Thanks for your comment. As i'm new here & haven't had time to read all the posts, there's lots that you have seen & i haven't yet.
I have 2 different sets of interests, one aligned with Quantopian in terms of algos for funds, the other in terms of personal trading, and i'm careful not to confuse the two. Trading low volume, relatively illiquid stocks can be a viable strategy for personal trading, especially in stocks about which one has some specialist knowledge (in my case resource stocks), as long as one remains fully aware of the limitations. Personally I don't think increasing the volume filter is the best answer, but certainly having a valid slippage model is a key part of getting it right. I looked at this topic (outside of Quantopian) in the context of options and avoiding option series where the bid-ask spread is so wide that they can almost never become profitable trades. Although bid-ask is very dependent on the market-maker and supply-demand variability, i did find some rough-but-reasonable first order approximations to typical bid-ask spread in % as a function of dollar-volume liquidity in the underlying. Presumably it should not be too difficult for Q to allow users to input their own models of % slippage as a function of average daily dollar-volume liquidity. Who should I address this issue to at Q?
Agree about the 1-month part. "Necessary but not sufficient condition", but at least a good start.