The strategy does not always catch the top/bottom perfectly, but it would have been profitable 5 months in a row if executed properly. I noticed that every month for the last 5 months XBT went in backwardation at the end of every month around the 24th - 28th. Typically backwardation is a great buying opportunity to go long, however since the current trend is i prefer to trade with current trend. Since backwardation was repeatable, and likely driven by commercial interest or other fundamentals, I was curious to see if there was a time each month that would be best time to take a short? So far I have noticed between the 6th and 10th each month would provide a profitable trade to hold until later in the month in hopes of catching backwardation to cover.
All this analysis was made possible with my indicator script the XBT Contango Calculator. I have been making improvements to the original code and hope to release Version 3 in the near future.
Also, another note is that premium on March futures contract dropped from +$139 down to +35 today which is an additional $100 profit over same trade with spot XBTUSD. However, please note that XBT futures are not nearly as liquid and stop-market orders can have big slippage during fast moves. I have slipped over $100 dollars before, so be aware. I am using small position and see the risk-reward as zero using Futures in this scenario, because slippage is $100 risk but I am betting on making an extra $100+ on premium decay during price drop. Futures also don't pay/receive funding, another thing to consider.
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