Subject: Re: Fidelity's "basket portfolio" featu
The unanswered question for me is how efficient (slippage) the trades would be for a frequently traded screen. One post said they use market orders which Fidelity is pretty efficient for ETFs and Large Caps but not for lightly traded equities.

I just checked the bid/ask spread for a handful of the recently picked 52 week momentum Nasdaq 100 stocks, while the market is open. None of these are thinly traded.
Can't speak for stocks in any of the other myriad MI screens.

AMD       0.03%
INTC      0.03%
KLAC      0.11%
LRCX      0.14%
MU        0.08%
SNDK      0.09%
STX       0.24%
WDC       0.13%

Very small slippage, so market orders should be fine.

Also, if you edit the basket at night the trades will be market orders at the next open, therefore no slippage.