1 min readMay 2, 2019
Thanks for asking!
What you would find is that performance increases with smaller trading fees. We’ve found from the following study that hourly rebalances benefit the most from a reduction in trading fee.
This is highlighted from the following image:
Let me know if this helps answer your question!
Happy to continue digging into the details to provide more details. We’ve done a number of other studies that you can find here: https://blog.shrimpy.io/blog?category=Strategy
