I'm not sure there is a one size fits all answer as to why this underperforms prior to the collapse. This is inherently a momentum algorithm, so the recent strong bull market has allowed it to flourish, I'm guessing it gets into biotech in recent recent years. Also, some of the funds this is trading might not have existed throughout the duration of the test, so maybe there was not much for it to choose from. It was probably just bad entry timing on the positions earlier in the test period. I would play around with it, maybe add another batch of funds that have existed since '04.