15.1
Distressed Debt Buy & Hold
PYTHON PLUGIN
Distressed
Value
Description
Strategy 15.1: Buy distressed debt at steep discounts (spread > 1000 bps)
Strategy Logic
Strategy 15.1: Distressed Debt Buy-and-Hold.
Buy distressed debt trading at steep discounts (yield spread > 1000 bps
over Treasuries). Diversify across industries and seniority buckets.
Establish positions around key calendar dates (end of default month,
bankruptcy-filing month).
Signal: BUY when yield spread exceeds threshold; strength proportional
to the magnitude of the spread above the threshold. Uses 'yield_spread'
or 'spread' column when available, otherwise approximates distress from
the percentage decline of the bond / equity price from its 52-week high.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| spread_threshold_bps | 1000 | int |
| price_decline_proxy_pct | 0.4 | float |
| lookback | 252 | int |
| min_instruments | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 15.0% |
| Take Profit Pct | 40.0% |
| Max Drawdown Pct | 25.0% |