Of 407 Tadawul stocks scanned, 12 triggered a ≥2σ mean reversion signal. After running all 6 quant layers, only 2 stocks deserve serious attention: 9562 (Foods Gate) and 4081 (Nayifat Finance). Foods Gate has the strongest composite setup (score 59, B-grade) driven by massive volume capitulation and a perfect historical hit rate. Nayifat Finance has the best Hurst exponent (0.47 — genuinely mean-reverting) with a solid historical track record. The remaining 10 stocks either trend rather than revert, lack volume confirmation, or have zero historical evidence of bouncing back from these levels.
✓ Strongest volume capitulation in the entire scan (2.93x normal). This is the single most important signal here. When a stock drops significantly AND volume spikes nearly 3x the average, it typically means a large holder dumped their position. That kind of forced selling creates an artificial price depression that tends to snap back once selling pressure exhausts.
✓ Perfect historical hit rate with +18% average return. The one prior time this stock hit -2σ in the lookback window, it recovered 18% within 10 trading days. While one sample isn't statistically robust, an 18% bounce is significant enough to note.
✓ Below all 3 available SMAs (20/50/100). Full multi-timeframe confirmation means this isn't just a blip against one moving average — the stock is in a genuine oversold condition across all timeframes.
⚠ Hurst at 0.52 is borderline. This is the main caveat. A Hurst of 0.52 is essentially random walk territory — not definitively mean-reverting (would want < 0.45) but not trending either. The volume capitulation signal is what tips this from "wait" to "actionable" — the Hurst alone wouldn't justify a trade.
Verdict: Best risk/reward setup in the scan. The volume capitulation is doing the heavy lifting here. Entry around SAR 26.00 with a target back toward the 50-day SMA at ~28.67. That's a potential 10% move. Stop loss below SAR 24.50 (the -3σ level) to limit downside to ~6%.
✓ Best Hurst exponent of any signal stock (0.47). This is the only stock in the top 6 that is statistically confirmed as mean-reverting. A Hurst below 0.5 means this stock's price action genuinely oscillates around its mean rather than trending. When the model says "this stock reverts," the Hurst backs it up with actual mathematical evidence.
✓ 50% win rate across 2 prior events. It's bounced from -2σ before. The 50% win rate is modest but the sample size is small (2 events). The average +0.96% return is conservative, suggesting the bounce is real but slow — this is a grinder, not a rocket.
⚠ Volume at 1.35x isn't a capitulation spike. The volume is slightly elevated but there's no washout. This suggests a gradual drift lower rather than a panic dump. Gradual drifts can continue — there's less of a "snap back" catalyst compared to Foods Gate's volume spike.
Verdict: The most statistically sound signal. If you want the trade with the strongest mathematical foundation, this is it. The Hurst exponent is doing the heavy lifting. The lower expected return (+0.96% avg) suggests smaller position size but higher conviction. Entry at SAR 9.93, target SAR 11.00-11.50 (the SMA area), stop below SAR 9.20.
Decent score (53) with volume confirmation and 100% hit rate. But Hurst at 0.52 is borderline, and it's in the Insurance sector which has 3 stocks signaling together (8100, 8170, plus sector overlap). This concentration means the insurance sector may be rotating down as a group — you're not getting diversification by buying multiple insurance names. The +3.76% historical return is real but modest.
Verdict: Watch, don't act. If you already own Foods Gate or Nayifat and want a third position, this is the next best. But understand you're adding insurance sector risk.
Interesting case: Hurst at exactly 0.50 (random walk) and a 100% hit rate with +4.35% return. But the volume ratio is only 0.1x — virtually no one is trading this stock. That's a serious liquidity risk. Low volume means wide bid-ask spreads, difficulty getting filled at your target price, and the risk of being unable to exit if the trade goes wrong. The statistical setup is fine but the practical execution is dangerous.
Verdict: Avoid despite the decent numbers. The 0.1x volume is a dealbreaker for any meaningful position size.
These all scored D-grade (27-40) and share the same fatal flaw: 0% historical hit rate with 0 samples. This means the backtester found zero prior instances of these stocks crossing -2σ in the lookback window, so there's literally no evidence they bounce back from these levels. You'd be trading purely on theoretical probability (the normal distribution assumption) with zero empirical validation.
| Symbol | Name | Score | Hurst | Key Problem |
|---|---|---|---|---|
| 8170 | Al-Etihad Insurance | 40 | 0.49 | Good Hurst + volume spike, but 0% hit rate. The stock drops hard and stays down — classic insurance sector decay. |
| 9650 | Sahat Almajd Trading | 36 | 0.40 | Best Hurst in entire scan (0.40 = strongly mean-reverting) BUT only 2/2 MTF and 0% hit rate. Interesting for future monitoring. |
| 9601 | Mohammed Hadi Al Rasheed | 33 | 0.52 | Volume spike (1.59x) but Hurst says random walk, no historical evidence. |
| 1211 | Saudi Arabian Mining | 29 | 0.51 | Blue chip name but no edge — random walk Hurst, no volume spike, no history. |
| 9649 | Jamjoom Fashion | 29 | 0.54 | Was #1 in the old screener. Now exposed: trending Hurst (0.54), near-zero volume (0.17x), no hit rate. Classic value trap. |
| 9635 | Dikhoun National Trading | 27 | 0.91 | Worst Hurst in the scan (0.91 = strongly trending). This stock is in a downtrend, not an oscillation. Do not buy. |
Primary: 9562 (Foods Gate) at SAR 26.00 — Volume capitulation + full MTF confirmation + perfect hit rate. Target SMA area (~28.67), stop below 24.50. Risk/reward roughly 1:1.7.
Secondary: 4081 (Nayifat Finance) at SAR 9.93 — Best Hurst exponent (0.47 = genuinely mean-reverting). Smaller expected move but higher statistical confidence. Target 11.00-11.50, stop below 9.20.
Skip everything else. The other 10 signals don't have enough multi-factor confirmation to justify risk capital. Especially avoid 9635 (Dikhoun) — its Hurst of 0.91 means it's trending down hard, and 9649 (Jamjoom) which looked great on z-score alone but is a value trap with no volume and trending behavior.
1. The historical hit rates are based on limited samples (1-2 events in 120 days). More lookback data would increase confidence. Consider increasing lookback to 365 days for a rerun.
2. This is purely statistical analysis — it does not account for fundamental factors (earnings, news, sector catalysts). Always check for recent corporate announcements before entering.
3. The Hurst exponent is estimated via the Rescaled Range method, which can be noisy with only 120 data points. It's directionally correct but not precise to 2 decimal places.
4. Position sizing matters more than stock selection. Never risk more than 2-3% of capital on a single mean reversion trade.