SQAF 운용 저녁 리포트

핵심 요약

• 오늘 SQAF는 AUM $9,198.38, 누적수익률 -8.02%, 현금 $938.36 상태입니다.
• 시장은 Neutral/Ranging (High Vol) 로 분류되었고, Crypto Fear & Greed는 23/100 Extreme Fear입니다.
• 이번 실행에서는 리밸런싱 임계치 안에 있어 신규 가상 거래는 발생하지 않았습니다.

전략 요약

현재 전략은 중기 추세를 보는 모멘텀 50%, 단기 과매도/과매수 반전을 보는 평균회귀 20%, 고변동 구간 노출을 조절하는 변동성 레짐 30%를 조합합니다. 오늘은 고변동 중립/박스권 환경으로 판단되어, NFLX·GOOGL·AMZN·GLD·AAPL처럼 과매도 반등 신호와 변동성 필터를 통과한 종목을 상위 타깃으로 유지했습니다. 포트폴리오는 리밸런싱 기준 3% 이내라 추가 매매 없이 기존 배분을 유지했습니다.

Dashboard Screenshot

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_740ffc1219c24deb8571d1bf5c054146.png

Full Trading Report

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-16 22:00 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $9,198.38  |  **Total Return:** -8.02%  |  **Cash:** $938.36

## Market Regime
- SPY 5-day return: +0.54%
- Crypto Fear & Greed: 23/100 (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 +0.32 → oversold bounce, calm regime (vol filter pass)
- **AMZN**: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- **GLD**: ensemble +0.26 → oversold bounce, calm regime (vol filter pass)
- **AAPL**: ensemble +0.25 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| NFLX | +0.00 | +0.49 | +0.85 | +0.35 |
| GOOGL | +0.00 | +0.40 | +0.80 | +0.32 |
| AMZN | +0.00 | +0.53 | +0.57 | +0.28 |
| GLD | +0.00 | +0.51 | +0.54 | +0.26 |
| AAPL | +0.00 | +0.55 | +0.47 | +0.25 |
| MSTR | +0.00 | +0.34 | +0.49 | +0.22 |
| NVDA | +0.00 | +0.42 | +0.44 | +0.21 |
| MSFT | +0.00 | +0.55 | +0.33 | +0.21 |
| META | +0.00 | +0.14 | +0.58 | +0.20 |
| COIN | +0.00 | +0.10 | +0.55 | +0.18 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| NFLX | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| PLTR | ⚪ +0.00 |
| META | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| GOOGL | 8.18% | Equity/ETF |
| NFLX | 8.18% | Equity/ETF |
| AMZN | 7.71% | Equity/ETF |
| GLD | 7.31% | Safe |
| AAPL | 7.03% | Equity/ETF |
| MSTR | 5.98% | Equity/ETF |
| NVDA | 5.95% | Equity/ETF |
| MSFT | 5.80% | Equity/ETF |
| META | 5.62% | Equity/ETF |
| COIN | 5.08% | Equity/ETF |
| SPY | 4.82% | Equity/ETF |
| TSLA | 4.44% | Equity/ETF |
| AVGO | 4.26% | Equity/ETF |
| PLTR | 4.22% | Equity/ETF |
| TLT | 3.71% | Safe |
| TQQQ | 3.12% | Equity/ETF |
| AMD | 2.60% | Equity/ETF |
| SHY | 2.38% | Safe |
| ARKK | 2.05% | Equity/ETF |
| BTC-USD | 1.17% | Crypto |
| SOXL | 0.38% | Equity/ETF |
| QQQ | 0.00% | Equity/ETF |
| ETH-USD | 0.00% | Crypto |
| SOL-USD | 0.00% | Crypto |

## Virtual Trades Executed
No trades executed. Portfolio within rebalance threshold.

## Current Portfolio
| Ticker | Shares | Avg Cost | Current Price | P&L | Weight |
|--------|--------|----------|---------------|-----|--------|
| AAPL | 2.0969 | $304.93 | $291.13 | $-28.94 | 6.64% |
| AMD | 0.5922 | $475.51 | $511.57 | $+21.36 | 3.29% |
| AMZN | 1.9782 | $264.27 | $238.55 | $-50.88 | 5.13% |
| ARKK | 5.2349 | $78.22 | $79.63 | $+7.38 | 4.53% |
| AVGO | 0.6966 | $385.77 | $382.07 | $-2.58 | 2.89% |
| BTC-USD | 0.0036 | $78864.28 | $66384.91 | $-45.44 | 2.63% |
| COIN | 2.3857 | $191.61 | $169.62 | $-52.45 | 4.40% |
| ETH-USD | 0.0002 | $2243.97 | $1813.68 | $-0.07 | 0.00% |
| GLD | 1.4256 | $424.58 | $386.54 | $-54.23 | 5.99% |
| GOOGL | 1.5206 | $380.34 | $359.68 | $-31.42 | 5.95% |
| META | 0.9874 | $601.05 | $593.48 | $-7.48 | 6.37% |
| MSFT | 1.4213 | $402.04 | $390.74 | $-16.06 | 6.04% |
| MSTR | 4.1924 | $164.63 | $123.97 | $-170.47 | 5.65% |
| NFLX | 7.5220 | $87.19 | $80.34 | $-51.56 | 6.57% |
| NVDA | 1.7267 | $214.25 | $205.19 | $-15.64 | 3.85% |
| PLTR | 3.4947 | $129.03 | $134.71 | $+19.85 | 5.12% |
| QQQ | 0.0007 | $735.60 | $744.00 | $+0.01 | 0.01% |
| SHY | 4.2520 | $82.17 | $82.11 | $-0.23 | 3.80% |
| SOL-USD | 0.5827 | $81.14 | $74.88 | $-3.65 | 0.47% |
| SPY | 0.5060 | $740.61 | $741.75 | $+0.58 | 4.08% |
| TLT | 2.5997 | $84.75 | $85.72 | $+2.51 | 2.42% |
| TQQQ | 0.8278 | $73.05 | $77.52 | $+3.70 | 0.70% |
| TSLA | 0.7403 | $409.99 | $406.43 | $-2.64 | 3.27% |

## Risk Metrics
- Portfolio Volatility (proxy): 24.38% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -9.12%
- Max Drawdown: -13.21%
- Trade Count: 55

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*Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.*