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 | E-Mini S&P500 (ES) DAILY Sell-OFF: Where Do You Buy?

EQD | S&P500 WEEKLY Pull Back: BUY the Dip

EQD | The S&P500 WEEKLY Rally Is At A Crucial Fork: Higher or Lower?

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-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> is WEEKLY OVERBOUGHT, it may continue higher this week or the next but a pullback is behind the corner.</li>
<li>Currently the index has reached beyond the Q3 resistance target (4897) and it's up 4 weeks in a row.</li>
<li>Cover your LONG holdings for the upcoming pullback, going SHORT is also possible but maybe won't be much profitable as we expect the index main rally to last into April.</li>
</ul>


The S&amp;P 500 INDEX is WEEKLY OVERBOUGHT, it may continue higher this week or the next but a pullback is behind the corner.
Currently the index has reached beyond the Q3 resistance target (4897) and it's up 4 weeks in a row.
Cover your LONG holdings for the upcoming pullback, going SHORT is also possible but maybe won't be much profitable as we expect the index main rally to last into April.


EQD | SPX WEEKLY Rally Is About to Stop (Temporarily), Then Continue Into April