Isn't the Friction that's relevant the 'difference between the final transaction cost & the price that the backtester (for example GTR1) uses'? That is the difference between the transaction price including fees, taxes etc. & the day's closing price in the case of the GTR1.

That's one of the reasons why I've always favored the MOC (market on close) transaction type at IB for MI work. In that case the friction is essentially IB's fees only x2 which is lower than the traditional 0.4% friction. And of course if one could reliably transact at 'better than the close' pricing then friction could even be negative.

Thx. Have you tried that enough to confirm that it works? Meaning that your trades always come in at the published close price?

I'm pretty sure I'll try that some time, perhaps soon. There are a couple points of concern. One is that many SiPro screen picks do not trade a lot of volume.
Even with a filter of $750K daily over last 10 days, you will have picks that go through stretches during the day where there are no trades.
Even if you have a modest order, how is the close price determined if yours happens to be the only order at the close?
Maybe you get the close price, but your order has affected the close price.

Another concern is that IB routes trades to different exchanges. Most of mine have been ISLAND, some IEX, and some DRCTEDGE, whatever that is.
It would be interesting to see if trade prices always match the close price.

One last point is that from my statistics in the past, it was better to buy earlier in the day rather than later. (Selling did not matter as much).
So maybe trading buys with MOO orders and sells with MOC orders would be a strategy. For a fully invested account that might mean using margin.

I guess I see three possible trading strategies for actively trading MI screens at IB: using MIDPRICE, using a VWAP algo, or using the MOO/MOC strategy.
It would be interesting to figure out which seems to be the most reliable.


Mark