Fix _covered_call deep ITM delta default and remove OTM% selection path

[Copilot]

_covered_call defaulted leg1_delta to ATM (~0.50), contradicting the docstring describing it as a synthetic long stock position. Multi-leg helpers (_spread, _butterfly) also used symmetric deltas, causing legs to collapse onto the same strikes. Separately, the OTM% and delta-targeting code paths had significant duplication across core.py and evaluation.py.

Changes

• Delta defaults corrected (_helpers.py)

  • _covered_call: leg1_delta → DEEP_ITM (target=0.80, range [0.60, 0.95]) to properly simulate synthetic long stock
  • _spread: leg1 → ATM (0.50), leg2 → OTM (0.10) so legs select distinct strikes
  • _butterfly: leg1 → ITM wing (0.40), leg2 → ATM (0.50), leg3 → OTM wing (0.10)
  • New named constants: _DEFAULT_DEEP_ITM_DELTA, _DEFAULT_ITM_WING_DELTA, _DEFAULT_OTM_WING_DELTA

• OTM% path removed (core.py, evaluation.py, filters.py, types.py)

  • Delta targeting is now the sole entry-selection mode; max_otm_pct, otm_pct_interval, delta_min, delta_max params dropped
  • Aggregated output groups by delta_range (was otm_pct_range)
  • delta column is now required in input data

• Duplication consolidated

  • _match_entries_exits() extracted as shared helper in evaluation.py
  • _merge_legs() extracted in core.py, shared between _strategy_engine() and _process_strategy_delta_targeted()

• Docstrings updated (covered_call, protective_put) to reflect delta-based defaults and note the synthetic-only limitation

# Before: leg1 defaulted to ATM, same delta as leg2 → legs could land on same strike
kwargs.setdefault("leg1_delta", _DEFAULT_ATM_DELTA)   # target=0.50
kwargs.setdefault("leg2_delta", _DEFAULT_DELTA)        # target=0.30

# After: leg1 explicitly deep ITM to simulate synthetic underlying
kwargs.setdefault("leg1_delta", _DEFAULT_DEEP_ITM_DELTA)  # target=0.80, range [0.60, 0.95]
kwargs.setdefault("leg2_delta", _DEFAULT_DELTA)            # target=0.30, range [0.20, 0.40]

---

💡 You can make Copilot smarter by setting up custom instructions, customizing its development environment and configuring Model Context Protocol (MCP) servers. Learn more Copilot coding agent tips in the docs.