Bonds have gone from 102 to 138+ during this period why is it so bad that you did not go short. The system has had 103 short trades and 155 long trades.
Another point I want to make is that the bond system has technology to turn off trades in a given direction when the intermarket relationships are not working. This often happens on the short side in bonds.
That's all fine, but if the strat is long-only or long-biased, a reasonable benchmark would be the buy/hold return on bonds.
I agree, the system has made $47,900 on the short side and averaged over $465.00 per trade. Short side profit factor is 1.83. FYI in 2009 the system had 7 short trades.