When using a scalping strategy, be aware of risks such as market volatility, which can lead to unexpected losses, high transaction costs from frequent trading, and execution risks like slippage that affect entry and exit prices. Additionally, liquidity issues in some markets may hinder trades, while the psychological stress of rapid decision-making can lead to errors. Overtrading can increase costs and risks, and regulatory changes might impact your trading practices, all of which could limit profit potential from small price movements.