diff --git a/jedi/settings.py b/jedi/settings.py
index 3515f277..1b9125b6 100644
--- a/jedi/settings.py
+++ b/jedi/settings.py
@@ -81,6 +81,8 @@ Various
 
 
 """
+import os
+import platform
 
 # ----------------
 # completion output settings
@@ -119,10 +121,18 @@ use_filesystem_cache = True
 Use filesystem cache to save once parsed files with pickle.
 """
 
-import os
-cache_directory = os.getenv('HOME') + os.path.sep + '.jedi'
+if platform.system().lower() == 'windows':
+    _cache_directory = os.path.join(os.getenv('APPDATA') or '~', 'Jedi', 'Jedi')
+elif platform.system().lower() == 'darwin':
+    _cache_directory = os.path.join('~', 'Library', 'Caches', 'Jedi')
+else:
+    _cache_directory = os.path.join(os.getenv('XDG_CACHE_HOME') or '~/.cache', 'jedi')
+cache_directory = os.path.expanduser(_cache_directory)
 """
 The path where all the caches can be found.
+
+On Linux, this defaults to ``~/.cache/jedi/``, on OS X to ``~/.jedi/`` and on
+Windows to ``%APPDATA%\\Jedi\\Jedi\\``.
 """
 
 # ----------------