SQAF 운용 아침 리포트

핵심 요약

• 금일 SQAF 가상 AUM은 $9,142.17, 총수익률은 -8.58%, 현금은 $658.67입니다.
• 시장 국면은 Neutral/Ranging (High Vol)이며, Crypto Fear & Greed는 23/100 Extreme Fear입니다.
• 리밸런싱 기준 3.0% 이내라 가상 거래는 실행되지 않았습니다.

전략 요약

현재 모델은 고변동 박스권으로 판단해 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%의 앙상블을 사용했습니다. 상위 신호는 NFLX, GOOGL, MSTR, GLD, META 중심으로 나타났지만, 기존 포트폴리오가 리밸런싱 임계값 안에 있어 불필요한 거래 비용을 피했습니다. crypto 공포 구간이지만 총 crypto 목표 비중은 낮게 유지되어 고변동 리스크를 제한하는 쪽입니다.

대시보드 스크린샷

MEDIA:/tmp/sqaf_dashboard_20260621-090207.png

전체 실행 리포트 원문

[2026-06-21 09:00:47.259135] 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:** 2026-06-21 09:00 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $9,142.17  |  **Total Return:** -8.58%  |  **Cash:** $658.67

## Market Regime
- SPY 5-day return: -0.81%
- Crypto Fear & Greed: 23/100 (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 +0.23 → calm regime (vol filter pass)
- **MSTR**: ensemble +0.22 → oversold bounce, calm regime (vol filter pass)
- **GLD**: ensemble +0.21 → oversold bounce, calm regime (vol filter pass)
- **META**: ensemble +0.21 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| NFLX | +0.00 | +0.53 | +0.81 | +0.35 |
| GOOGL | +0.00 | +0.10 | +0.70 | +0.23 |
| MSTR | +0.00 | +0.42 | +0.47 | +0.22 |
| GLD | +0.00 | +0.37 | +0.46 | +0.21 |
| META | +0.00 | +0.32 | +0.49 | +0.21 |
| MSFT | +0.00 | +0.51 | +0.33 | +0.20 |
| TSLA | +0.00 | +0.26 | +0.48 | +0.19 |
| COIN | +0.00 | +0.18 | +0.52 | +0.19 |
| AMZN | +0.00 | +0.24 | +0.45 | +0.18 |
| AAPL | +0.00 | +0.22 | +0.44 | +0.18 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| SOXL | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |
| SPY | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| BTC-USD | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| NFLX | 8.28% | Equity/ETF |
| GOOGL | 7.73% | Equity/ETF |
| MSTR | 7.54% | Equity/ETF |
| GLD | 7.19% | Safe |
| META | 7.12% | Equity/ETF |
| MSFT | 6.73% | Equity/ETF |
| TSLA | 6.57% | Equity/ETF |
| COIN | 6.47% | Equity/ETF |
| AMZN | 6.17% | Equity/ETF |
| AAPL | 6.00% | Equity/ETF |
| PLTR | 5.87% | Equity/ETF |
| NVDA | 4.45% | Equity/ETF |
| SHY | 4.26% | Safe |
| SPY | 4.02% | Equity/ETF |
| TLT | 2.55% | Safe |
| ARKK | 2.32% | Equity/ETF |
| AMD | 2.29% | Equity/ETF |
| AVGO | 1.94% | Equity/ETF |
| TQQQ | 1.20% | Equity/ETF |
| BTC-USD | 1.02% | Crypto |
| QQQ | 0.25% | Equity/ETF |
| ETH-USD | 0.00% | Crypto |
| SOL-USD | 0.00% | Crypto |
| 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 | 2.0969 | $304.93 | $298.01 | $-14.51 | 6.84% |
| AMD | 0.5922 | $475.51 | $537.37 | $+36.63 | 3.48% |
| AMZN | 1.9782 | $264.27 | $244.39 | $-39.33 | 5.29% |
| ARKK | 5.2349 | $78.22 | $80.19 | $+10.31 | 4.59% |
| AVGO | 0.6966 | $385.77 | $411.35 | $+17.82 | 3.13% |
| BTC-USD | 0.0036 | $78864.28 | $64231.85 | $-53.28 | 2.56% |
| COIN | 2.3857 | $191.61 | $163.26 | $-67.62 | 4.26% |
| ETH-USD | 0.0002 | $2243.97 | $1738.56 | $-0.08 | 0.00% |
| GLD | 1.4256 | $424.58 | $387.12 | $-53.40 | 6.04% |
| GOOGL | 1.5206 | $380.34 | $368.03 | $-18.72 | 6.12% |
| META | 0.9874 | $601.05 | $577.22 | $-23.53 | 6.23% |
| MSFT | 1.4213 | $402.04 | $379.40 | $-32.18 | 5.90% |
| MSTR | 4.1924 | $164.63 | $112.53 | $-218.43 | 5.16% |
| NFLX | 7.5220 | $87.19 | $77.38 | $-73.83 | 6.37% |
| NVDA | 1.7267 | $214.25 | $210.69 | $-6.15 | 3.98% |
| PLTR | 3.4947 | $129.03 | $128.47 | $-1.95 | 4.91% |
| QQQ | 0.0007 | $735.60 | $740.62 | $+0.00 | 0.01% |
| SHY | 4.2520 | $82.17 | $81.99 | $-0.74 | 3.81% |
| SOL-USD | 0.5827 | $81.14 | $73.13 | $-4.67 | 0.47% |
| SPY | 0.5060 | $740.61 | $746.74 | $+3.10 | 4.13% |
| TLT | 2.5997 | $84.75 | $86.75 | $+5.19 | 2.47% |
| TQQQ | 0.8278 | $73.05 | $82.87 | $+8.13 | 0.75% |
| TSLA | 1.4379 | $405.38 | $400.49 | $-7.03 | 6.30% |

## Risk Metrics
- Portfolio Volatility (proxy): 24.59% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -9.67%
- Max Drawdown: -13.21%
- Trade Count: 56

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*Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.*