SQAF 운용 저녁 리포트
대시보드 스크린샷: MEDIA:/tmp/sqaf/dashboard_20260623-2204.png
Sonia 요약 — 전략 판단
현재 SQAF는 고변동 중립/박스권 레짐으로 판단해, 모멘텀보다 단기 과매도 반등과 변동성 필터를 중심으로 포지션을 유지했습니다. 리밸런싱 기준 3% 이내라 신규 가상 거래는 없었고, Crypto Fear & Greed 23의 극단적 공포 환경 때문에 크립토 노출은 목표 범위 안에서 제한적으로 유지하는 쪽이 맞습니다.
실행/검증 메모
- 운용 스크립트 실행 완료:
/Users/jooho-hermes/.hermes/scripts/quant_fund_manager.py - 대시보드 확인 완료:
http://localhost:8765/응답 정상 - 대시보드 스크린샷 캡처:
/tmp/sqaf/dashboard_20260623-2204.png
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-23 22:01 KST | Target Monthly Return: 20% Virtual AUM: $8,956.38 | Total Return: -10.44% | Cash: $658.67
Market Regime
- SPY 5-day return: -0.31%
- 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 +0.36 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- MSTR: ensemble +0.23 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.22 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.79 | +0.68 | +0.36 |
| GOOGL | +0.00 | +0.57 | +0.61 | +0.30 |
| META | +0.00 | +0.45 | +0.49 | +0.24 |
| MSTR | +0.00 | +0.44 | +0.47 | +0.23 |
| AMZN | +0.00 | +0.49 | +0.41 | +0.22 |
| MSFT | +0.00 | +0.59 | +0.32 | +0.21 |
| GLD | +0.00 | +0.40 | +0.43 | +0.21 |
| PLTR | +0.00 | +0.59 | +0.31 | +0.21 |
| SHY | +0.00 | +0.32 | +0.41 | +0.19 |
| AAPL | +0.00 | +0.25 | +0.46 | +0.19 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| AMD | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
| COIN | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GOOGL | 8.15% | Equity/ETF |
| NFLX | 8.15% | Equity/ETF |
| META | 6.51% | Equity/ETF |
| MSTR | 6.27% | Equity/ETF |
| AMZN | 6.09% | Equity/ETF |
| MSFT | 5.85% | Equity/ETF |
| GLD | 5.76% | Safe |
| PLTR | 5.75% | Equity/ETF |
| SHY | 5.14% | Safe |
| AAPL | 5.11% | Equity/ETF |
| COIN | 4.90% | Equity/ETF |
| TSLA | 4.76% | Equity/ETF |
| BTC-USD | 4.71% | Crypto |
| NVDA | 4.13% | Equity/ETF |
| SPY | 3.78% | Equity/ETF |
| TLT | 3.22% | Safe |
| ARKK | 3.13% | Equity/ETF |
| AVGO | 2.50% | Equity/ETF |
| ETH-USD | 1.81% | Crypto |
| SOL-USD | 1.44% | Crypto |
| TQQQ | 1.18% | Equity/ETF |
| AMD | 1.10% | Equity/ETF |
| QQQ | 0.57% | Equity/ETF |
| SOXL | 0.00% | Equity/ETF |
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 | $297.01 | $-16.61 | 6.95% |
| AMD | 0.5922 | $475.51 | $551.63 | $+45.08 | 3.65% |
| AMZN | 1.9782 | $264.27 | $232.79 | $-62.28 | 5.14% |
| ARKK | 5.2349 | $78.22 | $78.43 | $+1.10 | 4.58% |
| AVGO | 0.6966 | $385.77 | $392.13 | $+4.43 | 3.05% |
| BTC-USD | 0.0036 | $78864.28 | $62169.50 | $-60.79 | 2.53% |
| COIN | 2.3857 | $191.61 | $164.84 | $-63.86 | 4.39% |
| ETH-USD | 0.0002 | $2243.97 | $1652.18 | $-0.10 | 0.00% |
| GLD | 1.4256 | $424.58 | $384.59 | $-57.01 | 6.12% |
| GOOGL | 1.5206 | $380.34 | $349.68 | $-46.62 | 5.94% |
| META | 0.9874 | $601.05 | $563.85 | $-36.73 | 6.22% |
| MSFT | 1.4213 | $402.04 | $367.34 | $-49.32 | 5.83% |
| MSTR | 4.1924 | $164.63 | $109.46 | $-231.30 | 5.12% |
| NFLX | 7.5220 | $87.19 | $72.88 | $-107.68 | 6.12% |
| NVDA | 1.7267 | $214.25 | $208.65 | $-9.67 | 4.02% |
| PLTR | 3.4947 | $129.03 | $119.50 | $-33.30 | 4.66% |
| QQQ | 0.0007 | $735.60 | $737.95 | $+0.00 | 0.01% |
| SHY | 4.2520 | $82.17 | $81.91 | $-1.08 | 3.89% |
| SOL-USD | 0.5827 | $81.14 | $68.91 | $-7.12 | 0.45% |
| SPY | 0.5060 | $740.61 | $744.39 | $+1.91 | 4.21% |
| TLT | 2.5997 | $84.75 | $86.09 | $+3.47 | 2.50% |
| TQQQ | 0.8278 | $73.05 | $82.58 | $+7.89 | 0.76% |
| TSLA | 1.4379 | $405.38 | $405.05 | $-0.48 | 6.50% |
Risk Metrics
- Portfolio Volatility (proxy): 24.66% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -11.51%
- Max Drawdown: -13.21%
- Trade Count: 56
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.