statistical anomaly detector
Statistically unusual price, gap and volume bars
Each of AAPL's recent bars is measured against the name's own median move (median + MAD), so one outlier cannot mask the next. Bars past the |z| > 3 threshold on any of three channels are flagged: price spike, overnight gap, volume surge. The scale is an EWMA expected daily move — the recent average move, weighted toward the latest sessions.
AAPL20 flagged · 180 barsexpected move 1.30%/dayσ 21% ann.threshold |z| > 3180 daily barsmedian + MAD robust z · EWMA λ 0.94
⚑Most unusual bar — 2026-06-26 (74 sessions ago): volume surge at +27.42σ, the highest-severity bar in AAPL's recent history. Single-channel breach — volume surge only (1 of 3 channels).
2026-01-262026-10-12
price spikeovernight gapvolume surgeper-bar max |z|
Flagged bars20
Price spikes3
Overnight gaps9
Volume surges8
Expected move1.30%
Gate|z| > 3
Flagged bars (|z| > 3)
volume surge+27.42σseverity 3.00
overnight gap-12.99σseverity 3.00
volume surge+8.34σseverity 2.78
price spike+7.03σseverity 2.34
volume surge+6.79σseverity 2.26
overnight gap-5.72σseverity 1.91
volume surge+5.63σseverity 1.88
volume surge+5.54σseverity 1.85
volume surge+5.39σseverity 1.80
price spike-5.01σseverity 1.67
volume surge+4.57σseverity 1.52
overnight gap+4.11σseverity 1.37
overnight gap+4.01σseverity 1.34
price spike-3.89σseverity 1.30
volume surge+3.64σseverity 1.21
overnight gap-3.25σseverity 1.08
overnight gap-3.20σseverity 1.07
overnight gap-3.13σseverity 1.04
overnight gap-3.12σseverity 1.04
overnight gap-3.10σseverity 1.03
σ is the dominant channel's robust z-score; severity increases with the distance past |z| > 3. Rows without a session date are identified by sessions before the latest bar.
AAPL fired 20 statistically unusual bar(s) — 3 spike(s), 9 gap(s), 8 volume surge(s) — past the |z| > 3 gate, against a ~1.3% expected daily move.
The detector flags only the bars that are unusual for THIS stock, then explains why each one matters. The gate keeps the agent from narrating noise. Computed on real price bars; research — your decisions, your risk.
What "robust z-score" means
AAPL had 20 statistically unusual bar(s) over the window (threshold |z| > 3).
A z-score asks "how many standard deviations from normal is this?" We use a ROBUST version: instead of the average and standard deviation (which a single wild day distorts), we use the median and the Median Absolute Deviation (MAD), scaled by 1.4826 so it lines up with a normal curve. That way one crazy bar does not redefine "normal" and hide the next one.
→ Only these flagged bars are worth a narrative — the rest is noise.
Price spike detected
The biggest move was +7.03σ on bar 5 (severity 2.3442).
A "spike" is a single-day price move far larger than this stock's own recent typical move. That is exactly the kind of bar that usually has a REASON behind it — an earnings surprise, a guidance change, an analyst action — which is why the agent routes it to look for the catalyst rather than shrugging it off.
→ Route to catalyst/conviction layer to find the "why."
Overnight gap detected
An unusual open-vs-prior-close jump of -12.99σ on bar 129.
A "gap" is when the stock OPENS far away from where it closed the day before — the move happened while the market was shut. Gaps almost always trace to overnight news (an earnings print, a deal, a macro shock), so an unusually large gap is a strong signal to go read the tape.
→ Overnight news is the usual culprit — pull the headline.
Volume surge detected
Volume ran +27.42σ above its normal range on bar 105.
Volume is how many shares changed hands. A surge means far more people than usual were trading — conviction, forced flows, or a reaction to news. Big volume CONFIRMS a move: a price spike on heavy volume is more meaningful than the same move on a quiet day.
→ Heavy volume confirms the move is real, not a fluke quote.
Your expected daily move (EWMA)
The model expects roughly a 1.3% move on a normal day right now.
We track volatility with an EWMA (exponentially-weighted moving average): it weights recent days more heavily, so the "expected move" rises after turbulent stretches and falls when things calm down. A bar only counts as a spike when it dwarfs THIS adaptive expectation — so the same +3% means "normal" for a meme stock and "alarming" for a utility.
→ A bar matters only when it dwarfs the expected move.
Glossary
- z-score
- How many standard deviations a value sits from its typical level. |z| > 3 is roughly a 1-in-370 day under a normal curve.
- MAD
- Median Absolute Deviation — a robust stand-in for standard deviation that a single outlier cannot inflate.
- Volume surge
- A day where trading volume is far above its recent typical level — a sign that something drew the crowd in.
- EWMA volatility
- Exponentially-weighted volatility — an adaptive estimate of the typical daily move that leans on recent days.
- Expected move
- sigma * sqrt(1) — the one-day standard-deviation of returns the model currently expects.