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This one is stumping me. For a given strategy, it seems that when I change the call from:
SetPositionSize(5, spsShares);
to
SetPositionSize(10, spsShares);
The number of trades that are opened changes, and thus the winning % changes.
Why on earth would changing the number of contracts/shares to go long on change the signal and therefore the number of trades made?
That makes no sense. The number of shares should simply change the profit/loss on a linear scale, at least in this backtest, which has no concept of slippage and market mirco-structure issues relating to liquidity. Or is the backtester doing some kind of heuristic on volume and slippage that I'm not aware of?
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