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 | SPX WEEKLY Rally Is About to Stop (Temporarily), Then Continue Into April

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>E-Mini <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500</a> Futures closed down at 4971.29 on Tuesday. Big recovery rally at the end of the day, but the sell-off could continue into the end of the week.</li>
<li>Both the DAILY and WEEKLY time period are already <strong>OVERSOLD</strong> according to our models, however we see no reason to rush to buy.</li>
<li>This insight is a roadmap for the next 2-3 days, to find support levels to go LONG, to profit on the next, DAILY, LONG reversal.</li>
</ul>


E-Mini S&amp;P 500 Futures closed down at 4971.29 on Tuesday. Big recovery rally at the end of the day, but the sell-off could continue into the end of the week.
Both the DAILY and WEEKLY time period are already OVERSOLD according to our models, however we see no reason to rush to buy.
This insight is a roadmap for the next 2-3 days, to find support levels to go LONG, to profit on the next, DAILY, LONG reversal.


EQD | E-Mini S&P500 (ES) DAILY Sell-OFF: Where Do You Buy?

S&P 500 INDEX

EQD | E-Mini S&P500 (ES) DAILY Sell-OFF: Where Do You Buy?