핵심 요약
오늘 SQAF는 AUM $8,755.16, 총수익률 -12.45%, 현금 $1,002.52 상태입니다. 시장 레짐은 SPY 5일 수익률 +2.43%와 저변동 조건을 반영해 Bullish (Low Vol) 로 분류됐고, 크립토 Fear & Greed는 11/100으로 극단적 공포 구간입니다.
전략 요약
현재 전략은 중기 모멘텀 50%, 단기 과매도 평균회귀 20%, 변동성 레짐 30%를 결합해 저변동 상승장에서는 위험자산 노출을 유지하되, 급변동 구간에서는 자동으로 노출을 줄이는 구조입니다. 오늘은 BTC-USD, ETH-USD, COIN, NFLX, PLTR 쪽의 과매도 반등 신호와 변동성 필터 통과가 핵심 근거였지만, 실제 포트폴리오는 리밸런싱 임계값 안에 있어 신규 거래는 없었습니다.
Dashboard Screenshot
MEDIA:C:/Users/msi/AppData/Local/Temp/sqaf_dashboard_20260701-220050.png
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-07-01 22:00 KST | Target Monthly Return: 20% Virtual AUM: $8,755.16 | Total Return: -12.45% | Cash: $1,002.52
Market Regime
- SPY 5-day return: +2.43%
- Crypto Fear & Greed: 11/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Bullish (Low 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?
- BTC-USD: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- COIN: ensemble +0.25 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- PLTR: ensemble +0.23 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| BTC-USD | +0.00 | +0.52 | +0.69 | +0.31 |
| ETH-USD | +0.00 | +0.41 | +0.67 | +0.28 |
| COIN | +0.00 | +0.50 | +0.49 | +0.25 |
| NFLX | +0.00 | +0.49 | +0.48 | +0.24 |
| PLTR | +0.00 | +0.32 | +0.54 | +0.23 |
| MSTR | +0.00 | +0.52 | +0.32 | +0.20 |
| NVDA | +0.00 | +0.24 | +0.45 | +0.18 |
| MSFT | +0.00 | +0.26 | +0.41 | +0.18 |
| META | +0.00 | +0.21 | +0.43 | +0.17 |
| GLD | +0.00 | +0.43 | +0.23 | +0.16 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| ETH-USD | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| GLD | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| QQQ | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| BTC-USD | 8.48% | Crypto |
| COIN | 8.48% | Equity/ETF |
| ETH-USD | 8.48% | Crypto |
| NFLX | 8.48% | Equity/ETF |
| PLTR | 8.41% | Equity/ETF |
| MSTR | 7.45% | Equity/ETF |
| NVDA | 6.80% | Equity/ETF |
| MSFT | 6.49% | Equity/ETF |
| META | 6.36% | Equity/ETF |
| GLD | 5.75% | Safe |
| GOOGL | 5.38% | Equity/ETF |
| AMZN | 4.58% | Equity/ETF |
| AAPL | 3.88% | Equity/ETF |
| AVGO | 3.37% | Equity/ETF |
| TLT | 3.30% | Safe |
| SOL-USD | 2.52% | Crypto |
| SHY | 0.93% | Safe |
| SPY | 0.63% | Equity/ETF |
| ARKK | 0.17% | Equity/ETF |
| AMD | 0.06% | Equity/ETF |
| QQQ | 0.00% | Equity/ETF |
| SOXL | 0.00% | Equity/ETF |
| TQQQ | 0.00% | Equity/ETF |
| TSLA | 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 | 1.1814 | $304.93 | $289.36 | $-18.39 | 3.90% |
| AMD | 0.0085 | $475.51 | $580.91 | $+0.90 | 0.06% |
| AMZN | 0.6570 | $264.27 | $238.34 | $-17.04 | 1.79% |
| ARKK | 1.5454 | $78.22 | $80.82 | $+4.02 | 1.43% |
| AVGO | 0.6966 | $385.77 | $377.75 | $-5.58 | 3.01% |
| BTC-USD | 0.0127 | $65258.63 | $58495.50 | $-85.93 | 8.49% |
| COIN | 4.1495 | $174.62 | $146.19 | $-117.98 | 6.93% |
| ETH-USD | 0.4072 | $1609.57 | $1569.26 | $-16.41 | 7.30% |
| GLD | 1.4256 | $424.58 | $368.38 | $-80.11 | 6.00% |
| GOOGL | 1.5206 | $380.34 | $357.37 | $-34.93 | 6.21% |
| META | 0.9874 | $601.05 | $563.29 | $-37.29 | 6.35% |
| MSFT | 1.4829 | $384.84 | $373.02 | $-17.53 | 6.32% |
| MSTR | 7.5498 | $130.08 | $86.93 | $-325.76 | 7.50% |
| NFLX | 7.5220 | $87.19 | $71.40 | $-118.81 | 6.13% |
| NVDA | 1.7267 | $214.25 | $200.09 | $-24.45 | 3.95% |
| PLTR | 5.9555 | $123.52 | $116.67 | $-40.80 | 7.94% |
| QQQ | 0.0007 | $735.60 | $736.40 | $+0.00 | 0.01% |
| SHY | 0.8416 | $82.17 | $82.11 | $-0.05 | 0.79% |
| SOL-USD | 0.5827 | $81.14 | $74.54 | $-3.84 | 0.50% |
| SPY | 0.0746 | $740.61 | $746.77 | $+0.46 | 0.64% |
| TLT | 2.5997 | $84.75 | $86.42 | $+4.33 | 2.57% |
| TQQQ | 0.8278 | $73.05 | $81.00 | $+6.58 | 0.77% |
| TSLA | 0.0008 | $405.38 | $420.60 | $+0.01 | 0.00% |
Risk Metrics
- Portfolio Volatility (proxy): 25.61% annualized
- 95% VaR (daily): -2.50%
- Current Drawdown: -13.50%
- Max Drawdown: -16.36%
- Trade Count: 73
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.