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From the nginx documentation on the location directive:
Context:
server,location
That means that a location directive can only be placed inside a server block or another location block (which is why adding it to the http block didn’t work). Your server blocks are most likely stored in /etc/nginx/sites-enabled, so you will need to add
location ~* .(jpg|jpeg|png|gif|ico|css|js)$ {
expires 365d;
}
to the file in /etc/nginx/sites-enabled that contains you site’s configuration.