No. of Recommendations: 8
The question has come up of what amount of friction should be used when running these momentum backtests on GTR1.
Google AI says that the spread is much lower in the 2000's than it was in the 80's and 90's where it was as much as 2%. Also that the spread on the largest Nasdaq 100 stocks is generally quite small these days.
Here are the bid-ask spreads for the top 10 picks of one such screen.
Taken from a broker's real-time bid & ask at 11:45 AM 8/17/2026.
1 LITE 0.07%
2 MU 0.02%
3 STX 0.11%
4 NBIS 0.09%
5 SNDK 0.11%
6 TER 0.07%
7 INTC 0.02%
8 PANW 0.09%
9 WDC 0.04%
10 AMD 0.05%
Average 0.07%
Based on this, I think we would be justified using 0.15% or even 0.1%.
I also now think that it doesn't make sense to try limit orders that are deep inside the spread, where you make the risk of not getting filled and having the stock price run away from you.
