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stat arb - need help from a mathematically inclined person

I am trying a basic stat arb algo. If you see the logs you will notice that the residual is always converging but I still incur a loss. How is that possible? Could someone who is mathematically inclined review and advise please?

Clone Algorithm
56
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Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 57b57c14d934f2125de64f10
There was a runtime error.
3 responses

Could it be dividends?

Fixed it. Is not very profitable but at least works as expected.

Clone Algorithm
56
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 57b5bf2c9008e51012683438
There was a runtime error.

I've had problems in the past with adaptive means and other rolling parameters causing residuals to converge even though the assets haven't converged.