SQAF 운용 아침 리포트
핵심 요약
현재 시장 체제는 SPY 5일 수익률 -2.08%와 Crypto Fear & Greed 15/100을 반영한 Bearish / High Vol 구간입니다. 전략은 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%를 결합하되, 오늘은 리밸런싱 임계값 3.0% 안쪽이라 신규 가상 거래 없이 포지션을 유지했습니다. 손실 구간이지만 현금 3.2%와 종목/크립토 캡을 유지하며 과잉 매매를 피한 상태입니다.
Dashboard Screenshot
MEDIA:/tmp/sqaf_dashboard_20260627-0901.png
Full Trading Report
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-27 09:01 KST | Target Monthly Return: 20% Virtual AUM: $8,579.92 | Total Return: -14.20% | Cash: $271.67
Market Regime
- SPY 5-day return: -2.08%
- Crypto Fear & Greed: 15/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Bearish (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?
- GOOGL: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- BTC-USD: ensemble +0.26 → oversold bounce, calm regime (vol filter pass)
- MSTR: ensemble +0.25 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.23 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| GOOGL | +0.00 | +0.67 | +0.58 | +0.31 |
| BTC-USD | +0.00 | +0.60 | +0.47 | +0.26 |
| MSTR | +0.00 | +0.65 | +0.41 | +0.25 |
| NFLX | +0.00 | +0.39 | +0.53 | +0.24 |
| ETH-USD | +0.00 | +0.59 | +0.39 | +0.23 |
| NVDA | +0.00 | +0.61 | +0.32 | +0.22 |
| COIN | +0.00 | +0.40 | +0.46 | +0.22 |
| TSLA | +0.00 | +0.42 | +0.41 | +0.21 |
| META | +0.00 | +0.44 | +0.37 | +0.20 |
| PLTR | +0.00 | +0.45 | +0.33 | +0.19 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| ARKK | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| GLD | ⚪ +0.00 |
| SOL-USD | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GOOGL | 8.01% | Equity/ETF |
| BTC-USD | 6.85% | Crypto |
| MSTR | 6.65% | Equity/ETF |
| NFLX | 6.20% | Equity/ETF |
| ETH-USD | 6.14% | Crypto |
| NVDA | 5.72% | Equity/ETF |
| COIN | 5.70% | Equity/ETF |
| TSLA | 5.41% | Equity/ETF |
| META | 5.22% | Equity/ETF |
| PLTR | 4.98% | Equity/ETF |
| AMZN | 4.50% | Equity/ETF |
| SPY | 4.35% | Equity/ETF |
| AAPL | 4.34% | Equity/ETF |
| GLD | 3.93% | Safe |
| AMD | 3.40% | Equity/ETF |
| MSFT | 3.26% | Equity/ETF |
| TQQQ | 3.10% | Equity/ETF |
| AVGO | 2.88% | Equity/ETF |
| QQQ | 2.77% | Equity/ETF |
| ARKK | 2.45% | Equity/ETF |
| SOXL | 1.96% | Equity/ETF |
| SOL-USD | 1.45% | Crypto |
| TLT | 0.73% | Safe |
| SHY | 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 | $283.78 | $-44.35 | 6.94% |
| AMD | 0.5922 | $475.51 | $521.58 | $+27.28 | 3.60% |
| AMZN | 1.9782 | $264.27 | $232.69 | $-62.47 | 5.36% |
| ARKK | 5.2349 | $78.22 | $78.13 | $-0.47 | 4.77% |
| AVGO | 0.6966 | $385.77 | $365.02 | $-14.45 | 2.96% |
| BTC-USD | 0.0081 | $69104.94 | $60028.66 | $-73.70 | 5.68% |
| COIN | 2.3857 | $191.61 | $149.06 | $-101.50 | 4.14% |
| ETH-USD | 0.2398 | $1636.07 | $1577.11 | $-14.14 | 4.41% |
| GLD | 1.4256 | $424.58 | $373.63 | $-72.63 | 6.21% |
| GOOGL | 1.5206 | $380.34 | $337.39 | $-65.31 | 5.98% |
| META | 0.9874 | $601.05 | $550.25 | $-50.16 | 6.33% |
| MSFT | 1.4213 | $402.04 | $372.97 | $-41.31 | 6.18% |
| MSTR | 4.1924 | $164.63 | $82.31 | $-345.13 | 4.02% |
| NFLX | 7.5220 | $87.19 | $73.81 | $-100.68 | 6.47% |
| NVDA | 1.7267 | $214.25 | $192.53 | $-37.50 | 3.87% |
| PLTR | 3.4947 | $129.03 | $112.93 | $-56.26 | 4.60% |
| QQQ | 0.0007 | $735.60 | $706.52 | $-0.02 | 0.01% |
| SHY | 0.8416 | $82.17 | $82.19 | $+0.02 | 0.81% |
| SOL-USD | 0.5827 | $81.14 | $71.83 | $-5.42 | 0.49% |
| SPY | 0.5060 | $740.61 | $728.99 | $-5.88 | 4.30% |
| TLT | 2.5997 | $84.75 | $87.36 | $+6.77 | 2.65% |
| TQQQ | 0.8278 | $73.05 | $71.83 | $-1.01 | 0.69% |
| TSLA | 1.4379 | $405.38 | $379.71 | $-36.91 | 6.36% |
Risk Metrics
- Portfolio Volatility (proxy): 25.08% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -15.23%
- Max Drawdown: -16.36%
- Trade Count: 59
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.