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

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">ASX 200 INDEX</a> closed last week down, and this week is barely up, it has been flat for 3 weeks and its direction is unclear.</li>
<li>The index may be preparing for a pullback, even though our models at the moment are not flashing yet the "go SHORT" signal. Covering LONG holdings may be wise.</li>
<li>Wait for prices &gt; 7670 or the end of this week, if the index closes the week up, to increase the probability of success for a SHORT Trade.</li>
</ul>


The ASX 200 INDEX closed last week down, and this week is barely up, it has been flat for 3 weeks and its direction is unclear.
The index may be preparing for a pullback, even though our models at the moment are not flashing yet the "go SHORT" signal. Covering LONG holdings may be wise.
Wait for prices &gt; 7670 or the end of this week, if the index closes the week up, to increase the probability of success for a SHORT Trade.


EQD | S&P/ASX200 Stalled, SHORT Opportunity

S&P/ASX 200

EQD | S&P/ASX200 Stalled, SHORT Opportunity