VWAP/MVWAP

Overview

The Volume Weighted Average Price (VWAP) or Moving Volume Weighted Average Price (MVWAP) is a trading benchmark used by traders that gives the average price a security has traded at throughout the day, based on both volume and price. It is important because it provides traders with insight into both the trend and value of a security.

Interpretation

The VWAP is interpreted as follows:

  • If the price is above the VWAP line, this is often considered a bullish signal. The stock is said to be trading 'at a premium' to the VWAP.

  • If the price is below the VWAP line, this is often considered a bearish signal. The stock is said to be trading 'at a discount' to the VWAP.

Indicator Triggers:

In Zone: Price is greater/lower than the VWAP

We want to place a long & short signal as long as the price is higher or lower than the daily VWAP.
A long signal is triggered during all the selected zone, which is true all the time while the price is higher than the VWAP.

Price cross up/down the VWAP

We consider only body closes for this trigger. If the price cross up/down the VWAP line, but the candle body close is coming back to the initial side, no signal will be triggered.

We want to long or short only after the price has crossed up or down daily VWAP. The signal will be active only during the following 5mins candle.
A long & short signal are triggered just after the price crossed up then down the VWAP during 1 candle time, and not all the time when price is higher or lower.

Price sustain X % above/under the VWAP

A long signal is triggered if price sustain above 1% above daily VWAP for at least 3 candles of 5 minutes.
A long signal is triggered as price sustained 1% above VWAP for 3 consecutives 5mins candles.

Touch VWAP Line

The touch line trigger considers the value of the VWAP line at the close of the previous candle (since the current value is not known, as it has not closed yet).

A long signal is triggered if price touch down the daily VWAP line.
A long signal is triggered as price touched down daily VWAP.

Option : Includes price reversal into the candle wick

Feature available on some bands / line indicators

If this option is deactivated, the touch is triggered only if the opening of the candle is in the correct zone (touch up = opening below the trigger price).

With this option activated, even if we start above the trigger price (in the case of a touch up), if during the candle the price dumps below the trigger price and then reverses above, then we trigger at the moment of the internal touch up.

Note : for now, whether it's ON or OFF it only triggers once per candle max (duration of the trigger for the rest of the candle). Example with this option OFF :

Deactivated feature Includes price reversal into the candle wick

Example with this option ON :

Activated feature Includes price reversal into the candle wick

VWAP Strategy tips :

  • If you only want to display the vwap line, put factor 0 and your desired reset period, for example, if you want to display the daily vwap, put factor 0 with a reset period of 1 day.

  • If you want a VWAP with its standard deviations, you can put on the chart as many vwaps as you want and increase the factors to get the desired deviations.

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