SQAF 운용 저녁 리포트
핵심 요약
오늘 SQAF는 고변동성 중립/박스권 장세로 판단해 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%의 앙상블 신호를 적용했습니다. Crypto Fear & Greed가 12/100으로 극단적 공포 구간이어서 암호화폐 총 노출은 제한적으로 유지했고, 리밸런싱 임계치 3% 이내라 신규 가상 매매는 실행하지 않았습니다. 현재 AUM은 $8,993.13, 총수익률은 -10.07%, 현재 낙폭은 -11.15%입니다.
대시보드 스크린샷
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원문 보고서
# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-12 22:00 KST | **Target Monthly Return:** 20%
**Virtual AUM:** $8,993.13 | **Total Return:** -10.07% | **Cash:** $611.65
## Market Regime
- SPY 5-day return: +0.06%
- Crypto Fear & Greed: 12/100 (Extreme Fear)
## Trading Strategy Rationale
**Market Regime:** Neutral/Ranging (High 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 +0.35 → oversold bounce, calm regime (vol filter pass)
- **GOOGL**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **META**: ensemble +0.33 → oversold bounce, calm regime (vol filter pass)
- **GLD**: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- **AMZN**: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| NFLX | +0.00 | +0.45 | +0.85 | +0.35 |
| GOOGL | +0.00 | +0.47 | +0.81 | +0.34 |
| META | +0.00 | +0.65 | +0.66 | +0.33 |
| GLD | +0.00 | +0.57 | +0.56 | +0.28 |
| AMZN | +0.00 | +0.52 | +0.58 | +0.28 |
| AAPL | +0.00 | +0.40 | +0.50 | +0.23 |
| MSTR | +0.00 | +0.42 | +0.48 | +0.23 |
| MSFT | +0.00 | +0.61 | +0.33 | +0.22 |
| COIN | +0.00 | +0.35 | +0.48 | +0.21 |
| SPY | +0.00 | +0.27 | +0.51 | +0.21 |
## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| SOXL | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| COIN | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| NFLX | 7.82% | Equity/ETF |
| GOOGL | 7.61% | Equity/ETF |
| META | 7.41% | Equity/ETF |
| GLD | 6.37% | Safe |
| AMZN | 6.29% | Equity/ETF |
| AAPL | 5.20% | Equity/ETF |
| MSTR | 5.13% | Equity/ETF |
| MSFT | 5.01% | Equity/ETF |
| COIN | 4.83% | Equity/ETF |
| SPY | 4.68% | Equity/ETF |
| TSLA | 4.46% | Equity/ETF |
| NVDA | 4.37% | Equity/ETF |
| PLTR | 4.33% | Equity/ETF |
| ARKK | 4.04% | Equity/ETF |
| AVGO | 3.08% | Equity/ETF |
| TQQQ | 3.07% | Equity/ETF |
| AMD | 3.01% | Equity/ETF |
| SOL-USD | 2.69% | Crypto |
| BTC-USD | 2.62% | Crypto |
| QQQ | 2.62% | Equity/ETF |
| ETH-USD | 2.00% | Crypto |
| SHY | 1.49% | Safe |
| TLT | 1.19% | Safe |
| SOXL | 0.67% | 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 | $295.63 | $-18.72 | 3.65% |
| AMD | 0.5922 | $475.51 | $488.45 | $+7.67 | 3.22% |
| AMZN | 1.9782 | $264.27 | $241.51 | $-45.03 | 5.31% |
| ARKK | 5.2349 | $78.22 | $75.46 | $-14.45 | 4.39% |
| AVGO | 0.6966 | $385.77 | $385.57 | $-0.14 | 2.99% |
| BTC-USD | 0.0036 | $78864.28 | $63404.24 | $-56.30 | 2.57% |
| COIN | 2.3857 | $191.61 | $160.43 | $-74.38 | 4.26% |
| ETH-USD | 0.1633 | $2243.97 | $1664.61 | $-94.62 | 3.02% |
| GLD | 1.4256 | $424.58 | $386.32 | $-54.54 | 6.12% |
| GOOGL | 1.5206 | $380.34 | $357.77 | $-34.32 | 6.05% |
| META | 0.9874 | $601.05 | $568.43 | $-32.21 | 6.24% |
| MSFT | 0.5963 | $405.19 | $390.34 | $-8.85 | 2.59% |
| MSTR | 4.1924 | $164.63 | $120.15 | $-186.49 | 5.60% |
| NFLX | 7.5220 | $87.19 | $81.27 | $-44.57 | 6.80% |
| NVDA | 1.7267 | $214.25 | $204.87 | $-16.20 | 3.93% |
| PLTR | 1.2345 | $130.93 | $131.08 | $+0.18 | 1.80% |
| QQQ | 0.4078 | $735.60 | $717.12 | $-7.54 | 3.25% |
| SHY | 4.2520 | $82.17 | $82.09 | $-0.32 | 3.88% |
| SOL-USD | 4.8523 | $81.14 | $66.75 | $-69.82 | 3.60% |
| SPY | 0.5060 | $740.61 | $737.76 | $-1.44 | 4.15% |
| TLT | 2.5997 | $84.75 | $85.98 | $+3.18 | 2.49% |
| TQQQ | 4.7422 | $73.05 | $76.01 | $+14.04 | 4.01% |
| TSLA | 0.7403 | $409.99 | $399.15 | $-8.02 | 3.29% |
## Risk Metrics
- Portfolio Volatility (proxy): 24.40% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -11.15%
- Max Drawdown: -13.21%
- Trade Count: 48
---
*Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.*검증 메모
- 스크립트 실행 완료: SQAF v1.0.0 정상 실행, 신규 가상 거래 없음.
- 대시보드 서버 확인:
http://localhost:8765/HTTP 200 응답. - 대시보드 캡처 완료: 보유종목, 최근 거래, 리스크 메트릭 표시 확인. 포트폴리오 allocation 범례는 표시되나 차트 본체는 스크린샷상 일부만 뚜렷합니다.