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 | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

EQD | Hong Kong Index Options Weekly - HSI and HSCEI Nov 25-29

EQD | Hang Seng (HSI) – Analysis of Option Strategies Recently Traded on HKEX

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>In a <a href="https://www.smartkarma.com/insights/eqd-if-the-hang-seng-index-falls-further" target="_blank" rel="noopener">previous insight</a> we presented a forecast where the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a> could bounce after a 2-3 weeks pullback. The index started to rally from there.</li>
<li>Currently the index is up for 2 consecutive weeks and from the charts and models that we will present here, you can see that it has room to go <strong>higher</strong>.</li>
<li>Right now the index has not even reach the 25% (price) resistance level, and this confirms the bullish view. </li>
</ul>


In a previous insight we presented a forecast where the Hang Seng Index could bounce after a 2-3 weeks pullback. The index started to rally from there.
Currently the index is up for 2 consecutive weeks and from the charts and models that we will present here, you can see that it has room to go higher.
Right now the index has not even reach the 25% (price) resistance level, and this confirms the bullish view. 


Hang Seng Index

EQD | The Come Back Of The Hang Seng