Quantcast – a Risk.net Cutting Edge podcast cover image

Igor Halperin – 08/12/22

Quantcast – a Risk.net Cutting Edge podcast

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The IRL Part of the Out-Through-to-Four Model

In practice there are many, this is still research work right? So we're still exploring different applications of this methodology but one way we already described in the paper and this is the following. We say if our model recommends let's say increase exposure to a particular sector then we just you know buy stocks with the best momentum in this sector. In the amount which is suggested by the model,. And conversely we do the opposite if their model recommends reducing exposure so we sell the worst performance. And it seems to work.

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