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 | The Nikkei Is At The Top But Could Rally A Bit More...

EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

EQD | The Nikkei 225's Trend Is Not Looking Good

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The last 2 weeks' upswing in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 INDEX</a> does not change our view: it is <strong>WEEKLY overbought</strong> and October is a coin flip according to our seasonal models.</li>
<li>The index <em>could</em> rise further at this point, herd behavior may force investors to pile up into the rally, but our models say rising well past 40k will be hard.</li>
<li>A pullback is not necessarily a great occasion to buy, as already explained in our <a href="https://www.smartkarma.com/insights/eqd-the-nikkei-225-s-trend-is-not-looking-good" target="_blank" rel="noopener">previous insight</a>, the N225's trend does not look good, at the moment.</li>
</ul>


The last 2 weeks' upswing in the Nikkei 225 INDEX does not change our view: it is WEEKLY overbought and October is a coin flip according to our seasonal models.
The index could rise further at this point, herd behavior may force investors to pile up into the rally, but our models say rising well past 40k will be hard.
A pullback is not necessarily a great occasion to buy, as already explained in our previous insight, the N225's trend does not look good, at the moment.


Nikkei 225

EQD | The Nikkei At The Top