So, it looks like you were hedged when this thread was started, right? And, at the end of June when the OP says he sold out? That's interesting.
no - the hedge was only on for three days - oct 8,9 and 10. On oct 8 I sold the SP 500 and bought the Vix and long term zero coupon bonds.
When I closed out the hedge 3 days later I lost big on the SP 500 but made some back on the other two.
What am I missing?
It looks like your 5-10-20 strategy was bearish in late June (switching to bullish in early July), late August (switching to bullish in early September), and then bearish again on the 3 days you mention in October.
(Need to use the whole link. Don't know why it's only posting part of it as a hyperlink)