VWAP2D+

The VWAP2D+ indicator tracks the Volume Weighted Average Price (VWAP) for both the current and previous trading sessions, providing traders with critical intraday benchmarks for price action analysis. This tool is designed to assist intraday traders in identifying value areas, optimizing entries/exits, and detecting abnormal price deviations relative to time-of-day averages.

Usage

The Usage section highlights how the script monitors price relation to session-based volume-weighted averages.

• Intraday Benchmarks: Use the current day's VWAP (Latest) and the previous day's VWAP (Previous) as dynamic support and resistance levels.
• Deviation Analysis: The tool calculates an average deviation for specific times of the day based on historical data. When the price exceeds these historical norms, gradient zones (warm for positive, cool for negative) appear, signaling potential overextension or trend strength.
• Closing In Range: This feature uses a smoothed Average True Range (ATR) to create a buffer zone around the current VWAP. It triggers when price closes within this "vicinity," helping traders anticipate VWAP touches or mean-reversion setups.
• Alerting: Multiple alert conditions are available, ranging from price crossing current/previous VWAP to price rising above or falling below both session levels simultaneously.

Details

The VWAP2D+ implementation focuses on time-indexed statistical measurement. Unlike standard deviation bands that use a fixed lookback, this script measures the deviation of price from VWAP at specific times during the trading day over a user-defined number of days. This "Time of Day" measurement allows the indicator to account for typical volatility cycles (e.g., the market open vs. the midday lull). The script also includes a custom ATR calculation that filters out extreme outliers to provide a more stable "Closing In Range" zone.

Settings

General

• Source: The price source used for VWAP and deviation calculations (default is HLC3).
• Allow start from early extended session: If enabled, the VWAP calculation includes the pre-market extended session data.
• Use open value instead of close for alerts: Determines if alert logic triggers based on the bar's open price rather than the close.

Deviation Measurement

• Days: The historical lookback period used to measure average deviations for the current time of day.
• Display Mode:
  • Exceeded: Only shows the deviation gradients when price moves beyond historical norms.
  • Full: Always displays the calculated deviation range.
  • Hidden: Disables the visual gradients and deviation calculations.

Closing In Range (ATR)

• Show: Toggles the visibility of the ATR-based "vicinity" zone around the current VWAP.
• Length: The number of bars used for the ATR measurement.
• TR Max Outlier: The threshold used to filter out massive volatility spikes from the ATR calculation.
• Smoothing: The number of bars used to average the ATR result for a smoother visual zone.
• Multiple: The multiplier applied to the ATR to determine the width of the "Closing In Range" zone.
• Adjust for intraday timeframe: Automatically modifies the ATR multiplier based on the chart's timeframe to ensure consistency across different scales.

FAQ

How do I use the VWAP2D+ for mean reversion? Traders often look for price to return to the current session VWAP when it reaches the "Exceeded" deviation zones, using the "Closing In Range" zone as a target for potential touches.

What is the difference between the 'Latest' and 'Previous' plots? 'Latest' represents the VWAP of the current trading day, while 'Previous' represents the final VWAP value from the prior session, often acting as a significant level of interest for the current day's open.

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