What you have produced is a survivorship biased portfolio. At inception of the backtest you would not have known the composition of this book. This book will fail eventually, like all other models that are survivorship biased.
As for the "excellent book feature" Marco is correct calling it a bit embarrassing. We have for years tried to get a dynamic allocation into the book module. Or try to incorporate a long and a short strategy, that just does not work unless one goes to some extraordinary length to fool the algorithm.