VWAP GapsTheory of untested previous VWAPs acting in similar way to nPOC, where agreed previous 'value' based on volume acts as a liquidity area to be retested.
Indicator shows
- User selected VWAP
- Untested previous VWAPs. The line will disappear once price crosses it's value
- Sweeps of previous VWAPs. Show by both bar colours and plotted arrows under different conditions.
Sweep Filters
1. Bull or Bear Bar (required for an arrow plot)
2. Sweep Conditions i.e. open below line, high above line, and close below line
3. If current VWAP is below/above the previous VWAP value.
ابحث في النصوص البرمجية عن "VWAP"
All-In-One Auto Anchored VWAPsA chart isn't trendy without a VWAP (which stands for volume weighted average price).
This indicator allows you to choose 3 different anchored VWAPs, and customize the anchor period from one of many different options, including:
- Daily
- Weekly
- Monthly
- Quarterly
- Yearly
- All Time
- Specific Pivots
- Specific Sessions
You can then choose whether you want to anchor to the open, highest or lowest value within that period.
The indicator will automatically update every time a new anchor point is triggered. Every VWAP has colors and standard deviation bands as an optional setting.
As interest in the script grows I will continue to add new features.
VWAP with CharacterizationThis indicator is a visual representation of the VWAP (Volume Weighted Average Price), it calculates the weighted average price based on trading volume. Essentially, it provides a measure of the average price at which an asset has traded during a given period, but with a particular focus on trading volume. In our case, the indicator calculates the VWAP for the current trading symbol, using a predefined simple moving average (SMA) with a period of 14. This volume-weighted moving average offers a clearer view of the behavior of the VWAP and, of consequence of market dynamics.
One of the distinctive features of this indicator is its ability to provide a more "linear" representation of the data. This means that the data is "smoothed" to remove noise, allowing you to more easily identify the direction of the market trend. This smoother representation is especially useful because the financial market can be subject to significant fluctuations and volatility, and this indicator can help get a more stable view of the trend.
The indicator also offers a visualization of the market trend in a very intuitive way. Using an evaluation of the highs and lows of the last 10 days, determine whether the market is in an uptrend, downtrend, or no trend at all. To make this evaluation even clearer and more immediate, the indicator line is colored dynamically. When the trend is bullish, the line is blue, while in case of a bearish trend, it takes on a distinctive color, such as pink. If the trend is not defined, the line will be colored differently, for example light yellow. This coloration gives traders an immediate visual indication of the prevailing trend, allowing them to make more informed decisions regarding trading operations.
One potential strategy involves watching candles when they cross the VWAP line strongly. If, for example, a candlestick breaks above the VWAP line, we may look for retest areas near key support levels to gauge a potential long entry. In other words, we would consider that the price may have the potential to rise further after breaking above the VWAP line, and we would look to enter a long position to take advantage of this opportunity.
On the other hand, if a candlestick crosses below the VWAP line, we might consider looking for retest areas near the VWAP line itself, which now serves as potential resistance. This could indicate a possible short entry opportunity, as the price may struggle to break above the resistance represented by the VWAP line after breaking it down. In this case, we would look to take advantage of the expected continuation of the downtrend.
In both cases, the idea is to exploit significant movements across the VWAP line as signals of potential reversal or continuation of the trend. This strategy can help identify key entry points based on price behavior relative to the VWAP line.
VWAP StdDev Bands - Multi-type VWAP: Period, Date, EarningsThis VWAP indicator differs from the rest in that it is customizable for 3 distinct VWAP types, among other features that may be useful.
VWAP types:
Period Based VWAP
Date Anchored VWAP
Earnings Based VWAP
Additional features common to all VWAP types:
Standard Deviation Bands
Coloring based on Price vs Deviation Bands
Coloring of VWAP based on VWAP Slope
Each of the VWAP types are described below:
Period VWAP
Simple period VWAP which allows preset, as well as custom periods.
Resets at the start of each period.
Also allows setting a custom session time for reset at specific time of day.
Date VWAP
Date anchored VWAP which does not reset.
VWAP will start from the selected date.
Pictured: AAPL Date VWAP from 2018-08-27
Earnings VWAP
VWAP which resets on every earnings report. The symbol must be stock with available earnings data.
Multiple types can be used in conjunction with one another only by adding multiple of the indicator to your chart.
Feel free to leave any comments, questions, or bug reports. All are welcome.
Enjoy!
VWAPS MTF (Multi Timeframe) + candles color on crossingVolume weighted average price Multi Timeframe
Description:
Vwaps in 3 different types of time: Daily, weekly and monthly
This indicator has a built-in option that paints the price bars if they are above or below the daily vwap.
Features:
1 - Add or remove timeframe (unchecking colors).
2 - Edit the colors according to the price crossing up or down each vwap.
3 - Option that colored candles on Daily Vwap crossing.
VWAP + Multi-Condition RSI Signals + FibonacciPlatform / System
Platform: TradingView
Language: Pine Script® v6
Purpose: This script is an overlay indicator for technical analysis on charts. It combines multiple tools: VWAP, RSI signals, and Fibonacci levels.
1️⃣ VWAP (Volume Weighted Average Price)
What it does:
Plots the VWAP line on the chart, which is a weighted average price based on volume.
Can be anchored to different periods: Session, Week, Month, Quarter, Year, Decade, Century, or corporate events like Earnings, Dividends, Splits.
Optionally plots bands above and below VWAP based on standard deviation or a percentage.
Supports up to 3 bands with customizable multipliers.
Will not display if the timeframe is daily or higher and the hideonDWM option is enabled.
Visual on chart: A main VWAP line with optional shaded bands.
2️⃣ RSI (Relative Strength Index) Signals
What it does:
Calculates RSI with a configurable period.
Identifies overbought and oversold zones using user-defined levels.
Generates buy/sell signals based on:
RSI crossing above oversold → Buy
RSI crossing below overbought → Sell
Detects strong signals using divergences:
Bullish divergence: Price makes lower low, RSI makes higher low → Strong Buy
Bearish divergence: Price makes higher high, RSI makes lower high → Strong Sell
Optional momentum signals when RSI crosses 50 after recent overbought/oversold conditions.
Visual on chart:
Triangles for buy/sell
Different color triangles/circles for strong and momentum signals
Background shading in RSI overbought/oversold zones
Alerts: The script can trigger alerts when any of these signals occur.
3️⃣ Fibonacci Levels
What it does:
Calculates Fibonacci retracement and extension levels based on the highest high and lowest low over a configurable lookback period.
Plots standard Fibonacci levels: 0.146, 0.236, 0.382, 0.5, 0.618, 0.786, 1.0
Plots extension levels: 1.272, 1.618, 2.0, 2.618
Helps identify potential support/resistance zones.
Visual on chart: Horizontal lines at each Fibonacci level, shaded with different transparencies.
Summary
This script is essentially a multi-tool trading indicator that combines:
VWAP with dynamic bands for trend analysis and price positioning
RSI signals with divergences for entry/exit points
Fibonacci retracement and extension levels for support/resistance
It is interactive and visual, providing both chart overlays and alert functionality for active trading strategies.
This code is provided for training and educational purposes only. It is not financial advice and should not be used for live trading without proper testing and professional guidance.
VWAP Volume Profile [BigBeluga]🔵 OVERVIEW
VWAP Volume Profile is an advanced hybrid of the VWAP and volume profile concepts. It visualizes how volume accumulates relative to VWAP movement—separating rising (+VWAP) and declining (−VWAP) activity into two mirrored horizontal profiles. It highlights the dominant price bins (POCs) where volume peaked during each directional phase, helping traders spot hidden accumulation or distribution zones.
🔵 CONCEPTS
VWAP-Driven Profiling: Unlike standard volume profiles, this tool segments volume based on VWAP movement—accumulating positive or negative volume depending on VWAP slope.
Dual-Sided Profiles: Profiles expand horizontally to the right of price. Separate bins show rising (+) and falling (−) VWAP volume.
Bin Logic: Volume is accumulated into defined horizontal bins based on VWAP’s position relative to price ranges.
Gradient Coloring: Volume bars are colored with a dynamic gradient to emphasize intensity and direction.
POC Highlighting: The highest-volume bin in each profile type (+/-) is marked with a transparent box and label.
Contextual VWAP Line: VWAP is plotted and dynamically colored (green = rising, orange = falling) for instant trend context.
Candle Overlay: Price candles are recolored to match the VWAP slope for full visual integration.
🔵 FEATURES
Dual-sided horizontal volume profiles based on VWAP slope.
Supports rising VWAP , falling VWAP , or both simultaneously.
Customizable number of bins and lookback period.
Dynamically colored VWAP line to show rising/falling bias.
POC detection and labeling with volume values for +VWAP and −VWAP.
Candlesticks are recolored to match VWAP bias for intuitive momentum tracking.
Optional background boxes with customizable styling.
Adaptive volume scaling to normalize bar length across markets.
🔵 HOW TO USE
Use POC zones to identify high-volume consolidation areas and potential support/resistance levels.
Watch for shifts in VWAP direction and observe how volume builds differently during uptrends and downtrends.
Use the gradient profile shape to detect accumulation (widening volume below price) or distribution (above price).
Use candle coloring for real-time confirmation of VWAP bias.
Adjust the profile period or bin count to fit your trading style (e.g., intraday scalping or swing trading).
🔵 CONCLUSION
VWAP Volume Profile merges two essential concepts—volume and VWAP—into a single, high-precision tool. By visualizing how volume behaves in relation to VWAP movement, it uncovers hidden dynamics often missed by traditional profiles. Perfect for intraday and swing traders who want a more nuanced read on market structure, trend strength, and volume flow.
VWAP with Trend Alerts [CrossTrade]The VWAP with Trend Alerts indicator is designed to provide a comprehensive visual and analytical tool for traders using the Volume Weighted Average Price (VWAP) along with additional features like custom bar coloring and trend-based signal alerts.
Key Components and Functionalities:
1. VWAP Calculation: The core of this indicator is the VWAP, which represents the average price of an asset, weighted by volume. It's a popular tool among traders to identify the general direction and strength of a trend, and for assessing entry and exit points.
2. Standard Deviation Bands: Surrounding the VWAP are multiple bands calculated based on standard deviation values. These bands serve as dynamic support and resistance levels. The script allows up to three bands, each with customizable multipliers, giving insights into price volatility and potential breakout or reversal points.
3. Bar Coloring Options:
- Color All Bars: When enabled, all bars on the chart are colored based on whether they close above (green) or below (red) the VWAP.
- Trend Bars Only: This option, when selected, colors only the bars that close beyond the second standard deviation band. It helps in identifying stronger trends and significant market movements.
4. Buy and Sell Signal Conditions: The script includes conditions for buy and sell signals specifically tailored for trend bars. A buy signal is generated when a bar closes above both the VWAP and the upper second standard deviation band, indicating a potential strong uptrend. Conversely, a sell signal is triggered when a bar closes below both the VWAP and the lower second standard deviation band, suggesting a strong downtrend.
5. Alert Conditions: To aid in timely decision-making, the script features alert conditions corresponding to the buy and sell signals.
Usage and Application:
- For Trend Identification: The VWAP and its bands can help identify the prevailing market trend. Bars closing consistently above the VWAP suggest an uptrend, while those closing below indicate a downtrend.
- Volatility Assessment: The standard deviation bands provide a visual representation of market volatility. Narrower bands suggest low volatility, while wider bands indicate high volatility.
- Signal Alerts for Trading: The buy and sell signals, especially those filtered by the trend bars condition, can be valuable for traders looking for strong movement confirmations.
Flexibility and Customization:
This indicator is highly customizable and builds off of the core logic found in standard VWAP indicators. By allowing traders to adjust the standard deviation multipliers and choose their preferred bar coloring strategy. It caters to various trading styles, whether focusing on the broader market trend or pinpointing significant trend-based movements.
Quantum VWAP ProThe VWAP indicator is another of our suite of volume indicators and one which was first referred to in 1988 when it appeared in an article entitled “The Total Cost Of Transactions On The NYSE” in the March edition of the Journal Of Finance from that year, which went on to explain its importance, particularly from an institutional perspective, which underpins its significance in appreciating the power and importance of this indicator.
In many ways, it is akin to the volume price analysis methodology itself, as we are merely attempting to follow the footprints in the sand left by their passage and described by volume. The same is true here, but in this case, we are following the institutions in much the same way.
Originally, the VWAP indicator was developed as a benchmark to measure whether an institutional customer received a fair execution of their order by the broker buying and selling on their behalf. The difference between the reported price and the VWAP gave the customer a benchmark against which to judge whether they had received a fair price or not. A portfolio manager for example, wants to know how the price they paid compared to the average price of the stock during the time it took to fill the order. If an order is filled at a worse price than the VWAP, it raises questions as to the ability of the broker. If the broker purchased a million shares at $40.50 and the VWAP during this time was at $40.70, the customer is likely to be happy since they paid 20 cents less than ‘fair value’. Equally, if the stock were purchased above, at, say $40.90 per share, the customer would consider this a poor trade, paying well above the fair value price at the VWAP.
The simplicity of this easy-to-understand benchmark, which creates this fair value price concept, has led to its wholehearted adoption amongst the institutions, and moreover, why algorithmic VWAP orders now dominate institutional market activity. A huge percentage of institutional orders are executed as VWAP orders, which raises two key questions. First of all, why, and second, how can we benefit from using the indicator?
If we start with the why, according to reports from the leading market makers, almost 40% of orders are now executed on this basis as they attempt to obtain a buy or sell price close to or better than the VWAP during the time it takes to complete the buy or sell order. These orders, therefore, help to hugely reinforce the importance of the VWAP since it is the guiding principle on which these orders are based. Even Warren Buffet uses VWAP, as evidenced when he sold his entire position in Southwest Airlines over two days, holding 2.3 million shares.
This highlights the key issues for any large institutional investor involving the price. If executed in a single order, an order to buy a large block of shares would almost certainly swamp the market, raising the price exponentially and, in addition, overwhelm the average volume traded in the day.
It is this issue of putting the price up against their own buying or conversely seeing the price fall as a result of their own selling that leads to the parent and child order scenario where significant block orders are broken into a multitude of smaller orders, which are duly executed over days, weeks or months. It is this aspect of institutional order execution that makes the VWAP such a potent indicator.
However, at Quantum Trading, we don’t just build a single indicator and leave it at that! We always take them to another level, and here we have done the same, bundling together a total of five indicators into one amazing value package so you can select your favorite from those on offer. The reason for this is we recognize the different ways the volume-weighted average price is used, which is why we offer a total of FIVE variants to choose from, and these are as follows:
VWAP – Volume Weighted Average Price
MVWAP – Moving Volume Weighted Average Price
AVWAP – Anchored Volume Weighted Average Price
TWAP – Time Weighted Average Price
Interday Volume Weighted Average Price
All five variants include the option to display upper and lower bands that act as envelopes above and below the VWAP based on standard deviation, which you can adjust and set yourself. These price envelopes become essential dynamic support and resistance levels, which can help predict the extremes of price action as it oscillates around the VWAP from the fastest to the slowest timeframes and everything in between.
All five indicators are packaged into one powerful indicator, which we have named the Quantum VWAP Pro indicator for obvious reasons, and as you would expect, it works in all markets and instruments, whether stocks, futures, ETFs, forex or cryptocurrencies.
Finally, as with all our indicators, we recommend you use it in multiple timeframes.
Multi Deviation VWAP [OmegaTools]The Multi Deviation VWAP is an original variation of the traditional VWAP indicator, designed to enhance your trading experience by providing more precise market insights. While the conventional VWAP calculates a single price level based on volume and price over a given period, the Multi Deviation VWAP goes a step further by introducing dynamic upper and lower bands that adapt to market conditions. These bands give traders a more comprehensive understanding of volatility and price action, making it an ideal tool for various trading strategies, especially for identifying potential price reversals or trend continuations.
Key Features:
Separate Calculation of Deviation Bands:
Unlike traditional VWAP bands, where both the upper and lower bands are symmetrically calculated using a single deviation value, the Multi Deviation VWAP calculates the deviations independently for the upper and lower bands. This allows for a more accurate reflection of market dynamics.
The upper deviation band is based on the average distance of closing prices above the VWAP, while the lower deviation band considers the average distance of closing prices below the VWAP.
This separation provides a more tailored approach, adapting to whether the market is showing bullish or bearish momentum, as opposed to a fixed, equal deviation in both directions.
Internal and External Bands:
Two sets of deviation bands are plotted: Internal Bands and External Bands, controlled by user inputs (factorone for internal and factortwo for external). These bands offer multiple levels of support and resistance based on market volatility.
The Internal Bands are closer to the VWAP and act as the first level of support/resistance, suitable for short-term or tighter trading ranges.
The External Bands are further from the VWAP and capture more significant market swings, useful for identifying larger trends or setting wider stop-losses.
Timeframe Flexibility:
The indicator allows traders to select the desired timeframe (1D by default) over which the VWAP and its deviation bands are calculated. This flexibility enables users to adapt the indicator to different trading styles, from intraday scalping to longer-term trend analysis.
Visual Enhancements:
Bullish and Bearish Colors: The bands are color-coded for quick visual interpretation. Bullish bands (lower deviations) are colored blue, while bearish bands (upper deviations) are colored red, making it easy to differentiate between market conditions at a glance.
Plot Fill: The area between the internal and external bands is shaded, providing clear visual zones of potential price containment, aiding in understanding the market structure and anticipating price movements.
How It Differs from a Standard VWAP:
Traditional VWAP provides a single price line that represents the volume-weighted average price over a given period, often used to identify general price trends.
In contrast, the Multi Deviation VWAP introduces upper and lower bands calculated separately based on price deviations above and below the VWAP, giving a more nuanced view of market volatility.
Symmetrical bands in traditional VWAP may not always accurately reflect the market's true behavior, especially in trending markets, where upward and downward price movements aren't always equal. By splitting the deviation calculations, this tool provides a more dynamic and realistic view of price action, adapting to whether the market is showing stronger upward or downward pressure.
Use Cases:
Trend Identification: The VWAP line acts as a central trend line, while the deviation bands offer levels of potential support and resistance. When price moves beyond the external bands, it may indicate overextension and potential reversal.
Volatility Trading: Traders can use the internal and external bands to set dynamic take-profit or stop-loss levels, allowing for flexible risk management depending on market conditions.
Range Trading: In consolidating markets, the Multi Deviation VWAP can help traders identify optimal buy and sell zones as the price oscillates between the upper and lower bands.
By incorporating independent deviation bands, this indicator provides traders with a more responsive tool that reflects market behavior more accurately, helping them make informed trading decisions with enhanced precision.
Anchored VWAP Hand-OffBrian Shannon's "VWAP hand off" strategy, Has been my "go to" for some time now. Version 5 makes this much easier, with drag and drop placement.
When price taps the base anchored VWAP, a second VWAP is plotted at that point. When price taps the second, a third is plotted, and so on.
Each consecutive VWAP can be used to identify trend and future pivot points as trend continues.
IF the VWAPS look messy, price action is choppy and a trend hasnt yet started.
VWAP Fibonacci Bands (Zeiierman)█ Overview
The VWAP Fibonacci Bands is a sophisticated yet user-friendly indicator designed to assist traders in visualizing market trends, volatility, and potential support/resistance levels. Developed by Zeiierman, this tool integrates the MIDAS (Market Interpretation Data Analysis System) methodology with Standard Deviation Bands and user-defined Fibonacci levels to provide a comprehensive market analysis framework.
This indicator is built for traders who want a dynamic and customizable approach to understanding market movements, offering features that adapt to varying market conditions. Whether you're a scalper, swing trader, or long-term investor.
█ How It Works
⚪ Anchor Point System
The indicator begins its calculations based on an anchor point, which can be set to:
A specific date for historical analysis or alignment with significant market events.
A timeframe-based reset, dynamically restarting calculations at the beginning of each selected period (e.g., daily, weekly, or monthly).
This dual-anchor method ensures flexibility, allowing the indicator to align with various trading strategies.
⚪ MIDAS Calculation
The MIDAS calculation is central to this indicator. It uses cumulative price and volume data to compute a volume-weighted average price (VWAP), offering a trendline that reflects the true value weighted by trading activity.
⚪ Standard Deviation Bands
The upper and lower bands are calculated using the standard deviation of price movements around the MIDAS line.
⚪ Fibonacci Levels
User-defined Fibonacci ratios are used to plot additional support and resistance levels between the bands. These levels provide visual cues for potential price reversals or trend continuations.
█ How to Use
⚪ Trend Identification
Uptrend: The price remains above the MIDAS line.
Downtrend: The price stays below the MIDAS line and aligns with the lower bands.
⚪ Support and Resistance
The upper and lower bands act as support and resistance levels.
Fibonacci levels provide intermediate zones for potential price reversals.
⚪ Volatility Analysis
Wider bands indicate periods of high volatility.
Narrower bands suggest low-volatility conditions, often preceding breakouts.
⚪ Overbought/Oversold Conditions
Look for the price beyond the upper or lower bands to identify extreme conditions.
█ Settings
Set Anchor Method
Anchor Method: Choose between Timeframe or Date to define the starting point of calculations.
Anchor Timeframe: For Timeframe mode, specify the interval (e.g., Daily, Weekly).
Anchor Date: For Date mode, set the exact starting date for historical alignment.
Set Std Dev Multiplier
Controls the width of the bands:
Higher values widen the bands, filtering out minor fluctuations.
Lower values tighten the bands for more responsive analysis.
Set Fibonacci Levels
Define custom Fibonacci ratios (e.g., 0.236, 0.382) to plot intermediate levels between the bands.
█ Tips for Fine-Tuning
⚪ For Trend Trading:
Use higher Std Dev Multipliers to focus on long-term trends and avoid noise. Adjust Anchor Timeframe to Weekly or Monthly for broader trend analysis.
⚪ For Reversal Trading:
Tighten the bands with a lower Std Dev Multiplier.
Use shorter anchor timeframes for intraday reversals (e.g., Hourly).
⚪ For Volatile Markets:
Increase the Std Dev Multiplier to accommodate wider price swings.
⚪ For Quiet Markets:
Decrease the Std Dev Multiplier to highlight smaller fluctuations.
-----------------
Disclaimer
The information contained in my Scripts/Indicators/Ideas/Algos/Systems does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts/Indicators/Ideas/Algos/Systems are only for educational purposes!
MTF RSI VWAP Directional-Bias Barcolor [Intromoto]Hey traders.
This indicator displays one of five barcolors, whether the multi-timeframe VWAP RSI set , variable by user, are above or below the 50% midline of the standard normalized oscillator.
The standard resolutions I've set as default:
1 minute
3 minute
5 minute
15 minute
These can be changed, but this is designed for low time-frame and if increased you'll likely not get signals as useful.
RSI VWAP functions similarly to the standard RSI but takes volume-weighted price into the calculation. VwapRSI = rsi(vwap(close), length).
The barcoloring indicates as follows:
Red: Start downtrend - Long exit
vwapRSI1< 50, vwapRSI2 > 50, vwapRSI3 >50, vwapRSI4 >50
Dull Green: Start-mid uptrend - buy/long continuation
All vwapRSI above 50
Pink: Mid-end downtrend - sell/short continuation
All vwapRSI below 50
Bright Green: New Uptrend attempt - Long entry
vwapRSI1> 50, vwapRSI2 > 50, vwapRSI3 >50, vwapRSI4 >50
Black: Chop / weak trend
Null / Differing combination of above and below - no clear trade. Black often shows when momentum is low.
This should be used with other factors like market structure and in confluence with other indicators. Be aware and avoid barcolor divergence to the trend, especially considering use on lower time frames. i.e Green bars that start at a peak and travel downwards.
Focus should be given to candle border/wick color and the barcolor. i.e Down red candle with red or pink barcolor.
Feel free to experiment with the MTF function, as it likely differs across assets and time frames.
PM me for access.
Multi-Day VWAP V2Updated from V1.
Chart the multi-day Volume Weighted Average Price ( VWAP ). Normally, the VWAP is tracked for the current day, from the first bar of the day (regular or extended session). The VWAP shows the current value of:
-> sum(hlc3 * volume , barsForDay) / sum( volume , barsForDay),
-> where 'barsForDay' is the total number bars that have elapsed during the day for the chart interval.
The multi-day version tracks the VWAP for N days back, by averaging the previous N - 1 day bars VWAP and the current VWAP for the current bar (chart interval).
This is very different that simply using a volume weighted moving average , since the closing VWAP values are used for the historical day bars. The results are interesting for intraday trades... especially for values of 1, 2, 3, 4, and 5 days.
Version 2 includes the closing VWAP for the previous day. There are enough instances where the price chooses to bounce from the previous day's closing VWAP value that it is worth discussing. Usually this value is at or near the daily pivot, but sometimes not. Circled in the chart are some areas of recent SPY bounces on the previous day's closing VWAP.
It seems that when the 5-Day VWAP and normal VWAP have "enough" percentage separation, that there can be good intraday swing opportunities using bounces off VWAP indicators. This is similar to waiting for Hourly/Daily/Weekly/Monthly/etc pivots to have "enough" separation to allow for swing setups. When pivots are "closely" spaced, odds are the price is range bound for the time period (daily range in the case of day pivots, etc).
Previous closing VWAPs can be plotted for all 5 of the original. As with my other scripts, I welcome all comments to spark new ideas that we can all benefit from.
Enjoy.
VWAP ±2σ Entry Signals (volume Weighted)This indicator builds a session based VWAP and plots the upper and lower 2nd standard deviation bands around it. These bands act as dynamic volatility edges for the session. When price reaches these outer bands, it often represents an extreme stretch away from fair value a place where mean reversion or exhaustion can occur.
The indicator generates trade signals only when price approaches the band from the correct direction, which filters out a lot of noise and reduces false touches.
How It Works
VWAP is calculated from the start of each session.
Standard deviation is computed using volume weighted prices, so the bands expand and contract with real market activity.
The upper and lower 2σ bands form natural "overextended" zones around VWAP.
Most VWAP band strategies fire signals every time price touches a band which produces a lot of junk signals.
This version avoids that by requiring direction based touches, meaning:
If price is already above the band, no sell signal appears.
If price is already below the band, no buy signal appears.
VWAP Band TrendThis indicator combines two features: VWAP bands for range trading and trends for trend-following.
The white bands offer support/resistance levels ideal for range trading: short when rejecting off the upper band, long when rejecting off the lower. Take profit either when hitting the (faint gray) midline and/or when hitting the band on the far side.
The trend analysis shows green or red ranges above or below the bands to indicate trend strength - larger swaths of green or red indicates strong trend while shorter swathes indicate weak. If the upper trend color doesn't match the lower trend color, the trend is undecided or transitioning.
Optionally, trend initiation indicators can be turned on to show above/below candles where a trend switch is taking place.
[KICK] Ultimate VWAPsThis indicator provides numerous indicator tools/functions all related to Volume Weighted Price Averages (VWAPs). Specifically the ability to add multiple anchored VWAPs to arbitrary points (highs, lows, significant events such as earnings , flash crashes, etc...) is a very powerful way to see where market participants that were active at those times are in regards those positions relative to current price.
With this indicator you can:
Enable a typical session-based VWAP (resets every session) - does not render line from last candle of session to first candle of new session so as to keep your charts looking a bit neater.
Enable a week-to-date VWAP , month-to-date VWAP , or year-to-date VWAP
Enable an anchored VWAP that can be automatically anchored to the high within the last week (timeframe independent) or to a high within a certain number of candles back, or set to a specific date and time. There is also an "ignore" recent candle filter if using the candle range method for auto-locating the high.
Enable an anchored VWAP that can be automatically anchored to the low within the last week (timeframe independent) or to a low within a certain number of candles back, or set to a specific date and time. There is also an "ignore recent candle" filter if using the candle range method for auto-locating the low.
The week/month/year-to-date VWAP can also be treated as an Ad-Hoc anchored VWAP and have it’s anchor set to an arbitrary date and time.
A support/resistance line can be added in for the last session’s VWAP close.
Z-Score bands can be added (band values configurable) and attached to any of the above VWAPs (Session, AutoHigh, AutoLow, AdHoc/Week/Month/Year). These are calculated using the proper unbiased standard deviation calculation (not the built in PineScript biased stdev function).
(note: not all functionality is shown in the chart above because it would be a mess - all the options for this indicator are not necessarily intended to be used simultaneously on the same chart, though they can be if you really like that sort of thing)
Use the link below to watch a tutorial video, request a trial, or purchase for access.
Dynamic VWAP: Fair Value & Divergence SuiteDynamic VWAP: Fair Value & Divergence Suite
Dynamic VWAP: Fair Value & Divergence Suite is a comprehensive tool for tracking contextual valuation, overextension, and potential reversal signals in trending markets. Unlike traditional VWAP that anchors to the start of a session or a fixed period, this indicator dynamically resets the VWAP anchor to the most recent swing low. This design allows you to monitor how far price has extended from the most recent significant low, helping identify zones of potential profit-taking or reversion.
Deviation bands (standard deviations above the anchored VWAP) provide a clear visual framework to assess whether price is in a fair value zone (±1σ), moderately extended (+2σ), or in zones of extreme extension (+3σ to +5σ). The indicator also highlights contextual divergence signals, including slope deceleration, weak-volume retests, and deviation failures—giving you actionable confluence around potential reversal points.
Because the anchor updates dynamically, this tool is particularly well suited for trend-following assets like BTC or stocks in sustained moves, where price rarely returns to deep negative deviation zones. For this reason, the indicator focuses on upside extension rather than symmetrical reversion to a long-term mean.
🎯 Key Features
✅ Dynamic Swing Low Anchoring
Continuously re-anchors VWAP to the most recent swing low based on your chosen lookback period.
Provides context for trend progression and overextension relative to structural lows.
✅ Standard Deviation Bands
Plots up to +5σ deviation bands to visualize levels of overextension.
Extended bands (+3σ to +5σ) can be toggled for simplicity.
✅ Conditional Zone Fills
Colored background fills show when price is inside each valuation zone.
Helps you immediately see if price is in fair value, moderately extended, or highly stretched territory.
✅ Divergence Detection
VWAP Slope Divergence: Flags when price makes a higher high but VWAP slope decelerates.
Low Volume Retest: Highlights weak re-tests of VWAP on low volume.
Deviation Failure: Identifies when price reverts back inside +1σ after closing beyond +3σ.
✅ Volume Fallback
If volume is unavailable, uses high-low range as a proxy.
✅ Highly Customizable
Adjust lookbacks, show/hide extended bands, toggle fills, and enable or disable divergences.
🛠️ How to Use
Identify Buy and Sell Zones
Price in the fair value band (±1σ) suggests equilibrium.
Reaching +2σ to +3σ signals increasing overextension and potential areas to take profits.
+4σ to +5σ zones can be used to watch for exhaustion or mean-reversion setups.
Monitor Divergence Signals
Use slope divergence and deviation failures to look for confluence with overextension.
Low volume retests can flag rallies lacking conviction.
Adapt Swing Lookback
30–50 bars: Faster re-anchoring for swing trading.
75–100 bars: More stable anchors for longer-term trends.
🧭 Best Practices
Combine the anchored VWAP with higher timeframe structure.
Confirm signals with other tools (momentum, volume profiles, or trend filters).
Use extended deviation zones as context, not as standalone signals.
⚠️ Disclaimer
This script is for educational and informational purposes only. It does not constitute financial advice or a recommendation to buy or sell any security or asset. Always do your own research and consult a qualified financial professional before making any trading decisions. Past performance does not guarantee future results.
Volume Weighted Average Price (VWAP) with Extras [starlord_xrp]This script builds on the standard VWAP buy adding anchor selections for new High, new Low, and for extreme price moves (Percent Change) that can be significate anchor points for the VWAP. The Percent Change is based on "% Price Change" by OrganicPunch and uses a percentage threshold that can be set in the settings.
VWAP Stdev Bands Multi Time Frame SBTCProviding a useful update to Vwap STDEV bands, including multi timeframe functionality. Shown above is monthly VWAP Stdev Bands.
Swing-Based VWAPSwing-Based VWAP
Summary:
The "Swing-Based VWAP" indicator enhances traditional VWAP calculations by incorporating swing-based logic. It dynamically adapts to market conditions by identifying key swing highs and lows and calculating VWAP levels around these pivot points. This makes it a versatile tool for traders seeking actionable price insights.
Explanation:
What is Swing-Based VWAP?
The Swing-Based VWAP is a modified version of the Volume-Weighted Average Price (VWAP). It calculates VWAP not only for a chosen timeframe (e.g., session, week) but also adapts dynamically to market swings. By identifying swing highs and lows, it offers more precise levels for potential price action.
Unique Features:
1. Dynamic Swing Integration:
- Uses pivot points to determine significant price levels.
- Calculates VWAP based on these points to adapt to market trends.
2. User-Friendly Settings:
- Includes options to hide VWAP on higher timeframes for chart clarity.
- Flexible swing size input for adjusting sensitivity.
How to Use:
1. Configuring Swing Settings:
- Use the "Swing Setting" input to determine the sensitivity of swing detection.
- Higher values identify broader swings, while smaller values capture more granular movements.
2. Enabling/Disabling VWAP:
- Toggle VWAP visibility using the "Use VWAP" option.
- The "Hide VWAP on 1D or Above" setting lets you control visibility on higher timeframes.
3. Anchor Period:
- Select your preferred anchoring period (e.g., session, week) to match your trading style.
4. Adjusting the Data Source:
- Use the "Source" input to select the price source (default: HLC3).
5. Visualizing Swing-Based VWAP:
- The script plots a dynamic VWAP line based on detected swing points.
- This line highlights average price levels weighted by volume and swing pivots.
VWAP LEVELS [PRO]32 VWAP levels with labels and a table to help you identify quickly where current price is in relation to your favorite VWAP pivot levels. To help reduce cognitive load, 4 colors are used to show you where price is in relation to a VWAP level as well as the strength of that respective level. Ultimately, VWAP can be an invaluable source of support and resistance; in other words you'll often see price bounce off of a level (whether price is increasing or decreasing) once or multiple times and that could be an indication of a price's direction. Another way that you could utilize this indicator is to use it in confluence with other popular signals, such as an EMA crossover. Many traders will wait till a bar's close on the 5m or 10m time frame above a VWAP level (developing 1D VWAP would be a popular choice) before making a decision on a potential trade especially if price is rising above the 1D VWAP *and* there's been a recent 100 EMA cross UP of the 200 EMA. These are 2 bullish signals that you could look for before possibly entering in to a trade.
I've made this indicator extremely customizable:
⚡Each VWAP level has 2 labels: 1 "at level" and 1 "at right", each label and price can be disabled
⚡Each VWAP label has its own input for label padding. The "at right" label padding input allows you to zoom in and out of a chart without the labels moving along their respective axis. However, the "at level" label padding input doesn't work the same way once you move the label out of the "0" input. The label will move slightly when you zoom in and out
⚡Both "current" and "previous" VWAP levels have their own plot style that can be changed from circles, crosses and lines
⚡Significant figures input allows you to round a price up or down
⚡A price line that allows you to identify where price is in relation to a VWAP level
⚡A table that's color coded the same way as the labels. The labels and table cells change to 1 of 4 colors when "OC Check Mode" is enabled. This theory examines if the VWAP from the Open is above or below the VWAP from Close and if price is above or below normal VWAP (HLC3). This way we have 4 states:
Red = Strong Downtrend
Light Red = Weak Downtrend
Light = Weak Uptrend
Green = Strong Uptrend
Something to keep in mind: At the start of a new year, week or month, some levels will converge and they'll eventually diverge slowly or quickly depending on the level and/or time frame. You could add a few labels "at level" to show which levels are converging at the time. Since we're at the beginning of a new year, you'll see current month, 2 month, 3 month etc converge in to one level.
🙏Thanks to (c)MartinWeb for the inspiration behind this indicator.
🙏Thanks to (c)SimpleCryptoLife for the libraries and code to help create the labels.
VWAP RollingThis indicator, referred to here as "VWAP Rolling," is a technical tool designed to provide insight into the average price at which an asset has traded over a specified rolling period, along with bands that can indicate potential overbought or oversold conditions based on standard deviations from this rolling VWAP.
Purpose and Utility:
The indicator's primary purpose is to track the volume-weighted average price (VWAP) over a specified period, typically 20 bars in this script. The VWAP Rolling is particularly useful in assessing the average price level at which a security has been traded over the recent history, incorporating both price and volume data. This can help traders understand the prevailing market price in relation to trading volume.
Advantages:
1. Dynamic Average: Unlike fixed VWAP indicators that calculate over a specific session, the rolling VWAP adapts to recent price and volume changes, offering a more responsive and dynamic average.
2. Volume Sensitivity: By weighting prices by volume, the rolling VWAP gives more importance to periods with higher trading activity, providing a clearer picture of where significant trading has occurred.
3. Standard Deviation Bands: The inclusion of standard deviation bands (configurable as 1x and 2x deviations in this script) around the rolling VWAP adds a layer of analytical depth. These bands can serve as potential areas of support and resistance, highlighting deviations from the mean price.
Singularization and Interpretation:
The VWAP Rolling indicator is singularized by its ability to adapt to changing market conditions, offering a dynamic representation of the average price level influenced by volume. To use and interpret this indicator effectively:
• Rolling VWAP Line: The main line represents the rolling VWAP. When this line trends upwards, it suggests that recent trading has been occurring at higher prices weighted by volume, indicating potential bullish sentiment. Conversely, a downtrend in the rolling VWAP may indicate bearish sentiment.
• Standard Deviation Bands: The upper and lower bands (configurable as 1x and 2x standard deviations from the rolling VWAP) are used to identify potential overbought or oversold conditions. A price crossing above the upper band may indicate overbought conditions, signaling a potential reversal or correction downwards. Conversely, a price crossing below the lower band may suggest oversold conditions, potentially signaling a bounce or reversal upwards.
• Band Interaction: Watch for interactions between price and these bands. Repeated touches or breaches of the bands can provide clues about the strength of the prevailing trend or potential reversals.
Interpretative Insights:
• Trend Confirmation: The direction of the rolling VWAP can confirm or contradict the prevailing price trend. If the price is above the rolling VWAP and the VWAP is rising, it suggests a strong bullish sentiment. Conversely, a falling rolling VWAP with prices below might indicate a bearish trend.
• ean Reversion Signals: Extreme moves beyond the standard deviation bands may signal potential mean reversion. Traders can look for price to revert back towards the rolling VWAP after such deviations.
In summary, the VWAP Rolling indicator offers traders a flexible tool to gauge average price levels and potential deviations, incorporating both price and volume dynamics. Its adaptability and standard deviation bands provide valuable insights into market sentiment and potential trading opportunities.
