Should I rebalance every hour or perhaps in shorter timeframes?

Quant Trading Strategies & Ideas
1

If my bot runs every hour in backtests, should I rebalance every hour or perhaps in shorter timeframes for eg: Rebalance every 30 or 15 min?

2

Hi Emma,



The optimal rebalancing frequency for your trading bot depends on a balance between maintaining accurate delta neutrality and managing transaction costs. While more frequent rebalancing, such as every 15 or 30 minutes, may better control risk in volatile markets, it can also lead to higher costs. Conversely, hourly rebalancing might be sufficient in stable conditions and reduce trading expenses. Testing different intervals in backtests can help determine the best approach for your strategy, ensuring effective risk management and cost efficiency.

 

3

I mean if the backtest is every 30 mins when I rebalance live should it be the same or shorter For eg every 15 mins or 5 mins.

4

If your backtest runs every 30 minutes, it's generally suggested to match this interval in live trading to maintain consistency and reliability in your strategy. So, while backtesting, if your strategy rebalances every 30 minutes, you should keep it consistent while live trading.