I'd be hard-pressed to call this algo as "working". If you look at the PnL, it makes most of its profit from Sept 15 2012 to Nov 15 2012. The rest of the time

I'd be hard-pressed to call this algo as "working". If you look at the PnL, it makes most of its profit from Sept 15 2012 to Nov 15 2012. The rest of the time, it's either drawn down or chopping back and forth. 2 months of gains over a one year period sounds more like noise to me than anything else.