Increased demand for illiquid stock will almost immediately drive prices up, making it impossible to build a position at a fair price. It will also be very difficult to sell positions in illiquid stocks as sell orders will bring prices down. To remove these stocks, just set the minimum daily traded value filter. Setting it to 50k for instance will remove all stocks with an average daily trading value (close * volume) of less than 50k during the last month. The currency used for this filter is based on the currency filter explained below.
The minimum trading value filter will also be used to define the stock universe on which relative scores such as the Magic Formula, the ERP5 and the O'Shaughnessy Value Composites (VC1, VC2, VC3) are calculated.