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/MONTHLY OVERSOLD: Global Bounce Upcoming

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

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

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

MRM Research

Quantitative Research

Quantitative Analysis

United states Financials / Quantitative Analysis

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Chicago Board Options Exchange Volatility Index

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> last week reversed up and briefly touched 17, it's OVERBOUGHT according to MRM WEEKLY SHORT model.</li>
<li>VIX Index could pull back a bit this week, then go up again, but not much higher than 18. Volatility should end this coming week, or early the following week.</li>
<li>WEEKLY and MONTHLY OVERSOLD MRM reading on global markets suggest an imminent bounce, possibly a lasting MONTHLY bounce - unless all of a sudden the market enters a Bear Market.</li>
</ul>


The VIX INDEX last week reversed up and briefly touched 17, it's OVERBOUGHT according to MRM WEEKLY SHORT model.
VIX Index could pull back a bit this week, then go up again, but not much higher than 18. Volatility should end this coming week, or early the following week.
WEEKLY and MONTHLY OVERSOLD MRM reading on global markets suggest an imminent bounce, possibly a lasting MONTHLY bounce - unless all of a sudden the market enters a Bear Market.


EQD | VIX Index WEEKLY: Has Volatility Already Peaked?