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 | NIFTY WEEKLY Pullback: Where to Re-Enter LONG?

EQD | NIFTY Rising But SHORT Trade Possible From Friday...

EQD | NIFTY Pullback Already OVERSOLD: Prepare for WEEKLY LONG Trade

EQD | The NIFTY Could Find WEEKLY Support Soon and Bounce

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/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> closed the last 2 weeks up (CC=+2), reversing from an oversold condition. This week the index started going up again, but it's not going anywhere...</li>
<li>The index barely crossed the Q1 resistance at 19334, but if closes this week up, the WEEKLY CC=+3 condition will be an "OVERBOUGHT" signal, a pullback could start.</li>
<li>Going SHORT is probably not worth it, we don't see a large pullback coming, it's probably better to simply hedge your positions.</li>
</ul>


The NIFTY Index closed the last 2 weeks up (CC=+2), reversing from an oversold condition. This week the index started going up again, but it's not going anywhere...
The index barely crossed the Q1 resistance at 19334, but if closes this week up, the WEEKLY CC=+3 condition will be an "OVERBOUGHT" signal, a pullback could start.
Going SHORT is probably not worth it, we don't see a large pullback coming, it's probably better to simply hedge your positions.


EQD | Is It Time for a NIFTY Index Pullback?