BTC Contango Index

2020년 9월 20일

Inspired by a Twitter post by Byzantine General:

This is a script that shows the contango between spot and futures prices of Bitcoin to identify overbought and oversold conditions. Contango and backwardation are terms used to define the structure of the forward curve. When a market is in contango, the forward price of a futures contract is higher than the spot price. Conversely, when a market is in backwardation, the forward price of the futures contract is lower than the spot price.

The aggregate prices on top exchanges are taken and then averaged to obtain a Spot Average and a Futures Average. The script then plots (Futures Average/Spot Average) - 1 to illustrate the percent difference (contango) between spot and futures prices of Bitcoin.

When in contango, Bitcoin may be overbought.
When in backwardation, Bitcoin may be oversold.

2020년 10월 22일

릴리즈 노트

Updated to show contango/backwardation in real time — just select your current timeframe in the dropdown menu.

2020년 10월 22일

릴리즈 노트

Updated to show contango/backwardation in real time — just select your current timeframe in the dropdown menu.

2020년 10월 22일

릴리즈 노트

Updated image

2020년 10월 28일

릴리즈 노트

Added an option to show VWAP of the contango line, which can help to filter noise.

2020년 10월 31일

릴리즈 노트

Added more markets to aggregate prices from.

2020년 11월 2일

릴리즈 노트

Added options in the menu to select which exchanges are included in the calculation. Because of the logic, some exchanges are paired - may find a way to unpair them later.

2020년 12월 16일

릴리즈 노트

Updated to include an option for repainting -- default value is true, meaning the script will repaint the current bar.

False = Not Repainting = Value for the current bar is not repainted, but all past values are offset by 1 bar.

True = Repainting = Value for the current bar is repainted, but all past values are correct and not offset by 1 bar.

In both cases, all of the historical values are correct, it is just a matter of whether you prefer the current bar to be realistically painted and the historical bars offset by 1, or the current bar to be repainted and the historical data to match their respective price bars.

As explained by TradingView,`f_security()` is for coders who want to offer their users a repainting/no-repainting version of the HTF data.

Also repaired the three paired exchanges so they make more sense:
Coinbase/Deribit --> Coinbase/Bitmex
Bitfinex/Bitmex --> Bitfinex/Bybit
Bitstamp/Bybit --> Bitstamp/Deribit

Removed the option to show VWAP.

2021년 1월 3일

릴리즈 노트

Removed the timeframe input to simplify the script.

2021년 1월 9일

릴리즈 노트

Fixed a bug in the final logic.