SPY Covered Call, Weekly, Trend-Filtered

The classic US income trade with a trend filter. Hold 100 SPY shares while SPY's last 60-minute close is above its 50-period EMA and ADX(14) on 60-minute candles is above 18; sell the shares when the 60-minute close drops below the EMA. Every Monday at 10:00 ET while the shares are held, sell one SPY call nearest 0.20 delta on the current weekly (Friday) expiry. Buy the call back at 50% of the credit, when the trend filter breaks (shares sold), or at 15:45 ET on expiry day; the call is always closed before expiry, so shares are never called away. Capital per multiplier: $80,000, which covers 100 SPY shares at the highest SPY price in the backtest window (about $779); the shares are paid for in full (no margin borrowing) and the short call is covered by them, so it needs no extra margin. Times are US Eastern (Time(XCBO) clock).

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