15.2.2
Buying Outstanding Debt
PYTHON PLUGIN
Distressed
Activist
Description
Strategy 15.2.2: Buy deeply discounted debt expecting debt-to-equity conversion
Strategy Logic
Strategy 15.2.2: Buy outstanding debt at a discount expecting
post-reorganization debt-to-equity conversion.
Signal: BUY when debt trades at deep discount AND company is in
Chapter 11 (or proxy: severe distress). Signal strength is driven
by price-to-par discount.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| par_value | 100.0 | float |
| discount_threshold_pct | 0.5 | float |
| chapter11_flag_col | chapter11 | str |
| price_decline_proxy_pct | 0.6 | float |
| lookback | 252 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 30.0% |
| Take Profit Pct | 80.0% |
| Max Drawdown Pct | 40.0% |