PARAMS (100d b1% risk)
  top 0.60 wash 0.03    +3378% dd  -53%   |      +68% dd  -30%
  top 0.60 wash 0.05    +4169% dd  -53%   |      +68% dd  -30%
  top 0.60 wash 0.10    +3631% dd  -59%   |      +49% dd  -30%
  top 0.70 wash 0.03    +3404% dd  -53%   |      +68% dd  -30%
  top 0.70 wash 0.05    +4278% dd  -53%   |      +68% dd  -30%
  top 0.70 wash 0.10    +3727% dd  -59%   |      +44% dd  -30%
  top 0.80 wash 0.03    +3441% dd  -53%   |      +67% dd  -32%
  top 0.80 wash 0.05    +4763% dd  -53%   |      +67% dd  -32%
  top 0.80 wash 0.10    +4151% dd  -59%   |      +47% dd  -32%
COSTS  fee 1%:  +3035% dd  -59%   |      +48% dd  -33%
       fee 2%:  +1835% dd  -66%   |      +24% dd  -38%
LAG    2 days:  +4921% dd  -52%   |      +46% dd  -33%
       4 days:  +5458% dd  -46%   |      +33% dd  -40%
SURVIVORSHIP STRESS: remove the top performers of 2020-21 from every alt basket
  drop top 1 each: book  +3292% dd  -52%   |      +67% dd  -30%   (alts buy-and-hold holdout +1116%)
  drop top 2 each: book  +2271% dd  -52%   |      +70% dd  -29%   (alts buy-and-hold holdout +1124%)
  drop top 3 each: book  +3108% dd  -54%   |      +73% dd  -29%   (alts buy-and-hold holdout +1482%)