Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>A market-timing device that classifies historical trend patterns/reversals in "buckets", to generate a "matrix" showing the market's average trend reversal "behavior" at the end of each trend "type". </li>
<li>A purely statistical approach: using Bayesian Models to determine the probability of DAILY or WEEKLY trend reversal at precise LONG/SHORT support prices at fixed points in time.</li>
<li>The analogy with the game of Blackjack: knowing the probability of a trend reversal can be 30% or 90% (not always =50%) can be a significant edge for the investor.</li>
</ul>


A market-timing device that classifies historical trend patterns/reversals in "buckets", to generate a "matrix" showing the market's average trend reversal "behavior" at the end of each trend "type". 
A purely statistical approach: using Bayesian Models to determine the probability of DAILY or WEEKLY trend reversal at precise LONG/SHORT support prices at fixed points in time.
The analogy with the game of Blackjack: knowing the probability of a trend reversal can be 30% or 90% (not always =50%) can be a significant edge for the investor.


EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

Cross-Asset Liquidity Strategist, CrossBorder Capital

Michael J. Howell

Cross-Asset Liquidity Strategist

Implementing Research Using Alt Data & AI

CrossBorder Capital

CrossBorder Capital is a London-based independent investment advisory firm. Founded in 1996, it exploits a gap in the investment arena by focusing on Central bank liquidity. 

It specialises in the monitoring and analysis of global liquidity flows - an important determinant of asset prices, from currencies through to bonds, equities and real estate.

CrossBorder Capital implements its investment strategy and currently manages over US$ 350m.


Cross Asset Strategy

<ul>
<li>Daily Liquidity has tanked lower, causing bond term premia to worryingly collapse to near all-time lows</li>
<li>S&amp;P500 (SPX) likely to test 3200 because of skidding Liquidity, but may even drop below 3000 as earnings get crushed.</li>
<li>Lower term premia are already set-in-stone and have  always led to much weaker reported corporate earnings some 15 months later. US S&amp;P500 earnings could skid by over 20% in 2023  </li>
</ul>


Daily Liquidity has tanked lower, causing bond term premia to worryingly collapse to near all-time lows
S&amp;P500 (SPX) likely to test 3200 because of skidding Liquidity, but may even drop below 3000 as earnings get crushed.
Lower term premia are already set-in-stone and have  always led to much weaker reported corporate earnings some 15 months later. US S&amp;P500 earnings could skid by over 20% in 2023  


Icarus Is Falling! The Markets Are Breaking: More Volatility Is Coming

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>Over the past two weeks we've discussed the possibility that further downside was limited (4/23/24 Compass) and mounting evidence that suggests the pullback lows may be in (4/30/24 Compass).</li>
<li>Major risk-on developments for the broad equity market have continued to roll in over the past week, which we discuss below.</li>
<li>We continue to believe the lows are in, and we see the pullback to the 100-day MA on the S&amp;P 500 as healthy/normal within the ongoing bull market.</li>
</ul>


Over the past two weeks we've discussed the possibility that further downside was limited (4/23/24 Compass) and mounting evidence that suggests the pullback lows may be in (4/30/24 Compass).
Major risk-on developments for the broad equity market have continued to roll in over the past week, which we discuss below.
We continue to believe the lows are in, and we see the pullback to the 100-day MA on the S&amp;P 500 as healthy/normal within the ongoing bull market.


Major Risk-On Developments; Bullish Outlook Intact; Downgrading Health Care $XLV to Underweight

<ul>
<li>While we are not yet out of the woods, we continue to see evidence that suggests the lows may be "in" for this pullback.</li>
<li>Last week (4/23/24 Compass) we discussed the possibility that further downside was limited on the S&amp;P 500 due to a multitude of reasons</li>
<li>We view the latest pullback to 100-day MA on SPX as healthy/normal within the ongoing bull market. Pullbacks to the 100-day provided ideal entry points throughout the 2021 bull market</li>
</ul>


While we are not yet out of the woods, we continue to see evidence that suggests the lows may be "in" for this pullback.
Last week (4/23/24 Compass) we discussed the possibility that further downside was limited on the S&amp;P 500 due to a multitude of reasons
We view the latest pullback to 100-day MA on SPX as healthy/normal within the ongoing bull market. Pullbacks to the 100-day provided ideal entry points throughout the 2021 bull market


Are the Lows "In" For This Pullback?; Market Dynamics Remain Bullish; Key Supports Holding

<ul>
<li>The S&amp;P500 has been falling for 3 weeks and 6 days, it is very oversold.</li>
<li>The current Market Reversal Matrix pattern suggests a high probability LONG trade for this coming week and the next.</li>
<li>The support price area where to enter LONG is the 4950-4900 but also higher prices between 5000 and 4950 could be a good entry point, although a bit riskier.</li>
</ul>


The S&amp;P500 has been falling for 3 weeks and 6 days, it is very oversold.
The current Market Reversal Matrix pattern suggests a high probability LONG trade for this coming week and the next.
The support price area where to enter LONG is the 4950-4900 but also higher prices between 5000 and 4950 could be a good entry point, although a bit riskier.


EQD | S&P500 Futures (ES) Deeply Oversold WEEKLY, Reversal (Probably) Imminent

United States

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

S&P 500 INDEX (SPX INDEX)

EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

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Icarus Is Falling! The Markets Are Breaking: More Volatility Is Coming

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Major Risk-On Developments; Bullish Outlook Intact; Downgrading Health Care $XLV to Underweight

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Are the Lows "In" For This Pullback?; Market Dynamics Remain Bullish; Key Supports Holding

Are the Lows "In" for this Pullback?; Market Dynamics Remain Bullish (RS for defensives $XLP, $XLU, $XLV below October 2023 lows among many other...

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EQD | S&P500 Futures (ES) Deeply Oversold WEEKLY, Reversal (Probably) Imminent

Our models say that after a 3-week decline, S&P500 Futures are very oversold. Potential LONG trade opportunity in the 4950-4900 area. Caution...

Nico Rosti