Surprise Move Indicator
The Surprise Move of a security is a modified version of the Sharpe Ratio: whereas the latter indicator measures the return of a security divided by the volatility of the security during the move, the Surprise Move divides the return of a security by the risk regime before the move took place.
This modification of the Sharpe Ratio allows the indicator to highlight how a relatively small move was quite large within the context of a pre-existing low-volatility environment, and conversely a large rebound was not so out of the ordinary, if seen under the light of a tumultuous high-vol regime that maybe came after a large drop.
The indicator is an oscillator of sorts, allowing investors to answer questions like “What happened the last 10 times that S&P 500 fell 2 standard deviations?”. It is usually used as a mean reversion guide.