SQAF 운용 아침 리포트
핵심 요약
오늘 SQAF는 Neutral/Ranging (Low Vol) 레짐으로 판단했고, 리밸런싱 임계값 3.0% 이내라 신규 가상 매매는 실행하지 않았습니다. 상위 신호는 모멘텀보다 과매도 반등(Mean Reversion)과 안정적인 변동성 필터에 의해 NFLX, GOOGL, AMZN, SOL-USD, ETH-USD 쪽으로 기울어 있습니다. 다만 Crypto Fear & Greed가 12/100 Extreme Fear이고 현재 손실 구간이므로, 공격적 증액보다는 규칙 기반 노출 유지가 핵심입니다.
대시보드 스크린샷
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_62381ccd092c4f7fae28c17457d42fe4.png
전체 트레이딩 리포트 원문
/Users/jooho-hermes/Library/Python/3.9/lib/python/site-packages/urllib3/__init__.py:35: NotOpenSSLWarning: urllib3 v2 only supports OpenSSL 1.1.1+, currently the 'ssl' module is compiled with 'LibreSSL 2.8.3'. See: https://github.com/urllib3/urllib3/issues/3020
warnings.warn(
[2026-06-04 09:01:06.247274] Son Quant Alpha Fund (SQAF) v1.0.0 starting run...
Fetching price data...
Computing quantitative signals...
Fetching sentiment...
Constructing target portfolio...
Executing virtual trades...
Generating report...Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-04 09:01 KST | Target Monthly Return: 20% Virtual AUM: $9,324.94 | Total Return: -6.75% | Cash: $0.00
Market Regime
- SPY 5-day return: -0.29%
- Crypto Fear & Greed: 12/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Neutral/Ranging (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?
- NFLX: ensemble +0.42 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- SOL-USD: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.36 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.94 | +0.78 | +0.42 |
| GOOGL | +0.00 | +0.82 | +0.69 | +0.37 |
| AMZN | +0.00 | +0.89 | +0.64 | +0.37 |
| SOL-USD | +0.00 | +0.94 | +0.60 | +0.37 |
| ETH-USD | +0.00 | +0.83 | +0.65 | +0.36 |
| BTC-USD | +0.00 | +0.93 | +0.55 | +0.35 |
| GLD | +0.00 | +0.44 | +0.77 | +0.32 |
| MSTR | +0.00 | +0.74 | +0.52 | +0.30 |
| COIN | +0.00 | +0.70 | +0.46 | +0.28 |
| SHY | +0.00 | -0.08 | +0.73 | +0.20 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| SOXL | ⚪ +0.00 |
| GLD | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
| BTC-USD | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| MSTR | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.28% | Equity/ETF |
| GOOGL | 8.06% | Equity/ETF |
| AMZN | 8.00% | Equity/ETF |
| SOL-USD | 7.04% | Crypto |
| ETH-USD | 6.93% | Crypto |
| GLD | 6.89% | Safe |
| BTC-USD | 6.72% | Crypto |
| MSTR | 6.56% | Equity/ETF |
| COIN | 6.01% | Equity/ETF |
| SHY | 4.38% | Safe |
| ARKK | 3.90% | Equity/ETF |
| META | 3.69% | Equity/ETF |
| SPY | 3.63% | Equity/ETF |
| TSLA | 3.25% | Equity/ETF |
| AAPL | 3.10% | Equity/ETF |
| NVDA | 2.99% | Equity/ETF |
| TLT | 2.59% | Safe |
| PLTR | 2.27% | Equity/ETF |
| QQQ | 1.97% | Equity/ETF |
| TQQQ | 1.93% | Equity/ETF |
| MSFT | 1.80% | Equity/ETF |
| AMD | 0.00% | Equity/ETF |
| AVGO | 0.00% | 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 | 1.1089 | $312.51 | $310.26 | $-2.50 | 3.69% |
| AMZN | 3.1055 | $264.27 | $250.02 | $-44.26 | 8.33% |
| ARKK | 5.2349 | $78.22 | $78.16 | $-0.31 | 4.39% |
| AVGO | 0.0009 | $413.65 | $479.23 | $+0.06 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $64253.79 | $-126.26 | 5.95% |
| COIN | 4.2459 | $191.61 | $163.22 | $-120.52 | 7.43% |
| ETH-USD | 0.3667 | $2243.97 | $1816.66 | $-156.68 | 7.14% |
| GLD | 2.1041 | $424.58 | $407.87 | $-35.15 | 9.20% |
| GOOGL | 2.2912 | $380.34 | $358.99 | $-48.92 | 8.82% |
| META | 0.4759 | $617.89 | $622.98 | $+2.42 | 3.18% |
| MSFT | 0.5963 | $405.19 | $427.34 | $+13.21 | 2.73% |
| MSTR | 4.1924 | $164.63 | $126.54 | $-159.68 | 5.69% |
| NFLX | 7.5220 | $87.19 | $81.52 | $-42.69 | 6.58% |
| NVDA | 1.7267 | $214.25 | $214.75 | $+0.86 | 3.98% |
| PLTR | 1.2345 | $130.93 | $142.20 | $+13.91 | 1.88% |
| QQQ | 0.4078 | $735.60 | $744.21 | $+3.51 | 3.25% |
| SHY | 4.2520 | $82.17 | $81.97 | $-0.83 | 3.74% |
| SOL-USD | 5.4207 | $90.69 | $71.80 | $-102.40 | 4.17% |
| SPY | 0.5060 | $740.61 | $754.24 | $+6.90 | 4.09% |
| TLT | 2.5997 | $84.75 | $85.31 | $+1.44 | 2.38% |
| TSLA | 0.7403 | $409.99 | $423.70 | $+10.15 | 3.36% |
Risk Metrics
- Portfolio Volatility (proxy): 22.62% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -7.87%
- Max Drawdown: -7.88%
- Trade Count: 36
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.
대시보드 확인 메모
- Dashboard URL: http://localhost:8765/
- 서버 상태: HTTP 200 확인
- 스크린샷 기준 주요 카드: AUM $9,324.94, Total Return -6.75%, Cash $0.00, Max Drawdown -7.88%
- Holdings, Recent Trades, Risk Metrics 섹션 표시 확인