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 | HSI Short-Sellers Prepare for a Rally in February

EQD | HSI Rally: Possible Brief Stop This Week

EQD | The Hang Seng Index's Turning Point

EQD | The LONG Case for the Hang Seng Index

2024 High Conviction Idea: The Case for a Rotation Out of Japan into Hong Kong - Part 2

2024 High Conviction Idea: The Case for a Rotation Out of Japan into Hong Kong - Part 1

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI INDEX</a> index closed December (barely) up, no rally, nullifying completely the MONTHLY time bar count pattern suggesting a LONG MONTHLY trade (the 1-bar reversal has already happened).</li>
<li>The index is approaching the Q3 support at 16449. A WEEKLY bounce is possible from that level, but we don't know if the bounce can last more than 1 week. </li>
<li>If the index keeps going down this week, it could find support between 16500 and 16000. A longer correction could end in the 15800-15600 price area. Use tight stops.</li>
</ul>


The HSI INDEX index closed December (barely) up, no rally, nullifying completely the MONTHLY time bar count pattern suggesting a LONG MONTHLY trade (the 1-bar reversal has already happened).
The index is approaching the Q3 support at 16449. A WEEKLY bounce is possible from that level, but we don't know if the bounce can last more than 1 week. 
If the index keeps going down this week, it could find support between 16500 and 16000. A longer correction could end in the 15800-15600 price area. Use tight stops.


EQD | Tears and Despair for the Hang Seng Index May Not Be Over (Yet)