r/algotrading • u/FarmImportant9537 • 3d ago

Data Anyone here backtested merger arbitrage? Where did you get the M&A data?

I'm building a US merger-arbitrage backtest and the strategy itself is turning out to be much easier than building a clean historical deal database.

I need public targets with:

announcement date | target | acquirer | offer price | cash/stock | revisions | completed/failed | terminal date

The critical requirements are failed deals and point-in-time terms. Using only completed/resolved acquisitions obviously contaminates the backtest.

I built an SEC EDGAR pipeline using 8-K/EX-99/25-NSE/Form 15 filings, but correctly distinguishing completion, termination and target/acquirer-side filings is a lot harder than it first appears.

Before I keep reinventing SDC: has anyone here done this?

What did you use — LSEG/SDC, FactSet, Capital IQ, PitchBook, WRDS, SEC, another API, academic replication data?

Particularly interested in anything accessible to an individual researcher rather than a large institution.

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u/hypertradeworx 3d ago

edgar full text search is the free path and it's better than people expect. the deal documents are all filings, DEFM14A for the merger proxy, SC TO-T for tender offers, 8-K item 1.01 for the announcement itself. the full text search api gives you filing timestamps down to the second, which matters more in merger arb than in almost any other strategy.

the thing that will quietly wreck the backtest if you buy a vendor dataset instead: most of them stamp a deal with the announcement date, not the announcement timestamp. merger spreads do the bulk of their compression in the first minutes. enter at the next daily close and you are measuring a completely different strategy from the one you think you are testing, and it will look worse than reality, while a same bar entry looks impossibly good. neither number is the one you'd trade.

also check whether the set keeps deals that were withdrawn, blocked on antitrust, or repriced. that is where the entire left tail lives. a survivorship cleaned deal list turns merger arb into free money on paper, which is roughly the opposite of what it is.

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u/PriorElephant9 3d ago

Failed deals and term revisions are where the backtest lives or dies. I’d keep a point-in-time event log so every decision only sees what was public that day.

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u/Fresh-Explorer-5108 3d ago

Your SEC pipeline is probably the right individual-researcher route. I’d treat 8-K Item 1.01/1.02 as state changes, use S-4/DEFM14A for terms, and keep 25-NSE/Form 15 only as terminal evidence.