Rolling VWAP
- Indicators
- Ivan Stefanov
- Version: 1.1
- Updated: 14 November 2024
- Activations: 20
Rolling VWAP calculates the Volume Weighted Average Price (VWAP) based on tick volume over a set number of candles, with optional standard deviation bands for deeper market analysis. It is non-redrawing. Non-anchored.
Indicator Overview
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Rolling VWAP Calculation: The main line (blue) calculates the VWAP for a specific number of bars ( barsToCalculate ). This VWAP is adjusted to account for each bar's tick volume, weighting the typical price accordingly.
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Deviation Bands: The indicator has two additional lines, representing the upper (lime) and lower (red) standard deviation bands. These bands are calculated based on a user-defined deviation multiplier ( DEV1 ), providing a visual boundary around the VWAP. The default setting for DEV1 is 3.0, meaning the bands are three standard deviations away from the VWAP line, which can be adjusted as needed.
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User Inputs:
- DEV1 : Multiplier for the standard deviation bands.
- barsToCalculate : Number of bars to consider for the VWAP and standard deviation calculations. The default is set to 34, though this can be changed based on your trading strategy.
Usage and Application
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Trend Identification: The Rolling VWAP line provides an idea of the market's average price level over a set period. When the price is above the aqua Rolling VWAP line, it generally indicates a bullish trend, suggesting upward momentum. Conversely, when the price is below this line, it signals a bearish trend. The aqua line acts as the trend’s support line; if the price moves below it, this may indicate a potential shift in the trend.
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Support and Resistance: The upper and lower bands act as dynamic support and resistance levels. Prices approaching or moving beyond these levels might indicate high volatility or the exhaustion of a price move.
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Customization: You can customize the number of bars for VWAP calculation and adjust the standard deviation multiplier to match your analysis style. Increasing the barsToCalculate smooths out the VWAP, which can be useful for identifying longer-term trends.
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Chart Interpretation:
- Blue Line: The Rolling VWAP line, indicating the average market price adjusted for volume. It serves as the support line of the trend: above it, the market is bullish; below it, bearish.
- Lime Dotted Line: Upper band, representing the VWAP plus DEV1 standard deviations.
- Red Dotted Line: Lower band, representing the VWAP minus DEV1 standard deviations.
This indicator is well-suited for intraday analysis and can be combined with other indicators to enhance trade entry and exit signals based on volume and price action. Adjust the settings based on market volatility and timeframes for optimal use.
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