VWAP Deviation +

The VWAP Deviation + indicator provides a comprehensive volume-weighted average price analysis tool designed to identify high-probability mean reversion opportunities through deviation bands and multi-layer signal filtering.

Usage

The VWAP Deviation + tool is primarily used to spot potential reversals when price reaches extreme standard deviation levels (2σ and 3σ). Traders can utilize the indicator to find entries when price touches the outer bands, provided other internal filters are met.

• Mean Reversion: Use the 2σ and 3σ bands as dynamic overbought and oversold zones. Rejections from these levels back toward the VWAP line represent the core strategy.
• Signal Confirmation: The script includes a built-in RSI filter and volume threshold. A "LONG" or "SHORT" signal only appears when price is at a band, RSI is at an extreme, and volume is above average.
• Strong Signals: Diamonds labeled "STRONG" indicate price has reached the 3σ band, suggesting a higher conviction exhaustion point.
• Log-space Scaling: For assets with high volatility or significant price growth, enable Log-space Scaling to maintain proportional deviation distances across the price axis.

Details

The indicator calculates a custom volume-weighted mean and absolute deviation over a user-defined length. Unlike standard session VWAP, this version uses a rolling window (default 60 periods) to provide a continuous reference point suitable for various timeframes. It also incorporates market regime detection, which analyzes the distance between EMAs relative to the ATR to determine if the market is trending or ranging, effectively filtering out counter-trend signals during strong momentum phases.

Settings

Core Settings

• Log-space Scaling: Enables proportional scaling for price movements, useful for long-term charts or high-growth assets.
• VWAP Length: The lookback period for the volume-weighted calculation.
• Source: The price input used for the calculation (default is Close).
• 2σ / 3σ Multipliers: Adjusts the width of the deviation bands.

Signal Settings

• RSI Length / Thresholds: Controls the period and overbought/oversold levels for signal confirmation.
• Volume Filter: When enabled, signals require volume to be higher than the moving average by the specified threshold.

Advanced Features

• Session Statistics: Enables tracking of signal performance across Asian, London, and New York sessions.
• RSI Divergence Detection: Highlights instances where price and RSI momentum are disagreeing at band touches.
• Market Type Filter: Adapts signals based on whether the market is detected as trending or ranging.

FAQ

How do I access VWAP Deviation +?

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

What is the difference between "LONG" and "STRONG LONG"?

A "LONG" signal occurs at the 2σ (second) deviation band, while a "STRONG LONG" occurs at the 3σ (third) deviation band, indicating a more extreme price extension.

Why are some signals filtered out?

Signals may be hidden if the Volume Filter is active and volume is low, if the RSI is not in an extreme zone, or if the Market Type Filter determines the trade is against a strong trend.