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 KOSPI 200 Is Ready to Pullback (Again)

EQD | KOSPI 200 WEEKLY Buy-The-Dip Opportunity

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> has closed down for 3 consecutive weeks (CC=-3), it is WEEKLY oversold.</li>
<li>If the index rallies this week, it could reach &gt;362 (Q2 resistance) and that could be enough to end the bounce.</li>
<li>Our hypothesis is that the index will pull back again, after the bounce, next week (if this week ends with a positive WEEKLY close).</li>
</ul>


The KOSPI 200 INDEX has closed down for 3 consecutive weeks (CC=-3), it is WEEKLY oversold.
If the index rallies this week, it could reach &gt;362 (Q2 resistance) and that could be enough to end the bounce.
Our hypothesis is that the index will pull back again, after the bounce, next week (if this week ends with a positive WEEKLY close).


EQD | KOSPI 200 WEEKLY Bounce: Rally or Not?