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: