Session VWAP
VWAP re-anchored each session, week or month, with two standard deviation bands and a session start hour you can set yourself.
About this indicator
VWAP is not another moving average. It is the number a large desk's execution gets scored against, which is why price respects it in a way it never respects a 50 period average. Anchor it to the session, the week, the month, or a rolling window. The session start hour is configurable, so it lines up with the futures open or your broker's day rather than assuming midnight. Two deviation bands are computed from the volume-weighted variance of price around the running VWAP, not from a plain standard deviation of closes. On thin sessions that distinction is the difference between a band that means something and one that does not. If your feed has no volume, an option weights every bar equally, which quietly turns it into an anchored average price. That is a worse tool, and it says so rather than pretending the number is a real VWAP.
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