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 | Is the HSI Correction Going to Continue? (Yes, For 1-2 Weeks)

EQD | Hang Seng Down: How Low Can the Pullback Go?

2024 High Conviction Idea: The Case for a Rotation Out of Japan into Hong Kong - Part 2

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>After an explosive rally in April, the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a> has been in a downtrend since mid-May, many are wondering where the index is headed next.</li>
<li>July 2024, based on our seasonal pattern analysis, does not have a great chance to close higher (it could, but the odds are not good). </li>
<li>If the index goes down in the next 2 weeks, buy the 17600-17300 price area.</li>
</ul>


After an explosive rally in April, the Hang Seng Index has been in a downtrend since mid-May, many are wondering where the index is headed next.
July 2024, based on our seasonal pattern analysis, does not have a great chance to close higher (it could, but the odds are not good). 
If the index goes down in the next 2 weeks, buy the 17600-17300 price area.


Hang Seng Index

EQD | Will the HSI Keep Falling In July?