SQAF 운용 아침 리포트

실행 상태

최초 cron 데이터 수집은 ModuleNotFoundError: No module named 'numpy'로 실패했습니다.
동일 스크립트를 uv run --with numpy --with pandas --with requests --with yfinance --with beautifulsoup4 환경에서 재실행하여 보고서 생성 및 fund state 업데이트를 완료했습니다.
대시보드 서버는 http://localhost:8765/에서 확인했습니다. 다만 기본 python3 server.py 실행 경로도 pandas 의존성 누락이 있어, 의존성 포함 uv run 서버로 기동했습니다.
대시보드 스크린샷: MEDIA:/tmp/sqaf_dashboard_20260630-000815.png

전략 요약

오늘 SQAF는 저변동 중립/횡보장으로 판단하고, 12-1개월 모멘텀 50%, 단기 평균회귀 20%, 변동성 레짐 30%의 앙상블 신호로 목표 비중을 산출했습니다. BTC/ETH/MSTR/COIN/PLTR 쪽은 과매도 반등과 변동성 필터 통과 신호가 우세했고, 리밸런싱 드리프트가 큰 AMZN·ARKK·TSLA는 일부 매도했습니다. 현재 AUM은 $8,687.01, 총수익률 -13.13%, 현금비중 13.3%, 현재 낙폭 -14.17%입니다.

원문 트레이딩 리포트

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-30 00:07 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $8,687.01  |  **Total Return:** -13.13%  |  **Cash:** $1,151.91

## Market Regime
- SPY 5-day return: +0.55%
- 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?**
- **BTC-USD**: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- **ETH-USD**: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- **MSTR**: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- **COIN**: ensemble +0.24 → oversold bounce, calm regime (vol filter pass)
- **PLTR**: ensemble +0.21 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| BTC-USD | +0.00 | +0.55 | +0.63 | +0.30 |
| ETH-USD | +0.00 | +0.49 | +0.66 | +0.30 |
| MSTR | +0.00 | +0.56 | +0.43 | +0.24 |
| COIN | +0.00 | +0.45 | +0.49 | +0.24 |
| PLTR | +0.00 | +0.32 | +0.50 | +0.21 |
| GOOGL | +0.00 | +0.26 | +0.50 | +0.20 |
| NFLX | +0.00 | +0.23 | +0.49 | +0.19 |
| NVDA | +0.00 | +0.48 | +0.32 | +0.19 |
| MSFT | +0.00 | +0.29 | +0.38 | +0.17 |
| AAPL | +0.00 | +0.50 | +0.23 | +0.17 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| AMZN | ⚪ +0.00 |
| META | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| BTC-USD | 8.11% | Crypto |
| ETH-USD | 8.11% | Crypto |
| MSTR | 7.11% | Equity/ETF |
| COIN | 7.03% | Equity/ETF |
| PLTR | 6.30% | Equity/ETF |
| GOOGL | 5.94% | Equity/ETF |
| NFLX | 5.67% | Equity/ETF |
| NVDA | 5.64% | Equity/ETF |
| MSFT | 5.06% | Equity/ETF |
| AAPL | 5.00% | Equity/ETF |
| GLD | 4.82% | Safe |
| META | 4.47% | Equity/ETF |
| AMD | 4.41% | Equity/ETF |
| TSLA | 3.48% | Equity/ETF |
| AVGO | 3.23% | Equity/ETF |
| SPY | 2.87% | Equity/ETF |
| SOL-USD | 2.39% | Crypto |
| TQQQ | 2.21% | Equity/ETF |
| SOXL | 1.99% | Equity/ETF |
| AMZN | 1.84% | Equity/ETF |
| QQQ | 1.74% | Equity/ETF |
| ARKK | 1.41% | Equity/ETF |
| TLT | 1.19% | Safe |
| SHY | 0.00% | Safe |

## Virtual Trades Executed
| Ticker | Action | Value (USD) | Fee | Est. Shares |
|--------|--------|-------------|-----|-------------|
| AMZN | SELL | $321.99 | $0.32 | 1.3212 |
| ARKK | SELL | $293.17 | $0.29 | 3.6895 |
| TSLA | SELL | $268.34 | $0.27 | 0.6765 |

## Current Portfolio
| Ticker | Shares | Avg Cost | Current Price | P&L | Weight |
|--------|--------|----------|---------------|-----|--------|
| AAPL | 2.0969 | $304.93 | $281.62 | $-48.88 | 6.80% |
| AMD | 0.5922 | $475.51 | $513.53 | $+22.52 | 3.50% |
| AMZN | 0.6570 | $264.27 | $243.71 | $-13.51 | 1.84% |
| ARKK | 1.5454 | $78.22 | $79.46 | $+1.92 | 1.41% |
| AVGO | 0.6966 | $385.77 | $368.91 | $-11.74 | 2.96% |
| BTC-USD | 0.0081 | $69104.94 | $59056.84 | $-81.59 | 5.52% |
| COIN | 2.3857 | $191.61 | $147.25 | $-105.82 | 4.04% |
| ETH-USD | 0.4072 | $1609.57 | $1560.26 | $-20.08 | 7.31% |
| GLD | 1.4256 | $424.58 | $369.14 | $-79.03 | 6.06% |
| GOOGL | 1.5206 | $380.34 | $350.75 | $-45.00 | 6.14% |
| META | 0.9874 | $601.05 | $563.47 | $-37.11 | 6.40% |
| MSFT | 0.7209 | $402.04 | $372.14 | $-21.55 | 3.09% |
| MSTR | 4.1924 | $164.63 | $85.69 | $-330.96 | 4.14% |
| NFLX | 7.5220 | $87.19 | $75.65 | $-86.84 | 6.55% |
| NVDA | 1.7267 | $214.25 | $194.24 | $-34.55 | 3.86% |
| PLTR | 3.4947 | $129.03 | $117.42 | $-40.57 | 4.72% |
| QQQ | 0.0007 | $735.60 | $715.66 | $-0.01 | 0.01% |
| SHY | 0.8416 | $82.17 | $82.16 | $-0.00 | 0.80% |
| SOL-USD | 0.5827 | $81.14 | $72.75 | $-4.89 | 0.49% |
| SPY | 0.5060 | $740.61 | $737.23 | $-1.71 | 4.29% |
| TLT | 2.5997 | $84.75 | $87.39 | $+6.85 | 2.62% |
| TQQQ | 0.8278 | $73.05 | $74.64 | $+1.32 | 0.71% |
| TSLA | 0.7614 | $405.38 | $396.64 | $-6.65 | 3.48% |

## Risk Metrics
- Portfolio Volatility (proxy): 25.10% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -14.17%
- Max Drawdown: -16.36%
- Trade Count: 64

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*Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.*

대시보드 스크린샷

MEDIA:/tmp/sqaf_dashboard_20260630-000815.png