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 / NSE Volatility Update / 25-Mar-24 to 29-Mar-24

EQD / NSE Volatility Update / 01-Apr-24 to 05-Apr-24

EQD / NSE Volatility Update / 08-Apr-24 to 12-Apr-24

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

EQD / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

EQD / NSE Volatility Update / 04-Mar-24 to 08-Mar-24

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> has been rallying for months, but in the last few weeks there has been a considerable slow down in its rising pace.</li>
<li>Currently the index is at a point where it could pull back this coming week, based on our MRM patterns reading. </li>
<li>A possible alternative scenario would be a continuation of the rally for a total of 4-5 weeks up in a row.</li>
</ul>


The NIFTY Index has been rallying for months, but in the last few weeks there has been a considerable slow down in its rising pace.
Currently the index is at a point where it could pull back this coming week, based on our MRM patterns reading. 
A possible alternative scenario would be a continuation of the rally for a total of 4-5 weeks up in a row.


NIFTY Index

EQD | Is the NIFTY's Rally Halting?