Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-18 09:01 KST | Target Monthly Return: 20% Virtual AUM: $9,076.58 | Total Return: -9.23% | Cash: $938.36
대시보드 스크린샷: MEDIA:/tmp/sqaf_dashboard_20260618-090215.png
Sonia 요약 — Trading Strategy Rationale
현재 시장은 Neutral/Ranging이지만 고변동성 구간으로 판정되어, 추세 추종보다 과매도 반등과 변동성 필터 통과 종목 중심으로 노출을 유지했습니다. 리밸런싱 임계치 3.0% 안에 있어 오늘은 거래 없이 포트폴리오를 유지했고, Crypto Fear & Greed 15/100의 Extreme Fear 상태라 암호화폐 비중은 낮게 억제된 상태입니다.
Market Regime
- SPY 5-day return: -0.08%
- Crypto Fear & Greed: 15/100 (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 +0.37 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.27 → calm regime (vol filter pass)
- META: ensemble +0.25 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.23 → oversold bounce, calm regime (vol filter pass)
- MSFT: ensemble +0.22 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.64 | +0.82 | +0.37 |
| GOOGL | +0.00 | +0.25 | +0.73 | +0.27 |
| META | +0.00 | +0.49 | +0.50 | +0.25 |
| AMZN | +0.00 | +0.45 | +0.47 | +0.23 |
| MSFT | +0.00 | +0.58 | +0.34 | +0.22 |
| MSTR | +0.00 | +0.38 | +0.46 | +0.21 |
| SHY | +0.00 | +0.41 | +0.44 | +0.21 |
| TSLA | +0.00 | +0.36 | +0.44 | +0.21 |
| GLD | +0.00 | +0.37 | +0.43 | +0.21 |
| NVDA | +0.00 | +0.37 | +0.42 | +0.20 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| TQQQ | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.15% | Equity/ETF |
| GOOGL | 7.13% | Equity/ETF |
| META | 6.62% | Equity/ETF |
| AMZN | 6.13% | Equity/ETF |
| MSFT | 5.79% | Equity/ETF |
| MSTR | 5.71% | Equity/ETF |
| SHY | 5.70% | Safe |
| TSLA | 5.48% | Equity/ETF |
| GLD | 5.47% | Safe |
| NVDA | 5.39% | Equity/ETF |
| COIN | 5.35% | Equity/ETF |
| AAPL | 5.19% | Equity/ETF |
| SPY | 4.57% | Equity/ETF |
| PLTR | 4.41% | Equity/ETF |
| ARKK | 2.86% | Equity/ETF |
| AMD | 2.83% | Equity/ETF |
| TQQQ | 2.78% | Equity/ETF |
| AVGO | 2.72% | Equity/ETF |
| QQQ | 2.29% | Equity/ETF |
| TLT | 2.26% | Safe |
| BTC-USD | 1.69% | Crypto |
| SOXL | 0.95% | Equity/ETF |
| SOL-USD | 0.28% | Crypto |
| ETH-USD | 0.25% | Crypto |
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 | $295.95 | $-18.83 | 6.84% |
| AMD | 0.5922 | $475.51 | $512.48 | $+21.90 | 3.34% |
| AMZN | 1.9782 | $264.27 | $237.50 | $-52.96 | 5.18% |
| ARKK | 5.2349 | $78.22 | $78.49 | $+1.41 | 4.53% |
| AVGO | 0.6966 | $385.77 | $392.90 | $+4.97 | 3.02% |
| BTC-USD | 0.0036 | $78864.28 | $64478.45 | $-52.39 | 2.59% |
| COIN | 2.3857 | $191.61 | $164.91 | $-63.68 | 4.33% |
| ETH-USD | 0.0002 | $2243.97 | $1750.00 | $-0.08 | 0.00% |
| GLD | 1.4256 | $424.58 | $388.60 | $-51.29 | 6.10% |
| GOOGL | 1.5206 | $380.34 | $363.79 | $-25.17 | 6.09% |
| META | 0.9874 | $601.05 | $567.58 | $-33.05 | 6.17% |
| MSFT | 1.4213 | $402.04 | $378.91 | $-32.87 | 5.93% |
| MSTR | 4.1924 | $164.63 | $116.56 | $-201.54 | 5.38% |
| NFLX | 7.5220 | $87.19 | $76.96 | $-76.99 | 6.38% |
| NVDA | 1.7267 | $214.25 | $204.65 | $-16.58 | 3.89% |
| PLTR | 3.4947 | $129.03 | $130.63 | $+5.60 | 5.03% |
| QQQ | 0.0007 | $735.60 | $722.51 | $-0.01 | 0.01% |
| SHY | 4.2520 | $82.17 | $81.88 | $-1.21 | 3.84% |
| SOL-USD | 0.5827 | $81.14 | $72.05 | $-5.30 | 0.46% |
| SPY | 0.5060 | $740.61 | $740.96 | $+0.18 | 4.13% |
| TLT | 2.5997 | $84.75 | $86.33 | $+4.09 | 2.47% |
| TQQQ | 0.8278 | $73.05 | $77.54 | $+3.72 | 0.71% |
| TSLA | 0.7403 | $409.99 | $396.38 | $-10.08 | 3.23% |
Risk Metrics
- Portfolio Volatility (proxy): 24.67% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -10.32%
- Max Drawdown: -13.21%
- Trade Count: 55
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.