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 | The Hang Seng Index's Turning Point

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

EQD | HSI Short-Sellers Prepare for a Rally in February

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> is rallying and could co higher this week but it seems there isn't much room to go really higher.</li>
<li>A good target to cover your LONG holdings would be 17500, for this coming week and/or the following week.</li>
<li>A pullback this coming week is also possible, so it's not sure the index can rally more from here, or at least not without some correction first.</li>
</ul>


The Hang Seng Index is rallying and could co higher this week but it seems there isn't much room to go really higher.
A good target to cover your LONG holdings would be 17500, for this coming week and/or the following week.
A pullback this coming week is also possible, so it's not sure the index can rally more from here, or at least not without some correction first.


EQD | Hang Seng (HSI): How Far Can It Rally Now?