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 | Nikkei's Downtrend Could Continue in May (But the Bottom Is Near)

EQD | Nikkei 225 What's Up Next: Up or Down?

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 Index</a> rallied last week, and closed the week up.</li>
<li>Although slightly overbought, our models are not pointing to a SHORT opportunity here.</li>
<li>If the index pulls back this coming week, it may be a good idea to BUY, in order to take advantage of a possible reprise of the rally.</li>
</ul>


The Nikkei 225 Index rallied last week, and closed the week up.
Although slightly overbought, our models are not pointing to a SHORT opportunity here.
If the index pulls back this coming week, it may be a good idea to BUY, in order to take advantage of a possible reprise of the rally.


EQD | The Nikkei's Rally May Be About To Restart