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 / NSE Volatility Update / 29-Apr-24 to 03-May-24

EQD / NSE Volatility Update / 06-May-24 to 10-May-24

EQD / NSE Volatility Update / 13-May-24 to 17-May-24

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

EQD / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> kept rising for the past few months but has stalled its advance since March. It may be about to pullback and lose some gains, in May.</li>
<li>The index is currently up 2 weeks in a row, not yet strongly overbought but our model say that from a time perspective it could start to pullback next week. </li>
<li>If the index does not start to pullback soon, it could rally for another 2-3 weeks.</li>
</ul>


The NIFTY Index kept rising for the past few months but has stalled its advance since March. It may be about to pullback and lose some gains, in May.
The index is currently up 2 weeks in a row, not yet strongly overbought but our model say that from a time perspective it could start to pullback next week. 
If the index does not start to pullback soon, it could rally for another 2-3 weeks.


EQD | The NIFTY May Be About to Start A Come Down