The weekly VWAP is the volume-weighted average price (VWAP) of a security for the current trading month and is frequently tracked by institutional investors. Other than the below description, you may also review our Weekly VWAP Indicator Spotlight (with video).
Indicator Description
Apart from the open source version of the weekly VWAP described below, we also offer a Professional VWAP Suite. To compare to the Library vs. Premium versions, please refer to this link.
The weekly VWAP is the volume-weighted average price (VWAP) and reflects how market prices have developed during the current week. In particular, the indicator tracks the trading volume for the week, placing more weight on large trades and less for smaller ones. Many institutional traders will therefore pay close attention to the Current Week VWAP. They will try to buy/sell as close as possible to this benchmark and execution is measured as good vs. bad by how far removed it was from the Current Week VWAP.
Custom Weekly VWAP Calculations
The Current Week VWAP can be set to calculate using the full session or be based on custom hours, such as the regular session. If a custom / regular session is used, the weekly VWAP will pause outside the specified time window. The indicator also comes with volume-weighted standard deviation bands. Although the VWAP uses volume information, we recommend setting it to “Calculate” = “On price change” as there is no added benefit to recalculate with each incoming tick.
The indicator will calculate a weekly VWAP and accurate bands when applied to high resolution charts. However, when used with higher timeframe charts, the plots may be few ticks off the correct value.
On our blog we have posted additional information on trading with VWAPs. The Indicator Library additionally has a Current Day Median, Current Day VWAP, Current Month VWAP, Current N-Monthly VWAP, Current Day TWAP, Current Week TWAP, Current Month TWAP and the Current N-Month TWAP.
The weekly VWAP is available for NinjaTrader 8.