MAC-Z VWAP Indicator

The MAC-Z VWAP Indicator tool combines the logic of the Moving Average Convergence Divergence (MACD) with Z-Score normalization based on Volume Weighted Average Price (VWAP) to identify momentum and trend shifts influenced by both price and volume. This indicator helps traders visualize relative price strength and trend exhaustion by standardizing momentum across different volatility regimes.

Usage

The MAC-Z VWAP Indicator is used primarily as an oscillator to identify trend direction and potential reversal points. Traders can interpret the indicator in the following ways:

• Zero Line Crosses: When the MAC-Z line crosses above the zero level, it suggests a bullish shift in volume-weighted momentum. A cross below zero suggests a bearish shift.
• Signal Line Crossovers: Similar to a traditional MACD, crosses between the MAC-Z line (green) and the Signal line (blue) can indicate short-term momentum changes.
• Histogram Analysis: The background area represents the distance between the MAC-Z and its signal line, providing a visual cue for momentum acceleration or deceleration.
• Smoothing: If the price action is choppy, the Laguerre Smoothing option can be enabled to filter out minor fluctuations and provide a cleaner trend line.

Details

This script is a modification of the traditional MAC-Z concept, utilizing Z-VWAP (the Z-score distance from the VWAP) instead of standard price-based Z-scores. The calculation incorporates a weighted sum of the Z-VWAP and the standard MACD relative to price standard deviation. Because the core logic relies on VWAP, this indicator is most effective on assets with reliable volume data, such as stocks, ETFs, and crypto. It is generally not intended for spot Forex markets where centralized volume is unavailable.

Settings

• MACD Fast MA Length: The period for the shorter moving average used in the MACD calculation.
• MACD Slow MA Length: The period for the longer moving average used in the MACD calculation.
• MACD Signal Length: The smoothing period for the signal line.
• Z-VWAP Length: The period used to calculate the VWAP-based Z-score.
• Stdev Length: The period used for the price standard deviation calculation used to normalize the MACD component.
• MACZ Constant A: A multiplier for the Z-VWAP component of the final calculation.
• MACZ Constant B: A multiplier for the normalized MACD component of the final calculation.
• Apply Laguerre Smoothing: Enables Laguerre filtering to reduce noise in the MAC-Z line.
• Laguerre Gamma: Controls the intensity of the Laguerre filter; higher values result in more smoothing but more lag.
• Source: The price data input used for the calculations.

FAQ

How do I use the MAC-Z VWAP for reversals?

Look for divergences between price action and the MAC-Z oscillator or wait for signal line crosses following extreme Z-score extensions.

Why is the indicator flat on my chart?

Ensure you are using a symbol that provides volume data. Since this tool uses VWAP, it cannot calculate properly on symbols with zero or missing volume data (common in some FX feeds).

How can I access the MAC-Z VWAP Indicator?

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