SQAF 운용 아침 리포트
Sonia 운용 요약
오늘 SQAF는 고변동 중립/박스권 장세로 판단해, 중기 모멘텀보다 단기 과매도 반등과 변동성 필터를 결합한 방어적 리밸런싱 모드입니다. 포트폴리오 드리프트가 3% 임계값 안에 있어 신규 가상 매매는 실행하지 않았고, 현금 7.3%와 안전자산(GLD/SHY/TLT)을 유지하며 변동성 충격을 흡수하는 구성이 핵심입니다.
Dashboard Screenshot
MEDIA:/tmp/sqaf_dashboard_20260623-090252.png
Full Trading Report
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-23 09:00 KST | Target Monthly Return: 20% Virtual AUM: $8,964.55 | Total Return: -10.35% | Cash: $658.67
Market Regime
- SPY 5-day return: -0.31%
- 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 +0.36 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- MSTR: ensemble +0.23 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.22 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.79 | +0.68 | +0.36 |
| GOOGL | +0.00 | +0.57 | +0.61 | +0.30 |
| META | +0.00 | +0.45 | +0.49 | +0.24 |
| MSTR | +0.00 | +0.44 | +0.47 | +0.23 |
| AMZN | +0.00 | +0.49 | +0.41 | +0.22 |
| MSFT | +0.00 | +0.59 | +0.32 | +0.21 |
| GLD | +0.00 | +0.40 | +0.43 | +0.21 |
| PLTR | +0.00 | +0.59 | +0.31 | +0.21 |
| SHY | +0.00 | +0.32 | +0.41 | +0.19 |
| AAPL | +0.00 | +0.25 | +0.46 | +0.19 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| NVDA | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| MSTR | ⚪ +0.00 |
| SOL-USD | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GOOGL | 8.24% | Equity/ETF |
| NFLX | 8.24% | Equity/ETF |
| META | 6.97% | Equity/ETF |
| MSTR | 6.72% | Equity/ETF |
| AMZN | 6.52% | Equity/ETF |
| MSFT | 6.27% | Equity/ETF |
| GLD | 6.17% | Safe |
| PLTR | 6.17% | Equity/ETF |
| SHY | 5.51% | Safe |
| AAPL | 5.48% | Equity/ETF |
| COIN | 5.25% | Equity/ETF |
| TSLA | 5.10% | Equity/ETF |
| NVDA | 4.43% | Equity/ETF |
| SPY | 4.05% | Equity/ETF |
| TLT | 3.45% | Safe |
| ARKK | 3.36% | Equity/ETF |
| AVGO | 2.70% | Equity/ETF |
| BTC-USD | 2.24% | Crypto |
| TQQQ | 1.26% | Equity/ETF |
| AMD | 1.18% | Equity/ETF |
| QQQ | 0.71% | 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 | $297.01 | $-16.61 | 6.95% |
| AMD | 0.5922 | $475.51 | $551.63 | $+45.08 | 3.64% |
| AMZN | 1.9782 | $264.27 | $232.79 | $-62.28 | 5.14% |
| ARKK | 5.2349 | $78.22 | $78.43 | $+1.10 | 4.58% |
| AVGO | 0.6966 | $385.77 | $392.13 | $+4.43 | 3.05% |
| BTC-USD | 0.0036 | $78864.28 | $63941.15 | $-54.34 | 2.60% |
| COIN | 2.3857 | $191.61 | $164.84 | $-63.86 | 4.39% |
| ETH-USD | 0.0002 | $2243.97 | $1725.49 | $-0.08 | 0.00% |
| GLD | 1.4256 | $424.58 | $384.59 | $-57.01 | 6.12% |
| GOOGL | 1.5206 | $380.34 | $349.68 | $-46.62 | 5.93% |
| META | 0.9874 | $601.05 | $563.85 | $-36.73 | 6.21% |
| MSFT | 1.4213 | $402.04 | $367.34 | $-49.32 | 5.82% |
| MSTR | 4.1924 | $164.63 | $109.46 | $-231.30 | 5.12% |
| NFLX | 7.5220 | $87.19 | $72.88 | $-107.68 | 6.12% |
| NVDA | 1.7267 | $214.25 | $208.65 | $-9.67 | 4.02% |
| PLTR | 3.4947 | $129.03 | $119.50 | $-33.30 | 4.66% |
| QQQ | 0.0007 | $735.60 | $737.95 | $+0.00 | 0.01% |
| SHY | 4.2520 | $82.17 | $81.91 | $-1.08 | 3.89% |
| SOL-USD | 0.5827 | $81.14 | $71.84 | $-5.42 | 0.47% |
| SPY | 0.5060 | $740.61 | $744.39 | $+1.91 | 4.20% |
| TLT | 2.5997 | $84.75 | $86.09 | $+3.47 | 2.50% |
| TQQQ | 0.8278 | $73.05 | $82.58 | $+7.89 | 0.76% |
| TSLA | 1.4379 | $405.38 | $405.05 | $-0.48 | 6.50% |
Risk Metrics
- Portfolio Volatility (proxy): 24.65% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -11.43%
- Max Drawdown: -13.21%
- Trade Count: 56
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.