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

APAC WEEKLY Monitor: Current MRM Supports and Probabilities Re-Cap

EQD | KOSPI 200 Index's Decisive Week: New WEEKLY LONG Supports

EQD | Nikkei 225 (NKY) Rising but for How Long?

EQD | KOSPI 200 Index WEEKLY Trend Analysis

EQD | NIFTY Index WEEKLY Correction May Be Ending

EQD | Hang Seng Index (HSI) WEEKLY LONG: Support Levels and Probability

Gravity Works As WeWork Doesn't; Now Plan B

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.</li>
<li>We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.</li>
<li>Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.</li>
</ul>


The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.
We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.
Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.


Hang Seng China Enterprises Index (HSCEI INDEX)

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD | SPX MONTHLY Proxy Supports for APAC Markets

S&P 500 INDEX

EQD | SPX MONTHLY Proxy Supports for APAC Markets