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

EQD | The Hang Seng Index May Go Higher 2

EQD | HSI WEEKLY Resistance Levels UPDATED

Gravity Works As WeWork Doesn't; Now Plan B

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> closed last week down at 17172.13 (CC=-1), on Wednesday was trading below the Q3 WEEKLY support, very OVERSOLD from a price perspective.</li>
<li>When this pattern is encountered, usually the index bounces no later than CC=-3, i.e. after this week or the week after the end of next week.</li>
<li>The next support area to go LONG is 16534 and the index got quite close to it intraday, at the start of this week: the low was 16879. </li>
</ul>


The Hang Seng Index closed last week down at 17172.13 (CC=-1), on Wednesday was trading below the Q3 WEEKLY support, very OVERSOLD from a price perspective.
When this pattern is encountered, usually the index bounces no later than CC=-3, i.e. after this week or the week after the end of next week.
The next support area to go LONG is 16534 and the index got quite close to it intraday, at the start of this week: the low was 16879. 


EQD | Hang Seng Index WEEKLY Heavily Oversold: It Can Bounce in 2 Weeks