Right, most nested tickets are legal. For example:

EWR-LAX on Sat on Ticket #1
LAX-PHL on Sat on Ticket #2
PHL-LAX on Sun on Ticket #2
LAX-EWR on Sun on Ticket #1

There's nothing wrong with that. But if you go back to your starting destination, then it is back-to-back ticketing, which is against CO's rules. As was mentioned, it's looked at as trying to get around the Saturday-night stay.