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This depends very much on your position size. With positions of $10K, a
daily dollar volume of $75K should be alright. With smaller positions you
should be able to trade any stock that is listed on a major exchange
without too much trouble. With $100K positions you might want to set a
$500K daily dollar volume minimum.


Hmmm, well, maybe.
I agree that absolute position size affects the feasibility of doing those
small fry at all, but I'm not sure small positions improve the friction percentage much.
There's lots of small stuff out there—indeed, most of the listings in existence—
that a $1000 position will cost you 1-2% to get in and out from bid/ask gaps.
Besides, at smaller position sizes the commissions become a bigger factor,
and the friction simulation covers both of those factors.

A bigger issue in picking the right estimate of friction is to get
a handle on not what minimum liquidity is allowed by the screen,
but what's actually picked on average. I have some screens that allow
very small stocks but don't actually pick them very often.

Jim
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