Yeah. This algo is highly leveraged - like 15X. It's possible to really lose your shirt if you trade this algo exactly.

Taibo's algo is interesting as a starting point. It's not one that that you just take off the shelf and start trading with. But, you can take it and learn from it and develop an alternative strategy. Presumably one with less risk!

Clearly the simulation doesn't take into account forced de-leveraging at significant losses due to margin calls.

Shorting is also a possibility.