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 | KOSPI 200 Frail WEEKLY Rally Is Ending

EQD | KOSPI 200 Index WEEKLY OVERBOUGHT (Or Break-Out Rally?)

KOSPI 200 Rebalance Candidates in December 2023 & Changes to the KOSPI 200 Rebalance Process

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

MRM Research

Quantitative Research

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> closed down last week (CC=-1) and is currently down this week as well (CC=-2 to be confirmed on Friday), currently approaching Q3 support at 324.</li>
<li>Based on Market Reversal Matrix time/price models, if this week the KOSPI closes down at &lt;=324, the index will have a &gt;75% probability to close the next week up.</li>
<li>Going LONG is not without risk at this stage: this pattern is not bullish, the correction could reach &lt;300, based on the models, but the index <em>is</em> getting OVERSOLD.</li>
</ul>


The KOSPI 200 INDEX closed down last week (CC=-1) and is currently down this week as well (CC=-2 to be confirmed on Friday), currently approaching Q3 support at 324.
Based on Market Reversal Matrix time/price models, if this week the KOSPI closes down at &lt;=324, the index will have a &gt;75% probability to close the next week up.
Going LONG is not without risk at this stage: this pattern is not bullish, the correction could reach &lt;300, based on the models, but the index is getting OVERSOLD.


Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange KOSPI 200

EQD | KOSPI 200 Index Getting OVERSOLD