S2
Bonds
US Treasury Yield-Curve Spreads
us treasury yield-curve spreads — regime-aware mean reversion across the long end.
deliverables · S23 of 3
✓Pine v6
✓NinjaScript C#
✓Python
documentation pack · S25 artifacts required
- ✓available
Whitepaper
S2 RX07 SPRD_MR Bonds 5-leg paper exists in OneDrive 17 Bond/FX Algo Upgrades
- ○pending
Standing requirements
- ✓available
Live heatmap
S2 RX07 100%-parameter heatmap shipped — 16/16 SHIP, leak-free (40fa41f)
- ◐partial
Calibration matrix
Q7_Calibration_Matrix_S2.xlsx exists locally; UI render pending
- ◐partial
Change / defect / repair log
assets · 4 × 4 timeframes
SPRD_5_10
5/10 · ZN long-leg (spread ZN−0.55·ZF)
symbol
CBOT:ZN1!
default tf
60m
SPRD_5_30
5/30 · ZB long-leg (spread ZB−0.25·ZF)
symbol
CBOT:ZB1!
default tf
60m
SPRD_10_30
10/30 · ZB long-leg (spread ZB−0.45·ZN)
symbol
CBOT:ZB1!
default tf
60m
SPRD_30_UB
30y/Ultra · UB long-leg (spread UB−0.80·ZB)
symbol
CBOT:UB1!
default tf
60m
routing
default venueNinjaTrader
alternatesTradovate