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

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

EQD | HSI Rally: Possible Brief Stop This Week

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> closed last week down (CC=-1) at 16340.41, it is now down 5 months in a row (CC=-5), very OVERSOLD. </li>
<li>If this week the index keeps going down, it may find support soon and bounce next week. The alternative scenario is a longer correction, 2 weeks.</li>
<li>Support for a LONG trade, possibly pushed by a MONTHLY reversal,  should be found between 16200 and 15950: this is a highly speculative setup given the stubborn downtrend.</li>
</ul>


The HSI INDEX closed last week down (CC=-1) at 16340.41, it is now down 5 months in a row (CC=-5), very OVERSOLD. 
If this week the index keeps going down, it may find support soon and bounce next week. The alternative scenario is a longer correction, 2 weeks.
Support for a LONG trade, possibly pushed by a MONTHLY reversal,  should be found between 16200 and 15950: this is a highly speculative setup given the stubborn downtrend.


EQD | The LONG Case for the Hang Seng Index