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 225's Trend Is Not Looking Good

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>In our last Nikkei 225 insight we predicted that the Nikkei 225 INDEX was overbought and about to pullback and that is exactly what happened the following week.</li>
<li>We also reiterated our view about the index's overall trend, not looking good, and the fact that our seasonal quantitative model point to a coin flip scenario (up/down) for October.</li>
<li>This week the index gapped up and the current SHORT pattern model is showing a good chance to rally from here. Let's check how high it can go.</li>
</ul>


In our last Nikkei 225 insight we predicted that the Nikkei 225 INDEX was overbought and about to pullback and that is exactly what happened the following week.
We also reiterated our view about the index's overall trend, not looking good, and the fact that our seasonal quantitative model point to a coin flip scenario (up/down) for October.
This week the index gapped up and the current SHORT pattern model is showing a good chance to rally from here. Let's check how high it can go.


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