OTM Vs ITM Covered Call Following 200 Days SMA

The Python code you provided for your Covered Call with SMA Strategy seems to be logically sound. It correctly implements the logic of selling in-the-money calls when the market is bearish and out-of-the-money calls when the market is bullish, based on the comparison of the current price with the 200-day SMA.

However, there's a part of the code that seems to be incomplete. The last line of the code checks if the contract is not invested, but it doesn't specify what to do if that's the case. You might want to add the logic for that scenario.

if self.contract and not self.Portfolio[self.contract.Symbol].Invested:
    # Add your logic here

As for the contract number calculator you proposed, it seems to be a good idea. It calculates the number of shares that can be bought with the available cash and then determines the number of contracts that can be sold based on that. Just make sure to implement this logic in the appropriate place in your algorithm.

current_price = self.Securities[self.symbol].Price

# Determine the number of shares we can afford
available_cash = self.Portfolio.Cash
nbr_shares = int(available_cash / current_price)
if nbr_shares < 100:
    self.Log("Not enough cash to buy 100 shares.")
    return

# Calculate number of contracts we can sell
nbr_contracts = nbr_shares // 100

Remember to test your algorithm thoroughly and adjust the parameters as needed to optimize its performance.