SQAF 운용 아침 리포트
핵심 요약
오늘 SQAF는 Neutral/Ranging (High Vol) 국면으로 판단해 고변동성 구간에서 노출을 과도하게 늘리지 않는 방향을 유지했습니다. 신호는 중기 모멘텀 50%, 단기 평균회귀 20%, 변동성 레짐 30%를 결합했고, NFLX·GOOGL·META·AMZN·GLD가 상위 앙상블 신호로 포착되었습니다. 포트폴리오는 리밸런싱 임계치 3.0% 이내라 신규 가상매매는 실행하지 않았습니다.
Dashboard Screenshot
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-14 09:00 KST | Target Monthly Return: 20% Virtual AUM: $9,032.42 | Total Return: -9.68% | Cash: $322.08
Market Regime
- SPY 5-day return: +0.37%
- Crypto Fear & Greed: 18/100 (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 +0.35 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- GLD: ensemble +0.26 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.49 | +0.85 | +0.35 |
| GOOGL | +0.00 | +0.40 | +0.80 | +0.32 |
| META | +0.00 | +0.58 | +0.66 | +0.31 |
| AMZN | +0.00 | +0.53 | +0.57 | +0.28 |
| GLD | +0.00 | +0.51 | +0.54 | +0.26 |
| AAPL | +0.00 | +0.55 | +0.47 | +0.25 |
| COIN | +0.00 | +0.34 | +0.53 | +0.23 |
| MSTR | +0.00 | +0.34 | +0.49 | +0.22 |
| NVDA | +0.00 | +0.42 | +0.44 | +0.21 |
| PLTR | +0.00 | +0.41 | +0.44 | +0.21 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| BTC-USD | ⚪ +0.00 |
| SOL-USD | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |
| META | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.02% | Equity/ETF |
| GOOGL | 7.52% | Equity/ETF |
| META | 7.43% | Equity/ETF |
| AMZN | 6.56% | Equity/ETF |
| GLD | 6.22% | Safe |
| AAPL | 5.98% | Equity/ETF |
| COIN | 5.39% | Equity/ETF |
| MSTR | 5.09% | Equity/ETF |
| NVDA | 5.06% | Equity/ETF |
| PLTR | 5.04% | Equity/ETF |
| MSFT | 4.94% | Equity/ETF |
| SPY | 4.10% | Equity/ETF |
| ARKK | 3.98% | Equity/ETF |
| TSLA | 3.77% | Equity/ETF |
| AVGO | 3.63% | Equity/ETF |
| TQQQ | 2.65% | Equity/ETF |
| BTC-USD | 2.28% | Crypto |
| QQQ | 2.24% | Equity/ETF |
| AMD | 2.21% | Equity/ETF |
| SHY | 2.08% | Safe |
| SOL-USD | 2.02% | Crypto |
| ETH-USD | 1.76% | Crypto |
| TLT | 1.68% | Safe |
| SOXL | 0.32% | 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 | $291.13 | $-23.71 | 3.57% |
| AMD | 0.5922 | $475.51 | $511.57 | $+21.36 | 3.35% |
| AMZN | 1.9782 | $264.27 | $238.55 | $-50.88 | 5.22% |
| ARKK | 5.2349 | $78.22 | $75.65 | $-13.45 | 4.38% |
| AVGO | 0.6966 | $385.77 | $382.07 | $-2.58 | 2.95% |
| BTC-USD | 0.0036 | $78864.28 | $64396.54 | $-52.68 | 2.60% |
| COIN | 2.3857 | $191.61 | $159.78 | $-75.93 | 4.22% |
| ETH-USD | 0.1633 | $2243.97 | $1679.85 | $-92.13 | 3.04% |
| GLD | 1.4256 | $424.58 | $386.54 | $-54.23 | 6.10% |
| GOOGL | 1.5206 | $380.34 | $359.68 | $-31.42 | 6.06% |
| META | 0.9874 | $601.05 | $566.98 | $-33.64 | 6.20% |
| MSFT | 0.5963 | $405.19 | $390.74 | $-8.62 | 2.58% |
| MSTR | 4.1924 | $164.63 | $123.97 | $-170.47 | 5.75% |
| NFLX | 7.5220 | $87.19 | $80.34 | $-51.56 | 6.69% |
| NVDA | 1.7267 | $214.25 | $205.19 | $-15.64 | 3.92% |
| PLTR | 3.4947 | $129.03 | $127.99 | $-3.63 | 4.95% |
| QQQ | 0.4078 | $735.60 | $721.34 | $-5.81 | 3.26% |
| SHY | 4.2520 | $82.17 | $82.07 | $-0.40 | 3.86% |
| SOL-USD | 4.8523 | $81.14 | $68.85 | $-59.63 | 3.70% |
| SPY | 0.5060 | $740.61 | $741.75 | $+0.58 | 4.16% |
| TLT | 2.5997 | $84.75 | $85.77 | $+2.64 | 2.47% |
| TQQQ | 4.7422 | $73.05 | $77.52 | $+21.20 | 4.07% |
| TSLA | 0.7403 | $409.99 | $406.43 | $-2.64 | 3.33% |
Risk Metrics
- Portfolio Volatility (proxy): 24.54% annualized
- 95% VaR (daily): -2.50%
- Current Drawdown: -10.76%
- Max Drawdown: -13.21%
- Trade Count: 49
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.