#include <contract.c>
// Global parameters for the covered call strategy
var PremiumTarget = 100; // Target premium income from selling the call
int DaysToExpiration = 45; // Target days until expiration for the call option
var StrikeOffset = 100; // Offset from the current price for strike selection
void run() {
// Setup basic parameters
BarPeriod = 1440; // Use daily bars
LookBack = 0; // No need for historical bars in this setup
StartDate = 2020;
EndDate = 2024; // Set your backtest period
assetList("AssetsIB");
asset("SPY"); // Example using SPY ETF as the underlying asset
// Ensure we're trading in American Options for SPY
AmericanOption = 1;
// Update the contract chain for the underlying asset
if(!contractUpdate(Asset, 0, CALL)) return;
// Trading logic executed once per day
if(is(EXITRUN)) return; // Skip logic at the end of the backtest
// Check if we already own SPY
if(!NumOpenLong) enterLong(1); // Enter long position if we don't own SPY
// Sell a call option if we haven't already
if(NumOpenShort == 0) {
var CurrentPrice = priceClose(0);
var StrikeCall = CurrentPrice + StrikeOffset;
// Finding the call option contract
CONTRACT* callContract = contractFind(CALL, DaysToExpiration, StrikeCall);
if(callContract) {
// Enter a short position by selling the call option
enterShort(1, callContract);
}
}
// Managing the open option position
for(open_trades) {
CONTRACT* c = ThisTrade->Contract;
if(TradeIsOption && TradeIsShort && (comboProfit(c->fAsk, 1) > PremiumTarget || daysToExpiration(c) < 5)) {
exitTrade(ThisTrade); // Close the call option if premium target is reached or approaching expiration
}
}
}
// A more refined function for calculating days to expiration based on contract data
int daysToExpiration(CONTRACT* c) {
if(!c) return 0;
return (c->Expiry - wdate()) / 86400; // Convert seconds to days
}