SQAF 운용 저녁 리포트
핵심 요약
현재 시장은 SPY 5일 수익률 -1.81%, Crypto Fear & Greed 12/100으로 고변동·극단적 공포 환경입니다. 이번 전략은 12-1개월 모멘텀 50%, 단기 평균회귀 20%, 변동성 레짐 30%를 결합하되, 리밸런싱 임계값 3.0% 안에 있어 신규 가상 매매는 실행하지 않았습니다. 포트폴리오는 여전히 성장주·크립토 노출이 높아 VaR -2.49%, 현재 낙폭 -14.32% 관리가 핵심입니다.
Dashboard Screenshot
MEDIA:/tmp/sqaf_screens/dashboard_20260625-220130.png
Full Trading Report
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-25 22:00 KST | Target Monthly Return: 20% Virtual AUM: $8,672.06 | Total Return: -13.28% | Cash: $271.67
Market Regime
- SPY 5-day return: -1.81%
- 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 +0.33 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.29 → oversold bounce, calm regime (vol filter pass)
- MSTR: ensemble +0.25 → oversold bounce, calm regime (vol filter pass)
- COIN: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- BTC-USD: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.66 | +0.67 | +0.33 |
| GOOGL | +0.00 | +0.55 | +0.61 | +0.29 |
| MSTR | +0.00 | +0.62 | +0.43 | +0.25 |
| COIN | +0.00 | +0.50 | +0.49 | +0.24 |
| BTC-USD | +0.00 | +0.46 | +0.50 | +0.24 |
| TSLA | +0.00 | +0.57 | +0.43 | +0.24 |
| GLD | +0.00 | +0.69 | +0.31 | +0.23 |
| NVDA | +0.00 | +0.51 | +0.36 | +0.21 |
| AAPL | +0.00 | +0.34 | +0.47 | +0.21 |
| META | +0.00 | +0.43 | +0.39 | +0.20 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| GOOGL | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 7.90% | Equity/ETF |
| GOOGL | 6.91% | Equity/ETF |
| MSTR | 5.99% | Equity/ETF |
| COIN | 5.78% | Equity/ETF |
| BTC-USD | 5.74% | Crypto |
| TSLA | 5.72% | Equity/ETF |
| GLD | 5.42% | Safe |
| NVDA | 4.97% | Equity/ETF |
| AAPL | 4.89% | Equity/ETF |
| META | 4.83% | Equity/ETF |
| PLTR | 4.79% | Equity/ETF |
| ETH-USD | 4.56% | Crypto |
| MSFT | 4.27% | Equity/ETF |
| SPY | 4.22% | Equity/ETF |
| AMZN | 4.21% | Equity/ETF |
| ARKK | 3.35% | Equity/ETF |
| SOL-USD | 3.13% | Crypto |
| TQQQ | 3.09% | Equity/ETF |
| AMD | 2.98% | Equity/ETF |
| QQQ | 2.71% | Equity/ETF |
| AVGO | 2.30% | Equity/ETF |
| SOXL | 1.48% | Equity/ETF |
| SHY | 0.76% | Safe |
| TLT | 0.00% | Safe |
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 | $293.08 | $-24.85 | 7.09% |
| AMD | 0.5922 | $475.51 | $519.74 | $+26.19 | 3.55% |
| AMZN | 1.9782 | $264.27 | $234.27 | $-59.35 | 5.34% |
| ARKK | 5.2349 | $78.22 | $76.72 | $-7.85 | 4.63% |
| AVGO | 0.6966 | $385.77 | $382.07 | $-2.58 | 3.07% |
| BTC-USD | 0.0081 | $69104.94 | $61153.48 | $-64.57 | 5.73% |
| COIN | 2.3857 | $191.61 | $150.11 | $-99.00 | 4.13% |
| ETH-USD | 0.2398 | $1636.07 | $1634.18 | $-0.45 | 4.52% |
| GLD | 1.4256 | $424.58 | $365.92 | $-83.62 | 6.02% |
| GOOGL | 1.5206 | $380.34 | $345.29 | $-53.30 | 6.05% |
| META | 0.9874 | $601.05 | $557.67 | $-42.84 | 6.35% |
| MSFT | 1.4213 | $402.04 | $365.46 | $-51.99 | 5.99% |
| MSTR | 4.1924 | $164.63 | $94.13 | $-295.57 | 4.55% |
| NFLX | 7.5220 | $87.19 | $71.84 | $-115.50 | 6.23% |
| NVDA | 1.7267 | $214.25 | $199.00 | $-26.33 | 3.96% |
| PLTR | 3.4947 | $129.03 | $113.50 | $-54.27 | 4.57% |
| QQQ | 0.0007 | $735.60 | $710.62 | $-0.02 | 0.01% |
| SHY | 0.8416 | $82.17 | $82.07 | $-0.08 | 0.80% |
| SOL-USD | 0.5827 | $81.14 | $68.22 | $-7.53 | 0.46% |
| SPY | 0.5060 | $740.61 | $733.24 | $-3.73 | 4.28% |
| TLT | 2.5997 | $84.75 | $87.38 | $+6.82 | 2.62% |
| TQQQ | 0.8278 | $73.05 | $73.30 | $+0.21 | 0.70% |
| TSLA | 1.4379 | $405.38 | $375.53 | $-42.92 | 6.23% |
Risk Metrics
- Portfolio Volatility (proxy): 25.05% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -14.32%
- Max Drawdown: -14.32%
- Trade Count: 59
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.