Son Quant Alpha Fund (SQAF) — Daily Briefing
Sonia 운용 요약
오늘 SQAF는 Bearish (Low Vol) 체제에서 신규 리밸런싱 거래 없이 포트폴리오를 유지했습니다. 신호 엔진은 중기 모멘텀보다 단기 과매도 반등과 변동성 필터 통과 여부를 더 의미 있게 반영했고, GLD·NFLX·AMZN·META·GOOGL이 상위 앙상블 신호로 유지되었습니다. 다만 Crypto Fear & Greed가 8/100으로 극단적 공포 구간이고 현재 낙폭이 -10%대라, 공격적 월 20% 목표보다 드로우다운 통제가 우선입니다.
Dashboard Screenshot
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Full Trading Report
# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-08 09:01 KST | **Target Monthly Return:** 20%
**Virtual AUM:** $9,030.16 | **Total Return:** -9.70% | **Cash:** $309.63
## Market Regime
- SPY 5-day return: -2.90%
- Crypto Fear & Greed: 8/100 (Extreme Fear)
## Trading Strategy Rationale
**Market Regime:** Bearish (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?**
- **GLD**: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- **NFLX**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **AMZN**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **META**: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- **GOOGL**: ensemble +0.29 → oversold bounce, calm regime (vol filter pass)
## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| GLD | +0.00 | +0.70 | +0.77 | +0.37 |
| NFLX | +0.00 | +0.57 | +0.76 | +0.34 |
| AMZN | +0.00 | +0.79 | +0.59 | +0.34 |
| META | +0.00 | +0.52 | +0.66 | +0.30 |
| GOOGL | +0.00 | +0.45 | +0.66 | +0.29 |
| TSLA | +0.00 | +0.80 | +0.41 | +0.28 |
| SHY | +0.00 | +0.36 | +0.68 | +0.28 |
| MSTR | +0.00 | +0.64 | +0.49 | +0.27 |
| COIN | +0.00 | +0.70 | +0.43 | +0.27 |
| SPY | +0.00 | +0.35 | +0.64 | +0.26 |
## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| BTC-USD | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| META | ⚪ +0.00 |
| GLD | ⚪ +0.00 |
## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| GLD | 6.78% | Safe |
| NFLX | 6.24% | Equity/ETF |
| AMZN | 6.11% | Equity/ETF |
| META | 5.46% | Equity/ETF |
| GOOGL | 5.23% | Equity/ETF |
| TSLA | 5.14% | Equity/ETF |
| SHY | 5.04% | Safe |
| MSTR | 4.99% | Equity/ETF |
| COIN | 4.88% | Equity/ETF |
| SPY | 4.75% | Equity/ETF |
| ARKK | 4.53% | Equity/ETF |
| NVDA | 4.46% | Equity/ETF |
| TQQQ | 3.83% | Equity/ETF |
| QQQ | 3.59% | Equity/ETF |
| SOL-USD | 3.58% | Crypto |
| BTC-USD | 3.52% | Crypto |
| AVGO | 3.39% | Equity/ETF |
| AAPL | 3.11% | Equity/ETF |
| ETH-USD | 3.05% | Crypto |
| PLTR | 2.86% | Equity/ETF |
| AMD | 2.77% | Equity/ETF |
| TLT | 2.40% | Safe |
| MSFT | 2.40% | Equity/ETF |
| SOXL | 1.90% | 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 | $307.34 | $-5.73 | 3.77% |
| AMZN | 3.1055 | $264.27 | $246.03 | $-56.65 | 8.46% |
| ARKK | 5.2349 | $78.22 | $74.49 | $-19.53 | 4.32% |
| AVGO | 0.6966 | $385.77 | $385.73 | $-0.03 | 2.98% |
| BTC-USD | 0.0086 | $78864.28 | $63238.51 | $-135.04 | 6.05% |
| COIN | 4.2459 | $191.61 | $152.40 | $-166.47 | 7.17% |
| ETH-USD | 0.1633 | $2243.97 | $1685.19 | $-91.26 | 3.05% |
| GLD | 1.4256 | $424.58 | $396.24 | $-40.40 | 6.26% |
| GOOGL | 1.5206 | $380.34 | $368.53 | $-17.96 | 6.21% |
| META | 0.4759 | $617.89 | $593.00 | $-11.84 | 3.12% |
| MSFT | 0.5963 | $405.19 | $416.67 | $+6.85 | 2.75% |
| MSTR | 4.1924 | $164.63 | $120.44 | $-185.27 | 5.59% |
| NFLX | 7.5220 | $87.19 | $82.18 | $-37.72 | 6.85% |
| NVDA | 1.7267 | $214.25 | $205.10 | $-15.80 | 3.92% |
| PLTR | 1.2345 | $130.93 | $135.53 | $+5.68 | 1.85% |
| QQQ | 0.4078 | $735.60 | $705.06 | $-12.45 | 3.18% |
| SHY | 4.2520 | $82.17 | $81.86 | $-1.30 | 3.85% |
| SOL-USD | 4.8523 | $81.14 | $66.35 | $-71.76 | 3.57% |
| SPY | 0.5060 | $740.61 | $737.55 | $-1.55 | 4.13% |
| TLT | 2.5997 | $84.75 | $85.06 | $+0.79 | 2.45% |
| TQQQ | 4.7422 | $73.05 | $73.05 | $+0.00 | 3.84% |
| TSLA | 0.7403 | $409.99 | $391.00 | $-14.06 | 3.21% |
## Risk Metrics
- Portfolio Volatility (proxy): 23.91% annualized
- 95% VaR (daily): -2.62%
- Current Drawdown: -10.78%
- Max Drawdown: -11.79%
- Trade Count: 43
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*Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.*Dashboard Verification
- Dashboard URL checked: http://localhost:8765/
- Server status: started and verified reachable
- Screenshot captured:
/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_d89ed09f79ba4cb194083e9c6e2221c2.png