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 | S&P/ASX200 Index Stuck, But Could Bounce Soon

EQD | S&P/ASX200: Ideas to Profit From a Directionless Market

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/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 INDEX</a> last week closed down (CC=-1, breached the Q2 support at 6918, entering OVERSOLD territory). </li>
<li>The index has been directionless since early August 2021, it is going down but it's OVERSOLD MONTHLY (3 months down), so it could bounce in November.</li>
<li>The current MRM pattern is quite bullish from a CC perspective: here we analyze WEEKLY supports to see how far down the index can go, it could bounce soon.</li>
</ul>


The S&amp;P/ASX 200 INDEX last week closed down (CC=-1, breached the Q2 support at 6918, entering OVERSOLD territory). 
The index has been directionless since early August 2021, it is going down but it's OVERSOLD MONTHLY (3 months down), so it could bounce in November.
The current MRM pattern is quite bullish from a CC perspective: here we analyze WEEKLY supports to see how far down the index can go, it could bounce soon.


EQD | S&P/ASX200 Directionless or Downtrending?