Liquidity
How easily an asset can be bought or sold at a fair price without moving the market — high for large ETFs and major indices, low for niche holdings.
Liquidity describes how quickly and cheaply an asset can be turned into cash near its fair value. A large, widely-traded ETF is highly liquid; a thinly-traded security may only sell at a discount, especially under stress.
Liquidity matters for a rules-based strategy because it decides whether a signal can actually be acted on at reasonable cost. It is one reason broad, heavily-traded indices and funds are preferred as building blocks.