Usage

Contango Slope Index Usage

The CSI is plotted as a standalone oscillator beneath the price chart (non-overlay mode). Key interpretation guidelines:

Slope Direction

• Slope < 0 → Backwardation Indicates near-term volatility is higher than long-term expectations. Historically, this has preceded equity market rallies, as panic subsides and fear peaks.
• Slope > 0 → Contango Reflects normal market conditions where longer-dated volatility is priced higher. Persistent high contango may signal complacency.

Magnitude of Slope

• Slope > 0.0232 (%/yr) → Elevated complacency The term structure is steeper than historical average—caution advised ahead of potential corrections.
• Slope near 0 → Neutral or transitioning regime Markets may be at inflection points.

Slope vs. MA Crossover

• Slope crosses above MA → Improving confidence, potential upside acceleration
• Slope crosses below MA → Deteriorating structure, rising stress

Default Settings

Parameter	Value
Lookback Window	5 days
MA Type	SMA
MA Length	200
Plotted Elements	Slope line, MA, fill, reference lines
Regime Thresholds	0 (flat), 0.0232 (avg contango)

Recommended Use Cases

1. Equity Strategy Timing Use backwardation signals (slope < 0) as contrarian buy indicators in S&P 500 or broad market ETFs.
2. Risk Management Watch for elevated contango (>2.32%) as a warning sign before tightening exposure.
3. Volatility Trading Trade VIX ETNs (e.g., XIV, ZIV, VXX) based on slope momentum and regime shifts.
4. Macro Regime Detection Combine with trend-following models to filter trades during extreme fear/greed phases.