arbitraging these days is hard to be profitable due to exchange trade & withdraw fees, settlement times, volatility, and so on.
i especially dont think daily rebalancing of my "portfolio" with your bot and incurring more exchange fees will improve my position.
I appreciate you sharing! We performed a number of studies comparing rebalancing to hodling and we found some interesting results. I would encourage you to check them out and let me know what you think!
How Often to Rebalancing Your Crypto PortfolioHappy to answer any questions about the study!
These results are
unrealistic. you're basing performance exclusively on backtesting, which uses historical data instead of real-time trading data. The daily close price is much different that what actually went on intraday... Your data doesn't seem to include trading fees either... if rebalancing hourly was profitable, then we'd see the big funds like coinbase index fund or bloomberg crypto index doing similar.
Thank you for sharing! I would like to clarify a couple of things.
1. We do not use daily close price. We use actual order book data taken directly from the exchange. That means the open orders that were actually available on the exchange at the exact time we simulate the rebalance.
2. Yes, we absolutely include trading fees. This is discussed in the article.
Please let me know if you have any other questions! I'm more than happy to discuss the results in detail.