Session VWAPs

Indicator Description

Many institutional traders have their trade execution measured by the VWAP. It is therefore an important price benchmark and used to control transaction costs. The daily, weekly, monthly and N-monthly VWAPs are moving averages, anchored at the beginning of each period. All VWAP indicators plot with standard deviation bands, calculated as a volume-weighted standard deviation from all trade data. You may also plot bands using a residual standard deviation-, residual mean absolute standard deviation, or the quartered range calculation.

Range Weighted Average Price (RWAP):

In the event that volume data is unavailable (or unreliable), you may choose the range-weighted average price (RWAP). The RWAP indicators have exactly the same properties as the VWAP indicator. However, the weighting is not based on volume data but the squared ranges of the price bars. RWAPs work particularly well for FOREX instruments and crypto currencies.

Accordingly, the Premium Session VWAPs contains a total of 8 different indicators; 4 VWAPs and 4 RWAPs all anchored to the various session starting points. In addition you also get the rolling VWAPs/RWAPs, calculating an average price for a rolling window of N-business days. This indicator is useful for determining higher timeframe trends and overbought or oversold scenarios.

Prior Value Average High/Low:

Aside from the current selected period, all indicators allow for display of the average price and the value area for the prior day, week or month. Typically, you will see a test of the value area during the current period, unless there is a runaway trend. Furthermore all indicators allow for displaying several average price levels from prior periods. For example, you may display VWAP or RWAP for the prior 3 weeks, then compare them to the VWAP/RWAP of the current week and thereby define the trend.

Finally, the Premium VWAP indicator package applies a multiple time series function. This improves accuracy when used on higher timeframe charts. Specifically, a secondary bar series makes continuous calculations for bars that otherwise only would calculate on at the close of the higher timeframe bar series.

For futures contracts that are traded on CME, CBOT, EUREX, ICE or NYMEX, the indicators allow to calculate correct VWAPs for extended trading days and take into account current holiday schedules.

Finally, the premium version comes with market analyzer columns. Specifically, the Market Analyzer returns information on the VWAP trend bias and where the close is in relation to the standard deviation bands. By using the Market Analyzer you then quickly determine whether an instrument is trading within VWAP value, i.e. above/below the 1st standard deviation bands or approaching an overbought/oversold scenario, i.e. above/below the 2nd standard deviation bands.

For suggestions on how to apply the indicator in a trading strategy, please review our posts on VWAP Trading in Multiple Timeframes and Reversal Patterns WITH the Trend. Finally, the Weekly VWAP was discussed in our Indicator Spotlight newsletter.

Our VWAP indicator package is available for NinjaTrader 7 and 8.