Rebalancing frequency in US vs EU?

I did a test, with the same strategy, the same number of shares (25), the same universe, and the same turnover (350%) and the same cost of buying, but with different frequency of rebalancing.

As you can see from the overview, the return in the US drops from 1w to 13w a lot (51% to 28%), while in the EU during the period it goes from 35.8% to 13W 30.5%.

What is the reason? Is it coincidence? I know that companies in the US release numbers more often, is that the explanation? Any suggestions?

Yes, US companies release financial numbers more often. In addition, they issue more press releases and their prices are more variable. You’re going to see a lot more turnover with US stocks than with European stocks.