SQAF 운용 아침 리포트
핵심 요약
- 현재 시장은 SPY 5일 수익률 -1.81%, Crypto Fear & Greed 12/100으로 위험심리가 약하지만, 모델상 체제는 Neutral/Ranging (Low Vol)로 분류되었습니다.
- 이번 포트폴리오는 모멘텀 50%, 평균회귀 20%, 변동성 체제 30%를 결합해 단기 과매도 반등 후보를 선별하되, 리밸런싱 기준 3.0% 이내라 신규 거래 없이 보유 유지가 선택되었습니다.
- 총수익률은 -13.28%, 현재 낙폭은 -14.32%, 일간 95% VaR은 -2.49%로 손실 방어가 계속 핵심입니다.
Dashboard Screenshot
MEDIA:/tmp/sqaf_screens/dashboard_20260625-090204.png
Full Trading Report
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-25 09:00 KST | Target Monthly Return: 20% Virtual AUM: $8,672.35 | Total Return: -13.28% | Cash: $938.28
Market Regime
- SPY 5-day return: -1.81%
- Crypto Fear & Greed: 12/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Neutral/Ranging (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?
- NFLX: ensemble +0.33 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.29 → oversold bounce, calm regime (vol filter pass)
- MSTR: ensemble +0.25 → oversold bounce, calm regime (vol filter pass)
- COIN: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- TSLA: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.66 | +0.67 | +0.33 |
| GOOGL | +0.00 | +0.55 | +0.61 | +0.29 |
| MSTR | +0.00 | +0.62 | +0.43 | +0.25 |
| COIN | +0.00 | +0.50 | +0.49 | +0.24 |
| TSLA | +0.00 | +0.57 | +0.43 | +0.24 |
| GLD | +0.00 | +0.69 | +0.31 | +0.23 |
| NVDA | +0.00 | +0.51 | +0.36 | +0.21 |
| BTC-USD | +0.00 | +0.49 | +0.37 | +0.21 |
| AAPL | +0.00 | +0.34 | +0.47 | +0.21 |
| META | +0.00 | +0.43 | +0.39 | +0.20 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| QQQ | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| SPY | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.02% | Equity/ETF |
| GOOGL | 7.24% | Equity/ETF |
| MSTR | 6.27% | Equity/ETF |
| COIN | 6.06% | Equity/ETF |
| TSLA | 5.98% | Equity/ETF |
| GLD | 5.67% | Safe |
| NVDA | 5.20% | Equity/ETF |
| BTC-USD | 5.18% | Crypto |
| AAPL | 5.12% | Equity/ETF |
| META | 5.06% | Equity/ETF |
| PLTR | 5.01% | Equity/ETF |
| MSFT | 4.47% | Equity/ETF |
| SPY | 4.42% | Equity/ETF |
| AMZN | 4.41% | Equity/ETF |
| ARKK | 3.51% | Equity/ETF |
| TQQQ | 3.24% | Equity/ETF |
| AMD | 3.12% | Equity/ETF |
| QQQ | 2.84% | Equity/ETF |
| AVGO | 2.41% | Equity/ETF |
| ETH-USD | 2.40% | Crypto |
| SOL-USD | 2.03% | Crypto |
| SOXL | 1.55% | Equity/ETF |
| SHY | 0.80% | Safe |
| TLT | 0.00% | Safe |
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 | $293.08 | $-24.85 | 7.09% |
| AMD | 0.5922 | $475.51 | $519.74 | $+26.19 | 3.55% |
| AMZN | 1.9782 | $264.27 | $234.27 | $-59.35 | 5.34% |
| ARKK | 5.2349 | $78.22 | $76.72 | $-7.85 | 4.63% |
| AVGO | 0.6966 | $385.77 | $382.07 | $-2.58 | 3.07% |
| BTC-USD | 0.0036 | $78864.28 | $60972.02 | $-65.15 | 2.56% |
| COIN | 2.3857 | $191.61 | $150.11 | $-99.00 | 4.13% |
| ETH-USD | 0.0002 | $2243.97 | $1619.70 | $-0.10 | 0.00% |
| GLD | 1.4256 | $424.58 | $365.92 | $-83.62 | 6.02% |
| GOOGL | 1.5206 | $380.34 | $345.29 | $-53.30 | 6.05% |
| META | 0.9874 | $601.05 | $557.67 | $-42.84 | 6.35% |
| MSFT | 1.4213 | $402.04 | $365.46 | $-51.99 | 5.99% |
| MSTR | 4.1924 | $164.63 | $94.13 | $-295.57 | 4.55% |
| NFLX | 7.5220 | $87.19 | $71.84 | $-115.50 | 6.23% |
| NVDA | 1.7267 | $214.25 | $199.00 | $-26.33 | 3.96% |
| PLTR | 3.4947 | $129.03 | $113.50 | $-54.27 | 4.57% |
| QQQ | 0.0007 | $735.60 | $710.62 | $-0.02 | 0.01% |
| SHY | 0.8416 | $82.17 | $82.07 | $-0.08 | 0.80% |
| SOL-USD | 0.5827 | $81.14 | $67.97 | $-7.67 | 0.46% |
| SPY | 0.5060 | $740.61 | $733.24 | $-3.73 | 4.28% |
| TLT | 2.5997 | $84.75 | $87.38 | $+6.82 | 2.62% |
| TQQQ | 0.8278 | $73.05 | $73.30 | $+0.21 | 0.70% |
| TSLA | 1.4379 | $405.38 | $375.53 | $-42.92 | 6.23% |
Risk Metrics
- Portfolio Volatility (proxy): 25.03% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -14.32%
- Max Drawdown: -14.32%
- Trade Count: 57
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.