From ccb95980c0eede93b72429f1e181b4345f663387 Mon Sep 17 00:00:00 2001
From: Brian Sakal <brian@sakal.us>
Date: Wed, 16 Mar 2022 19:36:46 -0400
Subject: [PATCH] started outlining the optimization algorithm

---
 src/procedures.js | 17 ++++++++++++++++-
 1 file changed, 16 insertions(+), 1 deletion(-)

diff --git a/src/procedures.js b/src/procedures.js
index c22b57b..620a136 100644
--- a/src/procedures.js
+++ b/src/procedures.js
@@ -1,3 +1,18 @@
+/*
+Collect contiguous ranges. These are where the underlying is expected to be at the front-month.
+For each strike in the contiguous ranges, collect all front-month/back-month combinations
+For each of these front-month/back-month combinations, calculate PNL (by %-return) assuming the underlying is at each strike in the contiguous ranges
+For each of these potential underlying close-prices, choose the best front-month/back-month combo.
+For each ...
+*/
+
 export const calculateBestCombinationOfCalendars(){
-  
+  let cheapest = null;
+  front_months.forEach(front_month=>{
+    front_month.ranges.forEach(range=>{
+      range.back_months.forEach(back_month=>{
+        // begin by making a calendar at every available strike in the range.
+        })
+      })
+    })
   }
\ No newline at end of file