Since neighboring string constants are automatically concatenated, you can code it like this:
s = ("this is my really, really, really, really, really, really, "
"really long string that I'd like to shorten.")
Note no plus sign, and I added the extra comma and space that follows the formatting of your example.
Personally I don't like the backslashes, and I recall reading somewhere that its use is actually deprecated in favor of this form which is more explicit. Remember "Explicit is better than implicit."
I consider the backslash to be less clear and less useful because this is actually escaping the newline character. It's not possible to put a line end comment after it if one should be necessary. It is possible to do this with concatenated string constants:
s = ("this is my really, really, really, really, really, really, " # comments ok
"really long string that I'd like to shorten.")
I used a Google search of "python line length" which returns the PEP8 link as the first result, but also links to another good StackOverflow post on this topic: "Why should Python PEP-8 specify a maximum line length of 79 characters?"
Another good search phrase would be "python line continuation".
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