OK, my strategy was developed like that - without the Factors flag, exactly for the reasons you wrote... but now everything gets more complicated...
I first added a few Algos, then a lot of additional assets. Somewhere on the way i noticed the strategy wasn't profitable anymore if i excluded the FActors flag. But with it, it is hugely profitable.
So im actually now trying to discern what is reasonable and what isn't. Perhaps i should go a few steps back.

I'm still playing around with different methods of Factor allocation for only a limited timeperiod. I'll report back when im done.