The discussion about min/max algo for AAPL made me curious about the same algo on a broader market ETF, so I ran it on the SPY (ETF that tracks the S&P 500). What surprised me was that the algorithm didn't develop a short position through 2008, and despite the guard on transaction size, it ended up with some leverage during 2008.
What I like about this algorithm is the extreme low frequency. Even though it is tracking data by the minute, it trades just 10-15 times over the ten year period. I'd like to try modifying it to coax it into shorting or getting flat in very volatile periods. It would also be quite cool to scan this simple algo over a huge number of stocks.