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 | Hang Seng Index (HSI) WEEKLY Deep-But-Brief Pullback

EQD | Hang Seng Index (HSI) WEEKLY LONG: Support Levels and Probability

EQD | SPX MONTHLY Proxy Supports for APAC Markets

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Taking a Breather

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">Hong Kong Hang Seng Index (HSI INDEX)</a> has been in a downtrend since January 2018. Long-term direction unclear, but the WEEKLY period is mildly OVERSOLD, it may bounce soon.</li>
<li>The case for a LONG trade is valid if the market does not fall &gt; 2 consecutive weeks from June 30th's Close (18916.43). High-probability LONG trades from 17786.</li>
<li>SHORT trade strategy possible but requires patience: if the market rises, it could rise for 2-3 weeks, based on MRM's pattern readings. Better wait and short that scenario, not earlier.</li>
</ul>


The Hong Kong Hang Seng Index (HSI INDEX) has been in a downtrend since January 2018. Long-term direction unclear, but the WEEKLY period is mildly OVERSOLD, it may bounce soon.
The case for a LONG trade is valid if the market does not fall &gt; 2 consecutive weeks from June 30th's Close (18916.43). High-probability LONG trades from 17786.
SHORT trade strategy possible but requires patience: if the market rises, it could rise for 2-3 weeks, based on MRM's pattern readings. Better wait and short that scenario, not earlier.


EQD | Hang Seng Index (HSI) WEEKLY Looking for Short-Term Direction