You may be seeing an anomaly because of the low trading volume of VMIN and the interplay with order rounding because of the low $1000 starting value in your backtest.
Here's the same algorithm but with $10,000 starting capital and the following line of code added (to minimize effects from orders not being filled).
Note the 39% volatility and 20% drawdown. Much higher than the backtest using $1000 starting capital. It does have a 155% return though.