Suppose I have a long-only trading system for one equity. In live trading, my plan would be to be long the equity with 100% of my position size or out of the market. If the buy criteria are met on consecutive bars then I would ignore the redundant signals.
For backtesting purposes, should I include trades from even the "redundant" buy signals? I could imagine a backtest where results looked good taking just the first signals but horrible if all signals were taken. Would the latter change my opinion of the system? Most definitely. I would suspect the impressive first-signal-only performance might have been a [lucky] result of chance alone rather than a robust statement about the system.
I'm interested to hear thoughts on this subject.