+1 sessions
Median return -0.10%Completed observations: 29
- Middle 50%
- -1.41% … +0.77%
- Positive returns
- 45%
Caterpillar · Sigma Moves
Closed-period price moves, measured against their own history. One engine. Five markets. No forecasts.
Latest closed period
Caterpillar's latest move against its own history.
CAT Exceptional
+6.42%
+4.21σ
About once every 252 trading sessions
5 comparable moves / 1,258 observations
What happened afterwards
All history-qualified moves of at least 2.5σ. Results after the event are descriptive statistics, not trading instructions.
+7 sessions
Median return +2.82%Completed observations: 29
- Middle 50%
- -3.77% … +4.98%
- Positive returns
- 62%
+30 sessions
Median return +3.39%Completed observations: 29
- Middle 50%
- -3.27% … +11.53%
- Positive returns
- 59%
Every rare move, in context
Instrument: CAT (price return)
| Date | σ | Move | Observed rarity | +1 sessions | +7 sessions | +30 sessions |
|---|---|---|---|---|---|---|
| 14 Dec 2023 | +4.21σ | +6.42% | About once every 252 trading sessions5 comparable moves / 1,258 observations | +0.20% | +3.67% | +6.87% |
| 31 Oct 2023 | -4.14σ | -6.65% | About once every 251 trading sessions5 comparable moves / 1,257 observations | +2.56% | +3.58% | +18.54% |
| 18 Oct 2023 | -3.96σ | -4.93% | About once every 210 trading sessions6 comparable moves / 1,257 observations | -2.44% | -7.97% | -3.28% |
| 1 Aug 2023 | +6.01σ | +8.85% | 1 times in 5 years1 comparable moves / 1,257 observations | -0.37% | -1.67% | -4.41% |
| 2 Jun 2023 | +5.71σ | +8.40% | 1 times in 5 years1 comparable moves / 1,258 observations | -1.84% | +8.30% | +16.41% |
| 4 Apr 2023 | -3.02σ | -5.40% | About once every 66 trading sessions19 comparable moves / 1,259 observations | -1.80% | +2.87% | -2.46% |
| 10 Mar 2023 | -3.33σ | -5.79% | About once every 114 trading sessions11 comparable moves / 1,258 observations | -1.02% | -0.92% | -1.58% |
| 1 Mar 2023 | +2.66σ | +3.81% | About once every 42 trading sessions30 comparable moves / 1,258 observations | +1.41% | -8.71% | -10.86% |
| 6 Jan 2023 | +2.51σ | +3.57% | About once every 28 trading sessions45 comparable moves / 1,258 observations | -0.90% | +1.59% | -3.27% |
| 27 Oct 2022 | +3.38σ | +7.71% | About once every 140 trading sessions9 comparable moves / 1,258 observations | +3.39% | +7.76% | +7.14% |
| 21 Oct 2022 | +2.59σ | +5.36% | About once every 31 trading sessions40 comparable moves / 1,258 observations | +0.57% | +14.87% | +22.26% |
| 2 Aug 2022 | -2.52σ | -5.82% | About once every 28 trading sessions44 comparable moves / 1,214 observations | -0.35% | +5.72% | +0.62% |
| 29 Jul 2022 | +2.58σ | +5.54% | About once every 30 trading sessions40 comparable moves / 1,212 observations | -1.71% | -6.16% | -2.95% |
| 16 Jun 2022 | -2.61σ | -5.44% | About once every 33 trading sessions36 comparable moves / 1,183 observations | -1.10% | -3.77% | +0.04% |
| 22 Apr 2022 | -4.61σ | -7.00% | 2 times in 5 years2 comparable moves / 1,145 observations | +0.18% | -1.24% | +3.39% |
| 14 Apr 2022 | +3.14σ | +4.37% | About once every 71 trading sessions16 comparable moves / 1,140 observations | +0.93% | -7.69% | -4.68% |
| 8 Mar 2022 | +3.29σ | +6.76% | About once every 101 trading sessions11 comparable moves / 1,113 observations | -0.10% | +5.57% | +11.94% |
| 2 Mar 2022 | +2.92σ | +5.35% | About once every 58 trading sessions19 comparable moves / 1,109 observations | +1.16% | +11.54% | +13.32% |
| 17 Feb 2022 | -2.84σ | -4.37% | About once every 52 trading sessions21 comparable moves / 1,101 observations | -1.43% | -6.12% | +12.85% |
| 28 Jan 2022 | -3.34σ | -5.19% | About once every 121 trading sessions9 comparable moves / 1,087 observations | +0.20% | +0.17% | +7.10% |
| 4 Jan 2022 | +3.70σ | +5.35% | 4 times in 4 years4 comparable moves / 1,070 observations | +0.77% | +4.09% | -6.62% |
| 26 Nov 2021 | -2.80σ | -4.03% | About once every 55 trading sessions19 comparable moves / 1,044 observations | -1.41% | +2.90% | +11.53% |
| 8 Nov 2021 | +2.56σ | +4.07% | About once every 33 trading sessions31 comparable moves / 1,031 observations | -2.07% | -5.26% | -7.44% |
| 28 Oct 2021 | +2.64σ | +4.06% | About once every 41 trading sessions25 comparable moves / 1,024 observations | -0.04% | +4.98% | -0.31% |
| 20 Sep 2021 | -3.29σ | -4.47% | About once every 111 trading sessions9 comparable moves / 996 observations | -0.51% | +3.69% | +7.63% |
| 10 Jun 2021 | -3.22σ | -3.80% | About once every 103 trading sessions9 comparable moves / 926 observations | -2.23% | -5.55% | -7.18% |
| 19 Feb 2021 | +3.13σ | +5.00% | About once every 71 trading sessions12 comparable moves / 849 observations | +3.88% | +2.82% | +11.34% |
| 6 Jan 2021 | +3.59σ | +5.57% | 4 times in 3 years4 comparable moves / 819 observations | +0.19% | +0.39% | +8.28% |
| 4 Nov 2020 | -3.43σ | -7.43% | About once every 130 trading sessions6 comparable moves / 777 observations | +5.06% | +10.62% | +15.42% |
The number has a method behind it
Sigma measures the size of a log return relative to volatility estimated before the period. Rarity is counted from actual historical standardized moves, not inferred from a normal distribution.
σt = ln(Ct / Ct−1) / vtvt ← t−1, t−2, …
Volatility adapts to the market regime with EWMA (λ = 0.94 for daily and weekly observations). Current-period returns are excluded. Each historical σ uses its own prior volatility.
Both directions count toward rarity. Reference history spans up to five years. A period with no prior exceedances is labelled unprecedented in the observed sample; it is never given an invented recurrence interval.
Stock observations use split-adjusted price returns, without dividend reinvestment. Commodities are explicitly labelled ETF price proxies; they do not represent spot commodity prices.
Questions behind the sigma
What does a 3σ move mean?
The period log return is three times the volatility estimated from earlier periods. Sigma is signed: negative for declines and positive for rises.
Why not calculate rarity from a normal distribution?
Market returns have heavy tails and changing volatility. We count actual past absolute sigma exceedances for the same instrument and period.
Does “once every 200 days” predict the next event?
No. It is the number of historical observed periods divided by comparable moves. Events can cluster and the market regime can change.
How much history is required?
At least three years of valid standardized observations, after a one-year volatility warm-up. This normally requires approximately four years of source history.
Are all instruments directly comparable?
The engine is shared, but each instrument has its own prices, calendar, volatility and reference sample. Commodity cards use explicitly labelled ETF proxies.
What happens on quiet days?
The page shows the largest covered standardized move, the complete rarity scale and recent records. Missing data is reported separately from market calm.
For information only. Historical observations are not investment advice and do not predict future moves. A rare move can be followed by another rare move.