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 | Nikkei 225 MONTHLY Rally May Be Finally Coming

EQD | If the Nikkei Begins to Rally, Where Will It Encounter Resistance?

EQD | Nikkei 225 (NKY)'s November Rally: How Far Can It GO?

EQD | Nikkei 225 (NKY) Enters WEEKLY OVERBOUGHT Resistance Area

EQD | Nikkei 225 (NKY) MONTHLY Trajectories

EQD | Nikkei 225 (NKY) MONTHLY Trajectories Analysis

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

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 INDEX</a> closed September down at 31857.62, CC=-3 (3 months down). Did not double-bottom at August's lows (31674), but is starting to be OVERSOLD MONTHLY (<em>time</em> perspective).</li>
<li>A new Market Reversal Matrix Seasonality model is hinting that October 2023 probably will not see a rally/reversal, but just below-average gains (if any).</li>
<li>One possible scenario (due to concomitant WEEKLY OVERSOLD conditions) is to see the Nikkei up early in October, then down again, closing the month with small gains or a loss.</li>
</ul>


The Nikkei 225 INDEX closed September down at 31857.62, CC=-3 (3 months down). Did not double-bottom at August's lows (31674), but is starting to be OVERSOLD MONTHLY (time perspective).
A new Market Reversal Matrix Seasonality model is hinting that October 2023 probably will not see a rally/reversal, but just below-average gains (if any).
One possible scenario (due to concomitant WEEKLY OVERSOLD conditions) is to see the Nikkei up early in October, then down again, closing the month with small gains or a loss.


EQD | Nikkei 225 (NKY) Forecast for October: Not So Good...