If my algorithm during a back test is establishing a rather large short position for much of the time (cleared out at the end of the backtest) what is a good way in the Quantopian 2 framework to model the carry costs of the short position? (Backtests assume $1M in cash and my short position at times is as much as $750K). If there no established way, I guess each algorithm is on its own to model this.
There is no way to model this, so you would have to come up with your own model.
Keep in mind that interest rates change, as do the costs of shorting, so modelling this accurately is borderline impossible. Also, even if you managed to replicate it accurately historically, since the same rates would not apply into the future, the data wouldn't be very meaningful.
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