I'm building a low frequency US equity stat arb system. On any given day the system is long ~100 stocks and short ~100 stocks. It trades once a day at the open, and on average 4/5 of the portfolio gets replaced each day.
I am using the formula on page 21 of http://www.courant.nyu.edu/~almgren/papers/costestim.pdf as my slippage cost model.
As a liquidity filter, I'm only trading stocks with minimum price of 5 dollars and minimum daily dollar volume of 30 million dollars.
Is it safe to assume that these fairly liquid stocks are all possible to borrow for shorting? If not, when you backtest a system, is there a way to estimate if a stock could have been shorted, or is there a place to buy that information?