VWAP St. Dev Bands

The VWAP St. Dev Bands indicator provides a volume-weighted average price (VWAP) calculation integrated with up to three customizable standard deviation bands to help identify volatility extremes and potential mean reversion zones.

Usage

The tool is primarily designed for intraday trading, though it supports various anchor periods for longer-term analysis. Traders typically use the standard deviation bands as follows:

• Mean Reversion: When price reaches the outer bands (e.g., 2.0 or 3.0 standard deviations), it is often considered overbought or oversold, suggesting a potential move back toward the VWAP line.
• Trend Confirmation: Trading above or below the VWAP line can indicate the intraday trend bias.
• Support/Resistance: The various band levels often act as dynamic support or resistance areas during the trading session.

Details

The script calculates VWAP by accumulating the product of price and volume, divided by the total volume within a specific anchor period. Standard deviation is calculated using the variance of the source price relative to the VWAP. Unlike standard Bollinger Bands which use a simple moving average, these bands are volume-weighted, making them more reactive to high-activity price levels. The indicator also features a color gradient on the VWAP line that changes based on price momentum relative to a smoothed average.

Settings

Main Settings

• VWAP: Toggles the visibility of the VWAP line and all associated bands.
• Hide VWAP on 1D or Above: When enabled, the indicator will not display on daily timeframes or higher.
• Anchor Period: Sets the reset interval for the VWAP calculation (e.g., Session, Week, Month, Year, or even Earnings/Dividends).
• Source: Determines the price input used for the calculation (default is HLC3).

Colors

• Bullish Color: Sets the color for bullish momentum gradients and upper bands.
• Bearish Color: Sets the color for bearish momentum gradients and lower bands.

VWAP Bands

• Calculate Band 1/2/3: Toggles each of the three standard deviation bands.
• Bands Multiplier 1/2/3: Adjusts the standard deviation multiplier for each band (e.g., 1.0, 2.0, 3.0).

FAQ

How do I access the VWAP St. Dev Bands?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.

What is the best anchor period for day trading?

For most day traders, the "Session" anchor is the standard choice as it resets at the start of each new trading day.

Can I set alerts for the bands?

Yes, the script includes built-in alert conditions for price crossing the main VWAP line and the third (outermost) set of bands.