SQAF 운용 저녁 리포트
핵심 요약
- AUM은 $9,269.86, 총수익률은 -7.30%, 현재/최대 낙폭은 -8.41%입니다.
- 오늘은 포트폴리오가 리밸런싱 임계치 안에 있어 추가 가상 매매는 실행되지 않았습니다.
- 전략은 저변동 중립/횡보 국면에서 모멘텀 50%, 평균회귀 20%, 변동성 필터 30%를 결합해 과매도 반등 후보와 방어자산을 유지하는 구조입니다. Crypto Fear & Greed가 12로 극단적 공포이므로, 크립토 비중은 신호가 있어도 총량 캡과 드리프트 기준을 엄격히 보는 쪽이 안전합니다.
Dashboard Screenshot
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Full Trading Report
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-05 22:01 KST | Target Monthly Return: 20% Virtual AUM: $9,269.86 | Total Return: -7.30% | Cash: $-0.00
Market Regime
- SPY 5-day return: +0.08%
- Crypto Fear & Greed: 12/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Neutral/Ranging (Low Vol)
Signal Weights:
- Momentum (12-1m excess return): 50% weight. Captures medium-term trends.
- Mean Reversion (z-score + RSI): 20% weight. Fades short-term extremes.
- Volatility Regime (short vs long vol): 30% weight. Reduces exposure in high-vol chaos.
Position Sizing Logic:
- Single-name cap: 8% (equity) / 8% (crypto per name)
- Crypto aggregate cap: 20%
- Rebalance threshold: 3.0% drift
- Transaction fee: 0.10% per trade
Why these positions?
- NFLX: ensemble +0.38 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
- SOL-USD: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- GLD: ensemble +0.33 → calm regime (vol filter pass)
- BTC-USD: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.75 | +0.78 | +0.38 |
| ETH-USD | +0.00 | +0.87 | +0.58 | +0.35 |
| SOL-USD | +0.00 | +0.84 | +0.59 | +0.34 |
| GLD | +0.00 | +0.28 | +0.90 | +0.33 |
| BTC-USD | +0.00 | +0.75 | +0.53 | +0.31 |
| AMZN | +0.00 | +0.60 | +0.62 | +0.31 |
| GOOGL | +0.00 | +0.40 | +0.66 | +0.28 |
| COIN | +0.00 | +0.70 | +0.46 | +0.28 |
| MSTR | +0.00 | +0.60 | +0.50 | +0.27 |
| TSLA | +0.00 | +0.23 | +0.47 | +0.19 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| MSFT | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
| COIN | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
| PLTR | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.09% | Equity/ETF |
| ETH-USD | 7.04% | Crypto |
| GLD | 6.98% | Safe |
| SOL-USD | 6.96% | Crypto |
| AMZN | 6.52% | Equity/ETF |
| BTC-USD | 6.22% | Crypto |
| GOOGL | 5.93% | Equity/ETF |
| COIN | 5.92% | Equity/ETF |
| MSTR | 5.74% | Equity/ETF |
| TSLA | 3.99% | Equity/ETF |
| ARKK | 3.84% | Equity/ETF |
| SPY | 3.75% | Equity/ETF |
| META | 3.64% | Equity/ETF |
| SHY | 3.43% | Safe |
| AAPL | 3.06% | Equity/ETF |
| NVDA | 2.89% | Equity/ETF |
| TQQQ | 2.78% | Equity/ETF |
| QQQ | 2.76% | Equity/ETF |
| TLT | 2.34% | Safe |
| AVGO | 2.28% | Equity/ETF |
| PLTR | 2.24% | Equity/ETF |
| MSFT | 1.76% | Equity/ETF |
| AMD | 1.76% | Equity/ETF |
| SOXL | 0.08% | Equity/ETF |
Virtual Trades Executed
No trades executed. Portfolio within rebalance threshold.
Current Portfolio
| Ticker | Shares | Avg Cost | Current Price | P&L | Weight |
|---|---|---|---|---|---|
| AAPL | 1.1089 | $312.51 | $311.23 | $-1.42 | 3.72% |
| AMZN | 3.1055 | $264.27 | $253.79 | $-32.55 | 8.50% |
| ARKK | 5.2349 | $78.22 | $78.16 | $-0.31 | 4.41% |
| AVGO | 0.0009 | $413.65 | $418.91 | $+0.00 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $61960.93 | $-146.08 | 5.78% |
| COIN | 4.2459 | $191.61 | $163.22 | $-120.52 | 7.48% |
| ETH-USD | 0.3667 | $2243.97 | $1659.12 | $-214.45 | 6.56% |
| GLD | 2.1041 | $424.58 | $411.27 | $-28.00 | 9.34% |
| GOOGL | 1.5206 | $380.34 | $372.19 | $-12.39 | 6.11% |
| META | 0.4759 | $617.89 | $622.98 | $+2.42 | 3.20% |
| MSFT | 0.5963 | $405.19 | $428.05 | $+13.63 | 2.75% |
| MSTR | 4.1924 | $164.63 | $129.37 | $-147.83 | 5.85% |
| NFLX | 7.5220 | $87.19 | $81.56 | $-42.39 | 6.62% |
| NVDA | 1.7267 | $214.25 | $218.66 | $+7.61 | 4.07% |
| PLTR | 1.2345 | $130.93 | $142.20 | $+13.91 | 1.89% |
| QQQ | 0.4078 | $735.60 | $740.61 | $+2.04 | 3.26% |
| SHY | 4.2520 | $82.17 | $82.03 | $-0.57 | 3.76% |
| SOL-USD | 9.5867 | $81.14 | $65.95 | $-145.61 | 6.82% |
| SPY | 0.5060 | $740.61 | $757.09 | $+8.34 | 4.13% |
| TLT | 2.5997 | $84.75 | $85.50 | $+1.94 | 2.40% |
| TSLA | 0.7403 | $409.99 | $418.45 | $+6.26 | 3.34% |
Risk Metrics
- Portfolio Volatility (proxy): 22.68% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -8.41%
- Max Drawdown: -8.41%
- Trade Count: 38
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.