Sanju bhai, have you by any chance "Optimized" and got 5 day return as a good period ?
just asking
I mean in live trade you may have held longer which is one scenario, in 2nd scenario letting another leg go but 2nd part we will skip for now unless we can backtest it.
or create rules wherein we can let one leg go etc
[ bcos for short legs delta will work against us when moving in either direction ]