10-Year Treasury Curve Steepener Bot (ZNU6) – Free Python Quant Trading Strategy Source Code

Download the complete, production-grade Python source code for an institutional 10-Year Treasury Curve Steepener trading bot. Built for CBOT 10-Year Treasury Note Futures (ZNU6), this broker-agnostic algorithmic framework is engineered with zero proprietary dependencies—ready to inspect, backtest, and adapt.

Strategy Overview

Most retail traders spend months trying to code a systematic strategy from scratch, only to get trapped by curve-fitting or broken API dependencies.

This package provides the complete blueprint for an Institutional 2s10s Steepener Flow Follower. The bot operates on 60-second bar intervals, tracking momentum and breakout dynamics on front-month 10-Year Treasury Futures (ZNU6) while enforcing disciplined ATR volatility scaling and strict capital-preservation rules.

Estimated Strategy Metrics (ZN Benchmark)

Figures represent the median benchmark across 12 institutional ZN backtests (individual configuration estimated):

Under the Hood: Institutional Quant Architecture

1. Signal & Indicator Engine

• Trend & Momentum: Dual EMA/SMA crossovers paired with RSI and MACD confirmation.
• Breakout Detection: Donchian channel tracking for expansion phases.
• Regime Filter: Realized-volatility and VIX scaling to pause execution in adverse spread conditions.

2. Position Sizing & Trade Management

• Dynamic Sizing: Inverse-volatility (ATR) contract sizing (up to 5 contracts max).
• Scaled Profit-Taking: Tiered R-multiple profit distribution.
• Disciplined Exits: Ratcheting trailing stops, hard invalidation exits, and max-holding-period time stops.

3. Defense & Circuit Breakers

• Consecutive-loss cutoffs & daily/weekly maximum drawdown locks.
• Stale data feed watchdog & CBOT maintenance window protection.
• Full async event telemetry emitting clean JSON audit logs for all orders and fills.

Technical Requirements

• Language: Python 3.10 or newer
• Dependencies: Zero third-party proprietary libraries required (Built on asyncio, logging, typing)
• Input Data: Any standard 1-minute OHLCV bar stream (CSV, REST, or WebSocket)
• Broker Interface: Decoupled adapter layer—easily routes to paper simulation, Interactive Brokers, Tradovate, NinjaTrader, or proprietary endpoints.

Frequently Asked Questions

Q: Why is this source code free?
A: This codebase is distributed under an open educational quant initiative to provide clean, readable architectural references for algorithmic traders and Python developers.

Q: Does this bot require an expensive data vendor or Redis server?
A: No. All proprietary Rithmic/Redis infrastructure code has been converted into simple, clearly commented execution stubs so you can plug in any data feed or paper engine you prefer.

Q: Can I modify this for other instruments (e.g., ES, NQ, UB)?
A: Yes. Simply update the SYMBOL constant and recalibrate the tick value and ATR parameters in the configuration block.

Detailed breakdown: Inside a Treasury Futures Trading Strategy