SQAF 운용 저녁 리포트
핵심 요약
- Virtual AUM: $8,810.94
- Total Return: -11.89%
- Cash: $611.65
- Current Drawdown: -12.95%
- Max Drawdown: -13.21%
- 오늘 실행: 리밸런싱 기준 내 위치로 신규 가상 거래 없음
전략 판단 요약
현재 시장은 SPY 5일 수익률 -1.64%, Crypto Fear & Greed 12/100의 극단적 공포 상태지만, 모델상으로는 Neutral/Ranging, Low Vol 구간으로 분류되었습니다. 모멘텀 신호는 약하고 평균회귀·변동성 필터가 상대적으로 우세해 GLD, NFLX, META, GOOGL, SPY 중심의 과매도 반등 후보를 유지하되, 포트폴리오 드리프트가 3% 리밸런싱 임계값 안에 있어 추가 거래는 하지 않았습니다.
Dashboard Screenshot
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_4e0fcb4873b04959b31273c1d06ab669.png
Dashboard Verification
대시보드 서버 http://localhost:8765/는 HTTP 200으로 응답했고, 브라우저 확인 결과 allocation, holdings, recent trades, risk metrics 섹션이 모두 로드되어 있었습니다.
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-11 22:00 KST | Target Monthly Return: 20% Virtual AUM: $8,810.94 | Total Return: -11.89% | Cash: $611.65
Market Regime
- SPY 5-day return: -1.64%
- 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?
- GLD: ensemble +0.39 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- SPY: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| GLD | +0.00 | +0.95 | +0.66 | +0.39 |
| NFLX | +0.00 | +0.42 | +0.86 | +0.34 |
| META | +0.00 | +0.73 | +0.63 | +0.34 |
| GOOGL | +0.00 | +0.55 | +0.69 | +0.32 |
| SPY | +0.00 | +0.72 | +0.57 | +0.32 |
| AMZN | +0.00 | +0.70 | +0.58 | +0.31 |
| TSLA | +0.00 | +0.72 | +0.45 | +0.28 |
| AAPL | +0.00 | +0.61 | +0.50 | +0.27 |
| MSTR | +0.00 | +0.54 | +0.52 | +0.26 |
| COIN | +0.00 | +0.51 | +0.52 | +0.26 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| SPY | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
| GLD | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| QQQ | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GLD | 6.73% | Safe |
| NFLX | 5.93% | Equity/ETF |
| META | 5.83% | Equity/ETF |
| GOOGL | 5.51% | Equity/ETF |
| SPY | 5.47% | Equity/ETF |
| AMZN | 5.45% | Equity/ETF |
| TSLA | 4.83% | Equity/ETF |
| AAPL | 4.71% | Equity/ETF |
| MSTR | 4.57% | Equity/ETF |
| COIN | 4.47% | Equity/ETF |
| ARKK | 4.47% | Equity/ETF |
| TQQQ | 4.23% | Equity/ETF |
| NVDA | 4.13% | Equity/ETF |
| QQQ | 4.11% | Equity/ETF |
| AMD | 3.60% | Equity/ETF |
| SHY | 3.60% | Safe |
| MSFT | 3.56% | Equity/ETF |
| PLTR | 3.27% | Equity/ETF |
| AVGO | 3.16% | Equity/ETF |
| SOL-USD | 2.83% | Crypto |
| BTC-USD | 2.60% | Crypto |
| TLT | 2.57% | Safe |
| ETH-USD | 2.26% | Crypto |
| SOXL | 2.11% | 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 | $291.58 | $-23.21 | 3.67% |
| AMD | 0.5922 | $475.51 | $452.40 | $-13.68 | 3.04% |
| AMZN | 1.9782 | $264.27 | $238.00 | $-51.97 | 5.34% |
| ARKK | 5.2349 | $78.22 | $73.01 | $-27.27 | 4.34% |
| AVGO | 0.6966 | $385.77 | $372.10 | $-9.52 | 2.94% |
| BTC-USD | 0.0036 | $78864.28 | $62924.97 | $-58.04 | 2.60% |
| COIN | 2.3857 | $191.61 | $153.97 | $-89.79 | 4.17% |
| ETH-USD | 0.1633 | $2243.97 | $1649.72 | $-97.05 | 3.06% |
| GLD | 1.4256 | $424.58 | $374.58 | $-71.28 | 6.06% |
| GOOGL | 1.5206 | $380.34 | $356.38 | $-36.43 | 6.15% |
| META | 0.9874 | $601.05 | $570.98 | $-29.69 | 6.40% |
| MSFT | 0.5963 | $405.19 | $397.36 | $-4.67 | 2.69% |
| MSTR | 4.1924 | $164.63 | $115.35 | $-206.61 | 5.49% |
| NFLX | 7.5220 | $87.19 | $82.00 | $-39.08 | 7.00% |
| NVDA | 1.7267 | $214.25 | $200.42 | $-23.88 | 3.93% |
| PLTR | 1.2345 | $130.93 | $130.21 | $-0.89 | 1.82% |
| QQQ | 0.4078 | $735.60 | $693.69 | $-17.09 | 3.21% |
| SHY | 4.2520 | $82.17 | $81.94 | $-0.96 | 3.95% |
| SOL-USD | 4.8523 | $81.14 | $65.14 | $-77.63 | 3.59% |
| SPY | 0.5060 | $740.61 | $725.43 | $-7.68 | 4.17% |
| TLT | 2.5997 | $84.75 | $84.88 | $+0.32 | 2.50% |
| TQQQ | 4.7422 | $73.05 | $69.27 | $-17.93 | 3.73% |
| TSLA | 0.7403 | $409.99 | $381.59 | $-21.02 | 3.21% |
Risk Metrics
- Portfolio Volatility (proxy): 24.23% annualized
- 95% VaR (daily): -2.62%
- Current Drawdown: -12.95%
- Max Drawdown: -13.21%
- Trade Count: 48
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.