This is a script that shows the contango between spot and volumes of Bitcoin to identify overbought and oversold conditions. When a market is in contango, the of a contract is higher than the spot . Conversely, when a market is in backwardation, the of the contract is lower than the spot .
The aggregate daily volumes on top exchanges are taken to obtain Total Spot and Total . The script then plots (Total /Total Spot ) - 1 to illustrate the percent difference (contango) between spot and volumes of Bitcoin . This data by itself is useful, but because aggregate volumes are so much larger than spot volumes, no negative values are produced. To correct for this, the Z-score of contango is taken. The Z-score (z) of a data item x measures the distance (in standard deviations StdDev) and direction of the item from its mean (U):
Z-score = (x - U) / StDev
A value of zero indicates that the data item x is equal to the mean U, while positive or negative values show that the data item is above or below the mean (x Values of +2 and -2 show that the data item is two standard deviations above or below the chosen mean, respectively, and over 95.5% of all data items are contained within these two horizontal references). We substitute x with contango C, the mean U with ( ) of n periods (50), and StdDev with the standard deviation of closing contango for n periods (50), so the above formula becomes: Z-score = (C - (50)) / StdDev(C,50).
When in contango, Bitcoin may be overbought.
When in backwardation, Bitcoin may be oversold.
The current bar calculation will always look incorrect due to TV plotting the Z-score before the bar closes.
Contango = (Futures OBV / Spot OBV) - 1
Also changed the sma period (n) in the Z-score calculation to 20.
Coinbase/Deribit --> Coinbase/Bitmex
Bitfinex/Bitmex --> Bitfinex/Bybit
Bitstamp/Bybit --> Bitstamp/Deribit
قام مؤلف هذا النص البرمجي بنشره وجعله مفتوح المصدر، بحيث يمكن للمتداولين فهمه والتحقق منه، وهو الأمر الذي يدخل ضمن قيم TradingView. تحياتنا للمؤلف! يمكنك استخدامه مجانًا، ولكن إعادة استخدام هذا الكود في منشور تحكمه قواعد الموقع. يمكنك جعله مفضلاً لاستخدامه على الرسم البياني.