핵심 요약
오늘 SQAF 모델은 Bullish (Low Vol) 레짐으로 판단했지만, Crypto Fear & Greed가 11/100 Extreme Fear인 만큼 공격적 추격보다는 과매도 반등 신호와 변동성 필터를 함께 통과한 종목 중심으로 노출을 유지했습니다. BTC-USD, ETH-USD, COIN, NFLX, PLTR가 상위 앙상블 신호를 보였고, 이번 실행에서는 포트폴리오가 리밸런싱 임계값 안에 있어 추가 거래 없이 보유 유지로 마감했습니다. 현재 AUM은 $8,756.11, 총수익률은 -12.44%, 현재 낙폭은 -13.49%입니다.
Dashboard Screenshot
MEDIA:C:/Users/msi/AppData/Local/Temp/sqaf_dashboard_20260701-090130.png
Full Trading Report
# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-07-01 09:01 KST | **Target Monthly Return:** 20%
**Virtual AUM:** $8,756.11 | **Total Return:** -12.44% | **Cash:** $1,270.74
## Market Regime
- SPY 5-day return: +2.43%
- Crypto Fear & Greed: 11/100 (Extreme Fear)
## Trading Strategy Rationale
**Market Regime:** Bullish (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?**
- **BTC-USD**: ensemble +0.29 → oversold bounce, calm regime (vol filter pass)
- **ETH-USD**: ensemble +0.27 → oversold bounce, calm regime (vol filter pass)
- **COIN**: ensemble +0.25 → oversold bounce, calm regime (vol filter pass)
- **NFLX**: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- **PLTR**: ensemble +0.23 → oversold bounce, calm regime (vol filter pass)
## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| BTC-USD | +0.00 | +0.58 | +0.57 | +0.29 |
| ETH-USD | +0.00 | +0.44 | +0.62 | +0.27 |
| COIN | +0.00 | +0.50 | +0.49 | +0.25 |
| NFLX | +0.00 | +0.49 | +0.48 | +0.24 |
| PLTR | +0.00 | +0.32 | +0.54 | +0.23 |
| MSTR | +0.00 | +0.52 | +0.32 | +0.20 |
| NVDA | +0.00 | +0.24 | +0.45 | +0.18 |
| MSFT | +0.00 | +0.26 | +0.41 | +0.18 |
| META | +0.00 | +0.21 | +0.43 | +0.17 |
| GLD | +0.00 | +0.43 | +0.23 | +0.16 |
## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| SPY | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| MSTR | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| BTC-USD | 8.42% | Crypto |
| COIN | 8.42% | Equity/ETF |
| ETH-USD | 8.42% | Crypto |
| NFLX | 8.42% | Equity/ETF |
| PLTR | 8.42% | Equity/ETF |
| MSTR | 7.49% | Equity/ETF |
| NVDA | 6.83% | Equity/ETF |
| MSFT | 6.53% | Equity/ETF |
| META | 6.40% | Equity/ETF |
| GLD | 5.78% | Safe |
| GOOGL | 5.41% | Equity/ETF |
| AMZN | 4.61% | Equity/ETF |
| AAPL | 3.90% | Equity/ETF |
| AVGO | 3.39% | Equity/ETF |
| TLT | 3.32% | Safe |
| SOL-USD | 2.44% | Crypto |
| SHY | 0.93% | Safe |
| SPY | 0.64% | Equity/ETF |
| ARKK | 0.17% | Equity/ETF |
| AMD | 0.06% | Equity/ETF |
| QQQ | 0.00% | Equity/ETF |
| SOXL | 0.00% | Equity/ETF |
| TQQQ | 0.00% | Equity/ETF |
| TSLA | 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 | 1.1814 | $304.93 | $289.36 | $-18.39 | 3.90% |
| AMD | 0.0085 | $475.51 | $580.91 | $+0.90 | 0.06% |
| AMZN | 0.6570 | $264.27 | $238.34 | $-17.04 | 1.79% |
| ARKK | 1.5454 | $78.22 | $80.82 | $+4.02 | 1.43% |
| AVGO | 0.6966 | $385.77 | $377.75 | $-5.58 | 3.01% |
| BTC-USD | 0.0081 | $69104.94 | $58587.77 | $-85.40 | 5.43% |
| COIN | 4.1495 | $174.62 | $146.19 | $-117.98 | 6.93% |
| ETH-USD | 0.4072 | $1609.57 | $1571.11 | $-15.66 | 7.31% |
| GLD | 1.4256 | $424.58 | $368.38 | $-80.11 | 6.00% |
| GOOGL | 1.5206 | $380.34 | $357.37 | $-34.93 | 6.21% |
| META | 0.9874 | $601.05 | $563.29 | $-37.29 | 6.35% |
| MSFT | 1.4829 | $384.84 | $373.02 | $-17.53 | 6.32% |
| MSTR | 7.5498 | $130.08 | $86.93 | $-325.76 | 7.50% |
| NFLX | 7.5220 | $87.19 | $71.40 | $-118.81 | 6.13% |
| NVDA | 1.7267 | $214.25 | $200.09 | $-24.45 | 3.95% |
| PLTR | 5.9555 | $123.52 | $116.67 | $-40.80 | 7.94% |
| QQQ | 0.0007 | $735.60 | $736.40 | $+0.00 | 0.01% |
| SHY | 0.8416 | $82.17 | $82.11 | $-0.05 | 0.79% |
| SOL-USD | 0.5827 | $81.14 | $73.53 | $-4.43 | 0.49% |
| SPY | 0.0746 | $740.61 | $746.77 | $+0.46 | 0.64% |
| TLT | 2.5997 | $84.75 | $86.42 | $+4.33 | 2.57% |
| TQQQ | 0.8278 | $73.05 | $81.00 | $+6.58 | 0.77% |
| TSLA | 0.0008 | $405.38 | $420.60 | $+0.01 | 0.00% |
## Risk Metrics
- Portfolio Volatility (proxy): 25.62% annualized
- 95% VaR (daily): -2.50%
- Current Drawdown: -13.49%
- Max Drawdown: -16.36%
- Trade Count: 72
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*Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.*