Disclaimer

Borrow Fees as Alpha Factor

This tutorial provides an overview of QuantRocket's borrow fees dataset. Borrow fees can be used to model the costs of short selling or as a source of alternative alpha.

The borrow fees dataset is included with a paid software license. Data are sourced from Interactive Brokers, but an Interactive Brokers account is not required to access the data.

Data collection

• Part 1: Data Collection

Research: Borrow Fees as Alpha Factor

Explore whether borrow fees predict forward returns

• Part 2: Exploratory Data Analysis
• Part 3: Alphalens Analysis

Short Strategy (Moonshot)

Backtest a Moonshot strategy that short stocks with high borrow fees

• Part 4: Moonshot Strategy Code
• Part 5: Moonshot Backtest

Long Strategy (Zipline)

Backtest a Zipline strategy that excludes stocks with high borrow fees from a long-only portfolio

• Part 6: Zipline Strategy Code
• Part 7: Zipline Parameter Scan