VWAP Master

Getting started#

1. 1
   Open TradingView and click Indicators

   Search for "VWAP Master SimpleAlgo" in the Community scripts tab.
2. 2
   Add VWAP Master to your chart
3. 3
   Keep the defaults

   Rolling VWAP over 100 bars works on any timeframe. Switch to Session for the classic intraday VWAP.
4. 4
   Add alerts if you want them

   Set them to "Once per bar close".

What you see on the chart#

• The VWAP line. It turns the up colour once price has closed at least 0.3 deviations above VWAP for 3 bars, and the down colour for the same below.
• Two gradient bands, from 1.5 to 3.25 deviations. The top band is in the down colour and the bottom in the up colour, because that's the way a bounce off each goes.
• Candles coloured by distance from VWAP. Dim candles right on the line mean price is at value and nobody has the edge.
• A Stretched tag the first time a visit to a band reaches 2 deviations. One per visit.
• A bounce arrow when price turns back toward VWAP. A + means price reached the outer edge of the band first.
• A panel showing deviations from VWAP, status, VWAP direction and the last event.

How it works#

VWAP and anchors#

By default it's a rolling VWAP: the volume-weighted average of typical price over the last 100 bars. It never resets, so the line and bands stay smooth. Switch the anchor to Session, Week, Month or Year for the classic version, which restarts each period with a small break in the line.

Deviation and bands#

Deviation is the volume-weighted standard deviation around VWAP over the same window, lightly smoothed in rolling mode and never below a third of an ATR, so the first bars after a reset don't all look stretched. Each band is seven layers a quarter deviation wide, faint inside and brightest at the outer edge.

Stretched and bounce#

A visit starts when a bar closes 1.5 deviations or more from VWAP. The first time it reaches 2 deviations, the Stretched tag prints. After that, the first bar that closes back inside the 1.5 line on a candle pointing at VWAP gets an arrow, as long as the turn happens within 3 bars of the last close inside the band.

One per visit#

A visit isn't over until price is back within half a deviation of VWAP. A second arrow on the same visit needs price to go at least half a deviation deeper, and there are never fewer than 10 bars between two arrows on the same side. That keeps the chart clean.

Trend#

The panel shows whether VWAP is rising, falling or flat over the last 20 bars, and you can skip bounces that go against it.

How to use it#

Start with the line and the candles: up colour, price is holding above value; down colour, below. The bands are the stretched zone. The tag is the heads-up, the arrow is the turn.

Before acting on an arrow, check the VWAP row in the panel. A bounce up toward a rising VWAP is a pullback in an uptrend. A bounce up toward a falling one is a fade against the trend and needs more care. To see only the first kind, turn on Skip bounces against the trend.

• Rolling: a smooth read on any timeframe.
• Session: the intraday VWAP most traders reference.
• Week or Month: suited to swing trading.

Settings#

Alerts#

• Stretched above value, Stretched below value.
• Bounce down, Bounce up. The message says if it was a + bounce.

Set alerts to "Once per bar close". Tags and arrows are decided on closed bars and never move afterwards.

Notes and limits#

• The rolling anchor is a volume-weighted moving average, not the session VWAP. Switch to Session if that's what you want.
• On forex and CFDs volume is usually tick volume.
• Symbols with no volume use a time-weighted version, and the panel says no volume.
• In anchored modes the bands are narrow right after a reset and widen as the period builds.
• Mean reversion to value works best in ranges. In strong trends price can hold inside a band for a long time.