Thank you guys!

The system reinvests so that always about 2/3 of Balance are tied up in trades.
Why?
With this strategy, the maximum drawdown in the simulated period was about 6% in 2016. Drawdowns happen once every couple years, but for the sake of discussion let's assume a very pessimistic case of one drawdown per year. If we assume that equity grows linearly (black line), then drawdown is going to increase from the initial 6% with time to the power 1.5 (red line). It will take it about 500 years to hit the 2/3 reinvested margin (green line):



But if we stick to the square root reinvesting rule (blue line) as opposed to the 2/3 rule (green line), we hardly would expect the nice return in equity (black line).

Still, for those who do not feel adventurous there is a comment in the script describing which line to change and how in order to reinvest according to the square root rule instead of linear.