Geology of Madeira studied by:
GAGEL, C., 1912, STUDIEN UBER DEN AUFBAU UND DIE GESTEINE MADEIRAS. I:
ZEITSCHR. DEUTSCH. GEOL. GES., V. 64, P. 344-491

Legends of Madeira
Cavalum (or Cavalém) Legend
The Caves of Cavalum, near the village of Machico at the Madeira Island, are huge caves excavated at the basalt rock that people say are the dwelling of a monster. 
Cavalum is a devil under the form of a big horse with bat wings that expels fire through the nostrils.
It is still possible on stormy days, to hear the howls and kicks of the Cavalum echoing on the walls of the caves.
Although some say that this is only the echoing of the thunders, people asserts that it is the monster that was made to stay there against his will. 
According to the legend, when the Cavalum was still free, the beast knocked at the door of a church to speak to God. When God asked him what did he want, cavalum told Him he wanted to propose a challenge: the monster wanted to destroy the whole village, church included, and he wanted to see if God, that was already a bit old, had the strength to stop him. 
God sent him away telling that he had no patience to such tricks. 
But the cavalum, thinking that he had been honest warning Him, gathered the wind and clouds and these woke up a big storm over the village. On the top of the cliff, the Cavalum whinnied happily. God, involved in His blankets in front of the fireplace, did not move, thinking that the Cavalum soon will get bored with his tricks. But the storm grew stronger and the frightened people saw houses and fields being destroyed. 
Even the crucifix flew through air taken by the wind by order of the insolent Cavalum. It was then that God started to get mad and decided to finish that childish challenge. His first reaction was to make a boat find the crucifix. Then he called the sun that showed up at once, remove  the clouds, the wind and the thunders. The sky went blue and happiness returned to the hearts of man.
Not wanting to be further interrupted, God decided to arrest the Cavalum in the caves where still today one can ear his cries of rage and despair.
Or another version:
The prison of the cavalum
At Machico, in Madeira, there are some huge caves where it is said that the cavalum (devil) is in jail. The legend says that it was the forces of good that imprisoned him after he tried to destroy the world with storms. Truth is that, those who live nearby guarantee that, during the most stormy nights, it is possible to ear the cavalum ragging and despair howls, because of his imprisonment.