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I’d like to know why you choose monthly rebalancing for all your strategies. Does it always give better results? Because transaction costs are a lot more in this case. Thank you
Most of the time backtest results are better using monthly rebalancing. Also quarterly rebalancing is not so good because the lookback period of many strategies is also a lot of times around 3 month. Rebalancing quarterly would result in bigger rebalancing trades. Using monthly rebalancing you do more smaller adjustments. Trading costs will be very similar. Three month is a long time, too long if markets begin to go down.
Using QuantTrader you can switch to quarterly rebalancing to check the backtest results.
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