Son Quant Alpha Fund (SQAF) — Daily Briefing
Dashboard Screenshot:
MEDIA:/tmp/sqaf_screens/dashboard_20260626-090306.png
Sonia 요약
오늘 SQAF는 고변동 중립/박스권 레짐으로 판단해 추세 모멘텀 50%, 단기 과매도 반등 20%, 변동성 필터 30%를 결합했습니다. 리밸런싱 임계값 3% 이내라 신규 가상 매매는 없었고, Crypto Fear & Greed 13의 극단적 공포와 -16.24% 최대낙폭 때문에 공격적 추격보다 드리프트 관리가 핵심입니다.
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-26 09:01 KST | Target Monthly Return: 20% Virtual AUM: $8,478.12 | Total Return: -15.22% | Cash: $271.67
Market Regime
- SPY 5-day return: -1.67%
- Crypto Fear & Greed: 13/100 (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 +0.33 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.29 → oversold bounce, calm regime (vol filter pass)
- BTC-USD: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- COIN: ensemble +0.27 → oversold bounce, calm regime (vol filter pass)
- AAPL: ensemble +0.26 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.64 | +0.68 | +0.33 |
| GOOGL | +0.00 | +0.55 | +0.61 | +0.29 |
| BTC-USD | +0.00 | +0.70 | +0.48 | +0.28 |
| COIN | +0.00 | +0.63 | +0.48 | +0.27 |
| AAPL | +0.00 | +0.83 | +0.32 | +0.26 |
| MSTR | +0.00 | +0.69 | +0.41 | +0.26 |
| META | +0.00 | +0.56 | +0.45 | +0.25 |
| ETH-USD | +0.00 | +0.64 | +0.40 | +0.25 |
| TSLA | +0.00 | +0.53 | +0.44 | +0.24 |
| AMZN | +0.00 | +0.52 | +0.40 | +0.22 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| SPY | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| TQQQ | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 7.65% | Equity/ETF |
| GOOGL | 6.76% | Equity/ETF |
| BTC-USD | 6.51% | Crypto |
| COIN | 6.24% | Equity/ETF |
| AAPL | 6.03% | Equity/ETF |
| MSTR | 6.03% | Equity/ETF |
| META | 5.71% | Equity/ETF |
| ETH-USD | 5.68% | Crypto |
| TSLA | 5.46% | Equity/ETF |
| AMZN | 5.18% | Equity/ETF |
| NVDA | 5.14% | Equity/ETF |
| PLTR | 4.83% | Equity/ETF |
| GLD | 4.52% | Safe |
| MSFT | 4.43% | Equity/ETF |
| SPY | 3.78% | Equity/ETF |
| ARKK | 3.32% | Equity/ETF |
| SOL-USD | 3.28% | Crypto |
| TQQQ | 2.34% | Equity/ETF |
| AVGO | 2.24% | Equity/ETF |
| AMD | 2.23% | Equity/ETF |
| QQQ | 1.92% | Equity/ETF |
| SHY | 0.39% | Safe |
| SOXL | 0.21% | Equity/ETF |
| TLT | 0.12% | 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 | $275.15 | $-62.44 | 6.81% |
| AMD | 0.5922 | $475.51 | $532.57 | $+33.79 | 3.72% |
| AMZN | 1.9782 | $264.27 | $227.01 | $-73.71 | 5.30% |
| ARKK | 5.2349 | $78.22 | $76.54 | $-8.79 | 4.73% |
| AVGO | 0.6966 | $385.77 | $378.91 | $-4.78 | 3.11% |
| BTC-USD | 0.0081 | $69104.94 | $59702.41 | $-76.35 | 5.72% |
| COIN | 2.3857 | $191.61 | $142.52 | $-117.10 | 4.01% |
| ETH-USD | 0.2398 | $1636.07 | $1566.66 | $-16.65 | 4.43% |
| GLD | 1.4256 | $424.58 | $369.46 | $-78.57 | 6.21% |
| GOOGL | 1.5206 | $380.34 | $343.71 | $-55.70 | 6.16% |
| META | 0.9874 | $601.05 | $542.87 | $-57.45 | 6.32% |
| MSFT | 1.4213 | $402.04 | $352.83 | $-69.94 | 5.92% |
| MSTR | 4.1924 | $164.63 | $85.33 | $-332.47 | 4.22% |
| NFLX | 7.5220 | $87.19 | $70.90 | $-122.57 | 6.29% |
| NVDA | 1.7267 | $214.25 | $195.74 | $-31.96 | 3.99% |
| PLTR | 3.4947 | $129.03 | $107.27 | $-76.04 | 4.42% |
| QQQ | 0.0007 | $735.60 | $716.38 | $-0.01 | 0.01% |
| SHY | 0.8416 | $82.17 | $82.09 | $-0.06 | 0.81% |
| SOL-USD | 0.5827 | $81.14 | $67.67 | $-7.85 | 0.47% |
| SPY | 0.5060 | $740.61 | $734.30 | $-3.19 | 4.38% |
| TLT | 2.5997 | $84.75 | $87.35 | $+6.75 | 2.68% |
| TQQQ | 0.8278 | $73.05 | $74.95 | $+1.57 | 0.73% |
| TSLA | 1.4379 | $405.38 | $375.12 | $-43.51 | 6.36% |
Risk Metrics
- Portfolio Volatility (proxy): 25.06% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -16.24%
- Max Drawdown: -16.24%
- Trade Count: 59
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.