Does anyone have any procedures for completely accounting for all the costs of a short in the backtest? I.e., situations where you go into a margin loan, the cost of your leverage, etc. I feel like many users are shorting without the costs meaningfully simulated.
Clearly benchmarking the costs of short selling on Interactive Brokers
Not in a backtest, but I can tell you that the rates posted in IB's SLB tool (in Mosaic) seem to be pretty accurate.
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