I was mistaken. Shadowmere completely disappeared,then for some reason, frost had disappeared, so I hired another horse to run around the map looking for frost.
I got mad and stopped playing for a couple of months (mostly because I'd done everything a million times) - I come back and hire a new horse, having totally forgotten about owning frost and the horse before it.
I then remembered about losing shadowmere and wanted to try to find him again.
So I started fast travelling around the map with my new horse, spamming detect life & detect dead - If shadowmere or frost had died I at least wanted to know what had happened.
Thing is, I found one horse, the horse that I had bought several months ago. I fast travelled to the location with my new horse, prompting the other one from months back to return to the stable.
This is the problem - I have travelled ALL over skyrim, it has taken me MANY MANY hours and a lot of magicka (

I have checked literally every inch of the map and I cannot find Frost OR shadowmere.
Does anyone have any advice or any tricks to at least get shadowmere back? I don't really care about frost, but I'm a little upset my immortal horse appears to be gone for good.
I'm on the xbox 360 by the way, any ideas are appreciated.