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

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</a>'s trend is uncertain at the moment: the new <a href="https://qantrading.com/quantcharts/AsiaPacific/N225_WEEKLY/N225_WEEKLY.html" target="_blank" rel="noopener">N225 WEEKLY QUANTCHART</a> presented here (freely accessible 24/7 clicking <a href="https://qantrading.com/quantcharts/AsiaPacific/N225_WEEKLY/N225_WEEKLY.html" target="_blank" rel="noopener">here</a>) shows us the current MRM models' support and resistance.</li>
<li>In the last few months the index stalled, currently it is stuck in a range roughly between 37650 and 40250, and it has closed down for 2 consecutive weeks (CC=-2).</li>
<li>At the moment we expect the index to fall maybe another week (closing this week down) and then a LONG reversal the following week.</li>
</ul>


The Nikkei 225's trend is uncertain at the moment: the new N225 WEEKLY QUANTCHART presented here (freely accessible 24/7 clicking here) shows us the current MRM models' support and resistance.
In the last few months the index stalled, currently it is stuck in a range roughly between 37650 and 40250, and it has closed down for 2 consecutive weeks (CC=-2).
At the moment we expect the index to fall maybe another week (closing this week down) and then a LONG reversal the following week.


EQD | Nikkei 225 : State Of The Odds (WEEKLY)