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 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

U.S., Europe, and Japan Still Holding Below Resistance; Favor Defensives

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> continues to move chaotically in highly unpredictable and fragmented fashion. At the moment it's been falling for 2 weeks (CC=-2 to be confirmed on Friday).</li>
<li>Since the index is in a phase where it keeps going up and down with no trend, we see an opportunity to accumulate short-term LONG positions on the current pullback.</li>
<li>A small bounce from current levels, rising towards the 41k target, could generate some good returns in a short span of time. This would be a reversal trade.</li>
</ul>


The Nikkei 225 INDEX continues to move chaotically in highly unpredictable and fragmented fashion. At the moment it's been falling for 2 weeks (CC=-2 to be confirmed on Friday).
Since the index is in a phase where it keeps going up and down with no trend, we see an opportunity to accumulate short-term LONG positions on the current pullback.
A small bounce from current levels, rising towards the 41k target, could generate some good returns in a short span of time. This would be a reversal trade.


EQD | Short-Term BUY Opportunity For The Nikkei 225