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): How Far Can It Rally Now?

EQD | The Hang Seng Index's Crucial Fork Is at the End of March

EQD | HSI Closed the Week Modestly Up: A Pullback Is Possible Next Week

EQD | HSI Short-Sellers Prepare for a Rally in February

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

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

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">Hang Seng Index</a> closed the month of February up, printing a +6.63% return, after months of uninterrupted downtrend.</li>
<li>The big question at this point is: has the index reached the turning point that many have been waiting for?</li>
<li>In this insight we will try to analyze what the possible short-term trend could be for the index after the recent trend reversal.</li>
</ul>


The Hang Seng Index closed the month of February up, printing a +6.63% return, after months of uninterrupted downtrend.
The big question at this point is: has the index reached the turning point that many have been waiting for?
In this insight we will try to analyze what the possible short-term trend could be for the index after the recent trend reversal.


EQD | The Hang Seng Index's Turning Point