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 | KOSPI 200 OVERSOLD, It Could Bounce This Week

MRM Research

Quantitative Research

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>The last 2 weeks have been painful for investors that were LONG the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a>, and this week is not very promising either.</li>
<li>The index has advanced less than 3% since its last WEEKLY negative Close on September 6th.</li>
<li>The index is in its 3rd consecutive week up (to be confirmed this Friday at the Close) but the current pattern usually ends on the third week up and reverses.</li>
</ul>


The last 2 weeks have been painful for investors that were LONG the KOSPI 200 INDEX, and this week is not very promising either.
The index has advanced less than 3% since its last WEEKLY negative Close on September 6th.
The index is in its 3rd consecutive week up (to be confirmed this Friday at the Close) but the current pattern usually ends on the third week up and reverses.


EQD | A Very Weak KOSPI 200 Is Ready to Pull Back Again