Thanks nemozny. Very good points, however I have different a conclusion about point (4).
To me it rather proves that correlation is indeed important.
Going to your example and trading [A, B, A, B, C].
Obviously the two A systems have a correlation of exactly 1. Due to this, the sum of the optimal Fs of the two A systems is equal to trading only one A system [A, B, C].

If correlation were smaller than 1, the sums of the individual optimal Fs of trading [A, B, A, B, C] would be greater than trading [A, B, C].


Going back to point (2), you are definitely right that dividing the individual optimal Fs by the total number of systems leads to suboptimal results but you are at least on the safe side as you assume a correlation between the systems of 1 (as discussed above).

Because of that, I think that optimal F as it is used in the workshop scripts probably overrisks when trading multiple assets and algos and it would be better to either calculate optimal F with the LSPM or divide the individual optimal Fs by the total number of assets and algos.

I also wonder if you could share the optimal Fs of trading each system on its own.