3.16
Event-Driven M&A
PYTHON PLUGIN
Stocks
Event Driven
Description
Strategy 3.16: M&A arbitrage - long target at discount to offer price
Strategy Logic
Strategy 3.16: Event-Driven M&A Arbitrage.
After M&A announcement, go long the target company at a discount
to the offer price. Profit is the spread between current price
and the deal price as the deal closes.
Expects 'deal_price' and 'deal_announced' columns in data.
Falls back to detecting large positive gaps as potential M&A events.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| min_spread_pct | 0.02 | float |
| max_spread_pct | 0.3 | float |
| gap_threshold_pct | 0.1 | float |
| volume_surge_multiple | 3.0 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 8.0% |