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 | Is the HSI Correction Going to Continue? (Yes, For 1-2 Weeks)

EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

EQD | Hang Seng Down: Upcoming Bounce May Not Mean Rally Continuation

2024 High Conviction Idea: The Case for a Rotation Out of Japan into Hong Kong - Part 2

EQD | HSI Closed the Week Modestly Up: A Pullback Is Possible Next Week

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">Hang Seng Index</a> has been rallying for 3 weeks but then last week the rise was halted and the index gave up a good chunk of the gains.</li>
<li>It seems the index has become quite volatile but this week it could go up again, or otherwise next week, <strong>the reversal is imminent given its oversold condition.</strong>
</li>
<li>It's hard to predict if the rally can continue after the bounce, the index seems a bit long-term overbought, albeit short-term oversold. A contradiction, but that is the situation now.</li>
</ul>


The Hang Seng Index has been rallying for 3 weeks but then last week the rise was halted and the index gave up a good chunk of the gains.
It seems the index has become quite volatile but this week it could go up again, or otherwise next week, the reversal is imminent given its oversold condition.

It's hard to predict if the rally can continue after the bounce, the index seems a bit long-term overbought, albeit short-term oversold. A contradiction, but that is the situation now.


EQD | Hang Seng Down: How Low Can the Pullback Go?