Current Month VWAP

The monthly VWAP is the volume-weighted average price (VWAP) of a security for the current trading month and is frequently tracked by institutional investors.

The Current Month VWAP

Indicator Description

Apart from the open source version of the monthly VWAP described below, we also offer a Professional VWAP Suite. To compare to the Library vs. Premium versions, please refer to this link.

The Current Month VWAP will show you how a security’s price has developed for the current month. Specifically, the indicator will dynamically account for market impact, placing greater emphasis on large trades vs. smaller ones. Also, many institutional traders will see performance measured by the volume weighted average price. Good execution will be close or better than the average price whereas poor execution will be more than one standard deviation off. Therefore, you may apply the monthly VWAP as trend filter, or to determine areas of support / resistance.

Custom Monthly VWAP Calculations

The monthly VWAP can be set to calculate using the full session. Alternatively, it may be set to calculate for custom hours such as the regular session. When a custom session is selected, the monthly calculation will pause outside the selected custom hours. The monthly VWAP further comes with volume-weighted standard deviation bands. Although the indicator relies on volume information, it is best set to “Calculate” = “On price change”. It is not necessary to recalculate it with each incoming tick.

The Current Month VWAP calculates the volume-weighted average price and accompanying standard deviation bands when applied to high resolution charts. When used with higher timeframe charts, the plots may be a few ticks off the correct value.

Other Library Indicators

On our blog we have posted additional information on higher timeframe VWAPs (with video) and VWAP trading setups. Our Indicator Library also features the Current Day Median, Current Day VWAP, Current Week VWAP, Current N-Month VWAP, Current Day TWAP, Current Week TWAP, Current Month TWAP, Current N-Month TWAP, in addition to our Premium VWAP Package.

The monthly VWAP indicator is available for NinjaTrader 8.

Current Month VWAP