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 | SP/ASX200 Index: Will It Break Out of Its Range?

EQD | S&P/ASX200 Index Looking Bearish: Resistance Levels Reset

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

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

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>  has been stuck in the 7000-7400 range for 16 weeks until last week when it briefly pierced the upper range (but closed the week at 7403).</li>
<li>This WEEKLY trend pattern can lead to a multi-week rally when it rises for =&gt; + 3 weeks in a row (it's a pattern that can include <em>momentum</em> trades).</li>
<li>The index is at a make-it-or-break-it junction: either it starts to trend higher towards the previous peak (7567, January 2023), or it will pullback into the 7000-7400 range.</li>
</ul>


The S&amp;P/ASX 200 INDEX  has been stuck in the 7000-7400 range for 16 weeks until last week when it briefly pierced the upper range (but closed the week at 7403).
This WEEKLY trend pattern can lead to a multi-week rally when it rises for =&gt; + 3 weeks in a row (it's a pattern that can include momentum trades).
The index is at a make-it-or-break-it junction: either it starts to trend higher towards the previous peak (7567, January 2023), or it will pullback into the 7000-7400 range.


EQD | S&P/​ASX200 WEEKLY Make-It-Or-Break-It

S&P/ASX 200

EQD | S&P/ASX200 WEEKLY Make-It-Or-Break-It

S&P/ASX 200

EQD | S&P/​ASX200 WEEKLY Make-It-Or-Break-It

EQD | S&P/ASX200 WEEKLY Make-It-Or-Break-It