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 HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

EQD | The HSI Rebound Can Reach Higher Prices in August

EQD | Hang Seng Down: How Low Can the Pullback Go?

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

EQD | Hang Seng Down: Upcoming Bounce May Not Mean Rally Continuation

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> correction has restarted this week, after a brief 1-week bounce. </li>
<li>The index may continue to downtrend for another 1-2 weeks, then a reversal should come and the uptrend should restart.</li>
<li>Look at the price support area in the 17500-17000 range, because that is where my model indicates the highest chance of LONG reversal.</li>
</ul>


The Hang Seng Index correction has restarted this week, after a brief 1-week bounce. 
The index may continue to downtrend for another 1-2 weeks, then a reversal should come and the uptrend should restart.
Look at the price support area in the 17500-17000 range, because that is where my model indicates the highest chance of LONG reversal.


EQD | Is the HSI Correction Going to Continue? (Yes, For 1-2 Weeks)