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Thanks for your reply. I should have mentioned how the system is quite long term. I can see how this would be a major problem with a short term system. However, I don't think it should matter too much with systems where the average holding time is longer term (weeks or months).

 

I think it's more because low liquidity stocks are the stocks that have more potential to trend strongly and become the big winners. I don't think it's a problem with my system, it's just how stocks behave eg BHP (high liquidity) vs AUT (lower liquidity) since 2009.