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

Shortlist Of High Conviction Ideas: Income, Value, and Margin of Safety - November 2023

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- Santa Rally?

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI INDEX</a> last week closed down (CC=-1), down for 3 months (almost 4), quite OVERSOLD and not in sync with the general "rally" (read: rebound) in other markets.</li>
<li>LONG support for this week is between Q3 and Inner Fence levels: 16800-16300 area, but the current pattern behavior is not really encouraging LONG trades. </li>
<li>Wait-And-See approach recommended before investment in HSI stocks, but if the index dives for the next 2 weeks it may be <strong>the right time to buy for a Christmas rally</strong>...</li>
</ul>


The HSI INDEX last week closed down (CC=-1), down for 3 months (almost 4), quite OVERSOLD and not in sync with the general "rally" (read: rebound) in other markets.
LONG support for this week is between Q3 and Inner Fence levels: 16800-16300 area, but the current pattern behavior is not really encouraging LONG trades. 
Wait-And-See approach recommended before investment in HSI stocks, but if the index dives for the next 2 weeks it may be the right time to buy for a Christmas rally...


EQD | Decoding Last Week's HSI Retreat: What Lies Ahead?

Hang Seng Index

EQD | Decoding Last Week's HSI Retreat: What Lies Ahead?