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 | Is the HSI Correction Going to Continue? (Yes, For 1-2 Weeks)

EQD | Hang Seng Down: How Low Can the Pullback Go?

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> has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.</li>
<li>The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.</li>
<li>The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).</li>
</ul>


The Hang Seng Index has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.
The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.
The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).


EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)