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

Lead Shorts, Where to Cover and Re Set Longs.

EQD | Nikkei 225 (NKY) WEEKLY Falling: Support (Short-Term)

EQD | Nikkei 225 (NKY) MONTHLY Trajectories

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>
Good probability of reversal (&gt;60%) for the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>if closing this week up and/or if market price reaches =&gt; 34033 intra-week (better: =&gt; 34255).</li>
<li>
Index can go a bit higher but first will probably consolidate/digest the latest rally from April. Expect non-directionality. If WEEKLY rally lasts =&gt;3 weeks, place high-probability SHORT trade.
</li>
<li>A pullback below 33189.04 (last WEEKLY Close) seems unlikely this week. In case, buy-the-dips until the price reaches 32586 (Q2 barrier). Past that point the market could sink &lt;= 31750.</li>
</ul>



Good probability of reversal (&gt;60%) for the Nikkei 225 (NKY INDEX)if closing this week up and/or if market price reaches =&gt; 34033 intra-week (better: =&gt; 34255).

Index can go a bit higher but first will probably consolidate/digest the latest rally from April. Expect non-directionality. If WEEKLY rally lasts =&gt;3 weeks, place high-probability SHORT trade.

A pullback below 33189.04 (last WEEKLY Close) seems unlikely this week. In case, buy-the-dips until the price reaches 32586 (Q2 barrier). Past that point the market could sink &lt;= 31750.


EQD | Nikkei 225 (NKY) WEEKLY Rising but May Encounter Short-Term Resistance