Coil type T-stats are notorious for this, referred to as "temp swings". However, they do have a manual anticipator that you can set according to the amp draw, that will minimize the "swing". Check your specific instructions for that 'stat. Bgmny sums up the rest of it. One important thing also is your 'stat placement...AAT (Ambient Air Temp) is higher towards the ceiling...try to set your 'stat at about 4 feet.
"You can't please everyone, so you've got to please yourself" "Garden Party"... Rick Nelson