As Shrimpy continues to grow and expand its product features for the crypto world, one of our most frequently asked question is - What is the optimal rebalancing strategy for me? Given the variety of trading fees imposed by the various exchanges and trading platforms, the portfolio performance of automated rebalancing strategies may differ when deciding which exchange or trading platform to primarily conduct trades on.

This study will take a closer look at the effect of trading fees and their effect on portfolio performance.

Analysis

Source

The data for this study was provided by CoinAPI. Using their rest APIs, we were able to compile the 20 best bid prices and 20 best ask prices available on Bittrex at each rebalance time interval. Our data begins on March 15th 2017 and continues until October 20th 2018.

CoinAPI is a service which collects data from countless exchanges. Applications such as Shrimpy can then use that data to construct accurate backtests, market analysis, and produce comprehensive research.

TRADES

Fee - All trades included the relevant fee (0.0001%, 0.05%, 0.10%, 0.15%, 0.20%, 0.25%)

REBALANCE PERIOD

Rebalance periods - 1 hour, 1 day, 1 week, and 1 month

Learn more about rebalancing for cryptocurrency.

PORTFOLIO SIZE

Initial portfolio value - $5,000

Number of assets - 10 assets per portfolio

Learn more about how the number of assets in a portfolio affects performance.

ASSET SELECTION

Portfolio construction - Randomly selected from assets available between 3-15-17 and 10-20-18 on Bittrex

Learn more about how to build a strong portfolio.

BACKTEST

Number of backtests - 1,000 backtests per trading fee & rebalance period pair

Read more about backtests or run your own.