Bigger fortunes build in small accounts that control risk than those that chase quick rewards. Scan by exchange as well as individual stock characteristics. Nasdaq's popularity for short-term execution makes it the preferred choice for intraday traders. But position traders often conclude that the NYSE provides better opportunities for gain with controlled risk. Avoid thinner Nasdaq stocks unless executing trades through a direct-access terminal that routinely fills between the spread.
Illiquid stocks steal profits and ruin risk management without an execution advantage.
For long side opportunities, consider an additional filter to sort low volume issues by relative strength. Save only the best output from this group and add them to the universe of liquid stocks. Remember that the best scans will build multiple filters on top of one another. The size of these subsequent output lists must match the time available for preparation. It makes no sense to uncover great setups that will never be looked at.