Calendar longer term position selection

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T Lin

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Oct 14, 2022, 12:07:47 PM10/14/22
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Hello,
I'm trying to build a calendar back testing. The strategy is simple.
-- Every Thursday when VIX is low, buy:
  1) ATM
   2) Expiration date for short: 15 to 20 days
   3) Expiration date for long: 3 to 5 days away from short.

But when I run the test, it buys a calendar that long-short expiration days are not 3 - 5 days. (See attachment) How can I define the longer term position to be 3 -5 days away from short one?

Here is the link to strategy:


calendarExpiration.jpg

OptionStack

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Oct 14, 2022, 12:13:58 PM10/14/22
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Can you try removing the "Leg" option for the daysBetweenOptions method?  The daysBetweenOptions method should be applied to the entire strategy, rather than a specific leg in the strategy.  

daysBetween.png

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T Lin

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Oct 15, 2022, 12:52:26 PM10/15/22
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Thank you for your help!
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