Hi Jessica, thank you so much for sharing your ideas! You're right that the transaction cost may become the limiting factor of more frequent rebalances, and indeed slippage model does influence its performance. I'll look deeper into it.
I was in fact more into the idea that selling/buying at the beginning/end of the day would work better than most of the signals that I have been using thus far. In fact, even for randomly chosen stocks in this case, such a strategy greatly reduced volatility as compared to, say, this post.