Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

Shanghai Shenzhen CSI 300 Index / Event-Driven

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

<ul>
<li>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 Index)</a> exploded higher in mid-September 2024, then went flat in a range (still there as we write). </li>
<li>Our models currently see uptrend and downtrend targets positioned at an equal distance from the last WEEKLY CLose on December 13th.</li>
<li>In short this means that the index is "perfectly neutral" at the moment, a rare scenario that requires straddle and strangle-like strategies to be able to profit.</li>
</ul>


The Shanghai Shenzhen CSI 300 Index (SHSZ300 Index) exploded higher in mid-September 2024, then went flat in a range (still there as we write). 
Our models currently see uptrend and downtrend targets positioned at an equal distance from the last WEEKLY CLose on December 13th.
In short this means that the index is "perfectly neutral" at the moment, a rare scenario that requires straddle and strangle-like strategies to be able to profit.


EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The index was developed with a base value of 125 as of February 1, 1985. Prior to December 21,1998 the Nasdaq 100 was a cap-weighted index.

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq 100 Index (NDX)</a> selling lead the index straight into OVERSOLD territory on December 18th. </li>
<li>The sell off is overdone, our DAILY NDX model suggests a high probability LONG trade for Thursday.
</li>
<li>High volatility may affect trades, triggering stops and making it difficult to hold without taking the risk of big losses, Vertical Spreads (Bull PUTs) are a better instrument choice.
</li>
</ul>


The Nasdaq 100 Index (NDX) selling lead the index straight into OVERSOLD territory on December 18th. 
The sell off is overdone, our DAILY NDX model suggests a high probability LONG trade for Thursday.

High volatility may affect trades, triggering stops and making it difficult to hold without taking the risk of big losses, Vertical Spreads (Bull PUTs) are a better instrument choice.



EQD | NDX OVERSOLD: A High Probability LONG Trade Idea

Crude oil is a naturally occurring, unrefined petroleum product composed of hydrocarbon deposits and other organic materials. Crude oil can be refined to produce usable products such as gasoline, diesel and various forms of petrochemicals. It is a nonrenewable resource, also known as a fossil fuel, which means that it can't be replaced naturally at the rate we consume it and is therefore a limited resource.

<ul>
<li>
<a href="https://www.smartkarma.com/entities/crude-oil" target="_blank" data-smartkarma-citation="entities:22869:1" rel="noopener">Crude Oil (CL1)</a> has been steadily downtrending since June 2022. More recently (from the start of October) a flat bottom started to form, with attempts to rise higher.</li>
<li>The front-month future (Feb25) is range bound at the moment, between 71 (top) and 66 (bottom).</li>
<li>Our models see a strong barrier at 73, and a decent support at 67 for the next 2 weeks, check the insight to get all the details.</li>
</ul>



Crude Oil (CL1) has been steadily downtrending since June 2022. More recently (from the start of October) a flat bottom started to form, with attempts to rise higher.
The front-month future (Feb25) is range bound at the moment, between 71 (top) and 66 (bottom).
Our models see a strong barrier at 73, and a decent support at 67 for the next 2 weeks, check the insight to get all the details.


EQD | Crude Oil Hitting a Wall Before $73 - Eyeing $67 on the Pullback

The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float-adjusted market capitalization. Representative liquid and tradable, it is widely considered Australia's preeminent benchmark index. The index is float-adjusted. The index was launched in April 2000.

<ul>
<li>The <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 INDEX</a> it's currently trending up quite well, since October 2023. The current rally picked up some steam from July 2024 and is quite steady. </li>
<li>The index started to pull back 2 weeks ago and has closed 2 consecutive weeks down and this week started with a Monday down Close.</li>
<li>Our models show a clear opportunity to buy this dip and ride the index uptrend back to &gt;3% profit target, roughly a 3-weeks movement according to our forecast.</li>
</ul>


The S&amp;P/ASX 200 INDEX it's currently trending up quite well, since October 2023. The current rally picked up some steam from July 2024 and is quite steady. 
The index started to pull back 2 weeks ago and has closed 2 consecutive weeks down and this week started with a Monday down Close.
Our models show a clear opportunity to buy this dip and ride the index uptrend back to &gt;3% profit target, roughly a 3-weeks movement according to our forecast.


EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity

Quantitative Analysis

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> has been rallying more than 5% since its bottom 4 weeks ago. However the index has not returned to its all time high (26277).</li>
<li>Our models indicate that the index is starting to be overbought, but is not yet super-overbought, so the question is: will it continue higher? Or will it pullback soon?</li>
<li>This coming week will be crucial to sustain momentum and possibly accelerate, our models say that when this pattern is encountered the index can rally up to 7-8 weeks.</li>
</ul>


The NIFTY Index has been rallying more than 5% since its bottom 4 weeks ago. However the index has not returned to its all time high (26277).
Our models indicate that the index is starting to be overbought, but is not yet super-overbought, so the question is: will it continue higher? Or will it pullback soon?
This coming week will be crucial to sustain momentum and possibly accelerate, our models say that when this pattern is encountered the index can rally up to 7-8 weeks.


EQD | NIFTY at a Fork: Is the Rally Over? or Can It Stretch for 3 More Weeks?

Quantitative Researcher, Algorithmic Trader and former 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 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 make 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 by humans. This approach is very labour-intensive but produces forecasts that have a clearly understandable/explainable rationale (no black-boxes).