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 Readying for LONG Reversal

KRX Introduces Market Orders for Single Stock Futures: Potential Trading Impacts

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> last week displayed and impressive bounce, maybe too impressive, too quick, too fast. </li>
<li>A short-selling ban is in place until June 2024 for this market, but that does not mean it cannot pull back: according to our models the KOSPI 200 INDEX is OVERBOUGHT.</li>
<li>We expect a pullback next week, unless the index closes this week down, in that case SHORT resistance levels will be reset.</li>
</ul>


The KOSPI 200 INDEX last week displayed and impressive bounce, maybe too impressive, too quick, too fast. 
A short-selling ban is in place until June 2024 for this market, but that does not mean it cannot pull back: according to our models the KOSPI 200 INDEX is OVERBOUGHT.
We expect a pullback next week, unless the index closes this week down, in that case SHORT resistance levels will be reset.


EQD | KOSPI 200 Rally: WEEKLY Resistance Levels