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 | SPX WEEKLY Rally Is About to Stop (Temporarily), Then Continue Into April

EQD | E-Mini S&P500 (ES) DAILY Sell-OFF: Where Do You Buy?

EQD | S&P500 WEEKLY Pull Back: BUY the Dip

EQD | SPX WEEKLY/MONTHLY OVERSOLD: Global Bounce Upcoming

EQD | Here Is Why the S&P500 MONTHLY Rally Could Continue in December

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> has been closing up for 9 consecutive weeks (CC=+9). In theory it could go higher for another 3 weeks, but it is ultra-OVERBOUGHT.</li>
<li>The market has moved past the Tails resistance limit at 4747 this last week, rallying more than +15% from the bottom on October 26th.</li>
<li>A SHORT trade may not be effective but being prepared for a pullback is a good idea, maybe just to add positions at better prices (assuming the rally will continue).</li>
</ul>


The S&amp;P 500 INDEX has been closing up for 9 consecutive weeks (CC=+9). In theory it could go higher for another 3 weeks, but it is ultra-OVERBOUGHT.
The market has moved past the Tails resistance limit at 4747 this last week, rallying more than +15% from the bottom on October 26th.
A SHORT trade may not be effective but being prepared for a pullback is a good idea, maybe just to add positions at better prices (assuming the rally will continue).


EQD | The S&P500 WEEKLY Rally Is At A Crucial Fork: Higher or Lower?