Your sand filter may not be able to catch as minute particules as a DE filter would, but you still shouldn't have anything visible returning to the pool. Check and make sure you have adequate amounts of sand, and it sounds like you may need to check and make sure that you don't have broken laterals (yes, I know, that means you're going to have to remove the sand that's in there to check). If all checks out, then you might want to take mbar's advice and add a small amount of DE to your skimmer to help catch what's getting through your sand. I have not done this, but a couple of our other moderators have and say it works well. Just make sure you keep an eye on your pressure if you do this.

Keep in mind also that AG filters are frequently undersized for the pumps supplied, and once your algae is dead (yours isn't yet, if it's still green) it may take longer to filter it out of your pool than it would in a pool with a larger filter.

Keep your chlorine level up, keep brushing, and check the sand in your filter.

Janet