Hi Bernado,
Archive file gets created only when you schedule the job in "Live Mode". you would not get the file created if that is executed with "Test Mode".
Also, i echo the reply from Sudheer that if the selection criteria is not met, records would n't get archived, but still you can see the job gets completed.
I suggest you to run a test run to check if records are getting archived or not. If the output of the test run shows the records that can be archivable, schedule a job in live mode, you would defenitely see archive file getting created in the location that you have maintained.
Thanks,
Bala Ganduri