One more thing, if you have a positive alpha in your strategy, when you judge that the expected market return is lower than the futures implied risk-free rate, the best option should be to hedge with a short futures position instead of exiting the market. This is because it doesn't hurt you to gain alpha by holding individual stocks while still hedging downside risk with low transaction costs. If your strategy has no alpha or a negative alpha, then you should buy indices.
Also, the official website ebook says Yuval has nearly ten million of dollars and are still available trading in a universe made up mostly of microcap stocks (it is confirmed by his crazy microcap strategy's allocation). And I read on Linkedin that he is even going to start a hedge fund, so it seems that the amount of money is not that much of an issue in the microcap universe. Or are you managing hundreds of millions of dollars?
Edit: I'm actually only interested in the expected return to risk ratio instead of wastefully spending my money in casinos, so I'm not interested in cryptos, VIX gambling, meme stonks, private credit/equity, big tech, hedge fund, impact investing and real estate/infrastructure.
Edit2: Also, you can profit a lot in the past three years in Large Cap universe. So the idea to exit your positions to "risk off" is even a worse idea than I thought AI - Not just for small cap stocks