Quantitative Researcher, MRM Research

Nico Rosti

I have been working for +17 years as a quantitative researcher, offering my investment research insights to investors through two private companies I have founded (Retracement Levels Ltd. and QUANTRADING AG); more recently I worked as a Portfolio Manager at Capital Theory Investment Management, LLC, a CTA based in Austin, Texas (USA), where I developed and ran automated algorithmic trading strategies for the US Futures and Options markets. 

My research work is focused on the statistical study of the "persistence of trends" and "mean reversion" effects in global Equities, Futures, Indexes, Bonds and FX Spot markets. I have created an original proprietary process (called the "Market Reversal Matrix" or "MRM") that makes extensive use of probabilistic Bayesian models to predict short-term (1 day to few weeks) trend reversals.

I do not use any AI/machine learning processes in my work: all models and algorithms are built and supervised by humans. This approach is very labour-intensive but produces forecasts that have a clearly understandable/explainable rationale (no black-boxes).

Quantitative Researcher

EQD | Nifty 50 – Option Strategy for Bulls and Bears

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

EQD / NSE Vol Update / Risk Premia Marked Down as Tier1 Event Risks Drop off the Calendar

EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>After a 4-weeks slump, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY INDEX</a> may be reaching the point where it reverses and rally. The LONG model for this pattern was presented in a <a href="https://www.smartkarma.com/insights/eqd-is-the-nifty-a-buy-here" target="_blank" rel="noopener">previous insight</a>. </li>
<li>If the index goes higher from here, where will it encounter resistance? Can it rally far? or will it just bounce and fall again?</li>
<li>The goal of this insight is to show if the potential upcoming rally has legs.</li>
</ul>


After a 4-weeks slump, the NIFTY INDEX may be reaching the point where it reverses and rally. The LONG model for this pattern was presented in a previous insight. 
If the index goes higher from here, where will it encounter resistance? Can it rally far? or will it just bounce and fall again?
The goal of this insight is to show if the potential upcoming rally has legs.


Adani Ports & Special Economic Zone (ADSEZ IN)

EQD | A NIFTY WEEKLY Rally From Here: How Far Can It Go?

NIFTY Index

EQD | A NIFTY WEEKLY Rally From Here: How Far Can It Go?