Bond Yield-Curve Spreads
Q7 AEGIS AI S2 — Bond Yield-Curve-Spread Architecture
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abstract
We describe S2, the bond-curve member of the Q7 AEGIS AI family, which trades the cointegration of US Treasury futures yield-curve spreads — the dollar-weighted residual between two leg prices — across four canonical spreads (5y/10y, 10y/30y, 5y/30y, 30y/ultra) and four intraday horizons. The spread is stationary where the outright is not; the architecture trades the residual's mean-reverting structure while respecting the regime shifts that break cointegration.
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