SQAF 운용 저녁 리포트
핵심 요약
현재 SQAF는 고변동성 중립/박스권 체제로 판단되어 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%의 앙상블을 유지했습니다. 리밸런싱 임계값 3.0% 이내라 신규 가상 매매는 없었고, Extreme Fear 환경에서는 과도한 추격보다 변동성 필터와 현금/안전자산 완충을 유지하는 쪽이 안전합니다.
대시보드 스크린샷
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Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-24 22:00 KST | Target Monthly Return: 20% Virtual AUM: $8,800.48 | Total Return: -12.00% | Cash: $658.67
Market Regime
- SPY 5-day return: -1.77%
- Crypto Fear & Greed: 17/100 (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 +0.34 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- MSTR: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- TSLA: ensemble +0.23 → oversold bounce, calm regime (vol filter pass)
- GLD: ensemble +0.22 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.69 | +0.67 | +0.34 |
| GOOGL | +0.00 | +0.59 | +0.60 | +0.30 |
| MSTR | +0.00 | +0.50 | +0.46 | +0.24 |
| TSLA | +0.00 | +0.54 | +0.42 | +0.23 |
| GLD | +0.00 | +0.52 | +0.38 | +0.22 |
| NVDA | +0.00 | +0.53 | +0.37 | +0.22 |
| COIN | +0.00 | +0.29 | +0.52 | +0.21 |
| META | +0.00 | +0.43 | +0.41 | +0.21 |
| AAPL | +0.00 | +0.32 | +0.48 | +0.21 |
| PLTR | +0.00 | +0.59 | +0.29 | +0.20 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| SOL-USD | ⚪ +0.00 |
| BTC-USD | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.02% | Equity/ETF |
| GOOGL | 7.25% | Equity/ETF |
| MSTR | 5.82% | Equity/ETF |
| TSLA | 5.71% | Equity/ETF |
| GLD | 5.34% | Safe |
| NVDA | 5.30% | Equity/ETF |
| COIN | 5.27% | Equity/ETF |
| META | 5.13% | Equity/ETF |
| AAPL | 5.10% | Equity/ETF |
| PLTR | 5.01% | Equity/ETF |
| AMZN | 4.90% | Equity/ETF |
| SPY | 4.70% | Equity/ETF |
| MSFT | 4.33% | Equity/ETF |
| BTC-USD | 3.91% | Crypto |
| ARKK | 3.71% | Equity/ETF |
| SHY | 3.06% | Safe |
| TQQQ | 3.03% | Equity/ETF |
| TLT | 2.70% | Safe |
| AMD | 2.66% | Equity/ETF |
| AVGO | 2.62% | Equity/ETF |
| QQQ | 2.61% | Equity/ETF |
| SOL-USD | 1.48% | Crypto |
| ETH-USD | 1.21% | Crypto |
| SOXL | 1.11% | Equity/ETF |
Virtual Trades Executed
No trades executed. Portfolio within rebalance threshold.
Current Portfolio
| Ticker | Shares | Avg Cost | Current Price | P&L | Weight |
|---|---|---|---|---|---|
| AAPL | 2.0969 | $304.93 | $294.30 | $-22.29 | 7.01% |
| AMD | 0.5922 | $475.51 | $519.85 | $+26.26 | 3.50% |
| AMZN | 1.9782 | $264.27 | $234.11 | $-59.67 | 5.26% |
| ARKK | 5.2349 | $78.22 | $76.68 | $-8.06 | 4.56% |
| AVGO | 0.6966 | $385.77 | $380.15 | $-3.91 | 3.01% |
| BTC-USD | 0.0036 | $78864.28 | $62498.89 | $-59.59 | 2.59% |
| COIN | 2.3857 | $191.61 | $158.18 | $-79.74 | 4.29% |
| ETH-USD | 0.0002 | $2243.97 | $1668.89 | $-0.09 | 0.00% |
| GLD | 1.4256 | $424.58 | $377.32 | $-67.37 | 6.11% |
| GOOGL | 1.5206 | $380.34 | $346.13 | $-52.02 | 5.98% |
| META | 0.9874 | $601.05 | $562.20 | $-38.36 | 6.31% |
| MSFT | 1.4213 | $402.04 | $373.94 | $-39.94 | 6.04% |
| MSTR | 4.1924 | $164.63 | $103.84 | $-254.87 | 4.95% |
| NFLX | 7.5220 | $87.19 | $72.82 | $-108.13 | 6.22% |
| NVDA | 1.7267 | $214.25 | $200.04 | $-24.54 | 3.92% |
| PLTR | 3.4947 | $129.03 | $116.70 | $-43.09 | 4.63% |
| QQQ | 0.0007 | $735.60 | $713.65 | $-0.02 | 0.01% |
| SHY | 4.2520 | $82.17 | $81.97 | $-0.83 | 3.96% |
| SOL-USD | 0.5827 | $81.14 | $69.34 | $-6.87 | 0.46% |
| SPY | 0.5060 | $740.61 | $733.58 | $-3.56 | 4.22% |
| TLT | 2.5997 | $84.75 | $86.20 | $+3.76 | 2.55% |
| TQQQ | 0.8278 | $73.05 | $74.44 | $+1.15 | 0.70% |
| TSLA | 1.4379 | $405.38 | $381.61 | $-34.18 | 6.24% |
Risk Metrics
- Portfolio Volatility (proxy): 24.97% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -13.05%
- Max Drawdown: -13.21%
- Trade Count: 56
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.