Since creating the first version of the XBT Contango Calculator, I found that the first version is good a calculating contango and backwardation in real time, however does not do a good job of capturing historical data of brief moves. Since backwardation moves are often brief, and since the first version Contango Calc was based on candlestick closes, it did not do a good job of recording the move after it occurred.
It took me a couple versions to try and fix this an eventually settled on version 3 which I have been using on my own for the last few months. You can see in the comparison chart above it does a much better job of capturing backwardation moves and extreme contango. Below is a comparison of how it performed vs. Version 1 during December futures XBTZ19
In addition I have added high/low lines that can be used to understand the amount that futures premium/discount has moved in a specific time frame. For example, the big drop Bitcoin had on September 24th, XBTZ19 went from +$273 contango to -$247 backwardation = $520 move! This move was in addition to the spot price move which was almost -$1,700 from high to low and -$1,100 from open to close. See below:
The high/low lines can also be removed from the chart by unchecking a box in the input tab.
The last update is the ability to lock the spot price to be XBT (index) no matter what chart you pull up. This can be useful if evaluation XBT futures correlation to other bitcoin derivatives such as GBTC or CME futures. You can also disable this feature in the input tab, which will then just calculate based on the current chart you are viewing.
Current Contracts (December 2019) Blue = XBTM20 Orange = XBTH20
Hi there,
Great work!
I'm trying to get the backwardation "green" highlight to show up, I've tried changing the zero line to 100, any idea?
Cheers,
K
SchamBTC
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@BigCub, Backwardation doesnt happen until the indicator goes to zero or negative (Future price less than spot price). If you want to adjust the green background to give a green signal at a lower contango level then i would have to change the code. You can use the code from my first indicator v1.1 and then change the zero in the "bgcolor" line of code to whatever you like. I hope to do something similar in new indicator that i hope to release later this month. It is basically the same but will measures contango based on a percentage and will let you adjust the lower value
Fibonacci13
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Awesome work! I've been waiting for someone to make an indicator for backwardation/contango.
Cidney12
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Nice work!
secwang
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Great job!
donaldducck
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Great job sir!
What time frame do you recommend?
SchamBTC
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@donaldducck, Thank you. It should work on all time frames.
Great work!
I'm trying to get the backwardation "green" highlight to show up, I've tried changing the zero line to 100, any idea?
Cheers,
K