ie BITMEX:XBTM19

Note that due to nonexistent data on the contracts' open, the first x candles (default length is 14) will be inaccurate and you should use the previous contract's data for at least that period.


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