I'll agree with Jonathan and suggest that less may be more. The number of ETFs this algo trades and their inferred diversity (many international equity and some specific sector funds) make this seem 'diversified'. The inference is that a 'diversified' portfolio reduces risk so this algo is less 'risky'.
The volatility and max drawdown (two measures of 'risk') as shown in the backtest overview are 12% and -17.7% respectively over the the backtest time period. If the same algorithm is run but invested in a single SP500 ETF SPY, the volatility and drawdown are 14% and -12.8%. Not too different (and the returns would have been almost double). Also notice that the alpha and beta for the algorithm over that time are -.02 and .83. This implies that most of the algo returns come from correlation with the SP500 and virtually none (actually a negative 2%) is derived by the algo secret sauce.
Even though this invest in a number of different funds it's still very highly correlated with the market (83% correlation). The number of funds may seem good on the surface but it's not really getting you anything.
Try a simple half SP500 and half bond strategy. Attached is the same algorithm but investing half and half in SPY and TLT. By all measures the performance is better. Volatility and drawdown are cut in half. beta is now .32 and the icing on the cake is returns are doubled. Less is often more. Because so many markets are so highly correlated, simply spreading the investments around doesn't decrease market risk. Look for assets which are both uncorrelated between each other but also uncorrelated with the market (typically SPY is a good market proxy).
A very promising strategy would be the same 50-50 equity/bond split but invest in 2X leveraged ETFs (try SSO and UBT). This will about double the volatility and drawdown but it will about double the returns. If one was willing to accept the initial 12% and 17% volatility and drawdown, then this would be about the same risk but with 6X the return of the original. This can also be seen in a 3X increase in the Sharpe ratio. Try it.