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 | HSI Short-Sellers Prepare for a Rally in February

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

EQD | Tears and Despair for the Hang Seng Index May Not Be Over (Yet)

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 as anticipated in a previous insight, but it could stop this week and pullback a bit.  </li>
<li>3 possible trades available: go SHORT and hold to profit from a re-start of the downtrend, go SHORT and close after 1 week, wait the pullback and go LONG.</li>
<li>It's unclear at the moment if the index will go lower or rebound after the upcoming pullback.</li>
</ul>


The Hang Seng Index is rallying as anticipated in a previous insight, but it could stop this week and pullback a bit.  
3 possible trades available: go SHORT and hold to profit from a re-start of the downtrend, go SHORT and close after 1 week, wait the pullback and go LONG.
It's unclear at the moment if the index will go lower or rebound after the upcoming pullback.


EQD | HSI Rally: Possible Brief Stop This Week