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

ASX Short Interest Weekly (Nov 10th): CSL, BHP, Imugene, Wisetech Global, Macquarie

ASX Short Interest Weekly (Nov 3rd): Wisetech Global, BHP, Rio Tinto, Wesfarmers, Whitehaven Coal

ASX Short Interest Weekly (Oct 27th): Newcrest Mining, Rio Tinto, Liontown, Bluescope Steel

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 INDEX</a> closed up last week (CC=+1), currently uptrending, but the rally is weak, there is a chance that it could fall already this week and close down. </li>
<li>The index has reached Q2 resistance, that's the area where the index starts to be OVERBOUGHT, based on the current pattern. </li>
<li>We see a potential pullback between -1% and -2% from current levels, across 1-2 weeks, this would bring the index down to the 6990-6920 support area. </li>
</ul>


The S&amp;P/ASX 200 INDEX closed up last week (CC=+1), currently uptrending, but the rally is weak, there is a chance that it could fall already this week and close down. 
The index has reached Q2 resistance, that's the area where the index starts to be OVERBOUGHT, based on the current pattern. 
We see a potential pullback between -1% and -2% from current levels, across 1-2 weeks, this would bring the index down to the 6990-6920 support area. 


EQD | Modest ASX200 Rally Raises Questions About Direction