On 14 August 2011, Caicedo made his debut in the Russian Premier League after coming on at the 61st minute for Dmitri Loskov as Lokomotiv Moscow drew 0–0 against Volga. On 28 August 2011, Caicedo scored his first goal which proved to be the winning goal against Kuban Krasnodar. After scoring for Lokomotiv Moscow, Caicedo began scoring and providing assists on a weekly basis for 4 weeks including 3 goals. The first of these goals came against FC Zenit Saint Petersburg in a 4–2 win on 10 September 2011, another against Terek Grozny in a 4–0 win, and the third and final of the run against Anzhi, a goal which again proved to be the winning goal. He had provided his one assist of the run a week before, Caicedo playing the ball to Alberto Zapater who scored his first goal for Lokomitiv Moscow in the 1–1 draw against Rubin Kazin on 25 September 2011. In the first half Russian Premier League, Caicedo made 13 league appearance, scoring 6 goals.