We were asked, "Can I backtest a covered call strategy on the SPY where the equity exposure is delta-hedged daily to a specific delta e.g. 0.75."
Yes, you can.
First, set up the short call backtest and delta hedge the call. This will have a zero equity exposure.
Next, backtest SPY LongStock.
Finally, in the backtest view, select both strategy check boxes and combine the strategies with the following weights:
Assign 75 percent weight to long stock and combined with a delta neutral short call the resulting equity exposure will be 75 delta.
The result will be a delta neutral short call plus a 75 delta SPY long stock.