I have 45,949 total symbols available to backtest (includes delisted stocks). When I run the back test using all these symbols I get 17 winners, BUT when I run the backtest using the Russell 2000 (which is about 1,975 symbols) I get 26 winners. The question I have is that the 45,949 symbols include the Russell 2000 symbols so why am I getting more winners when I use the Russell 2000 stocks than when I use the total 45,949 symbols? Thank you!
One explanation could be your max positions are being filled and amibroker prioritizes certain symbols in the "All test" that are not within the russel 2000. If your max positions is low, the backtest may preferentially fill your max positions with other symbols which may end up being losers. This might cause your backtest to skip over possible r2000 signals because all slots are full.
When you restrict the backtest to only the R2000 symbols, these have first dibs at taking the positions which may have been more winners.
Hope this helps
Read this part of manual (actually ALL tutorial pages are ESSENTIAL reading):
http://www.amibroker.com/guide/h_portfolio.html
It explains how signals are ranked using POSITION SCORE and only top-ranked signals are acted upon depending on your POSITION SIZE and max open positions settings.