Session/Day VWAP & Std Dev Bands

The Session/Day VWAP & Std Dev Bands indicator provides a comprehensive volume-weighted average price (VWAP) analysis by segmenting the trading day into distinct sessions and offering a daily overlay with standard deviation bands.

Usage

The tool is designed for intraday traders who need to monitor price action relative to volume-weighted benchmarks across different market phases. By default, the script tracks three major trading sessions:

• Asia Session: Monitors early-day liquidity and range.
• London Session: captures European market open and volatility.
• New York Session: Tracks the primary US market activity.

Traders can use the standard deviation bands (Set to 1.0 and 2.0 multipliers by default) to identify potential overextended price levels or mean reversion opportunities. The daily VWAP can be enabled simultaneously to compare specific session behavior against the broader daily trend.

Details

The script calculates VWAP using the cumulative sum of price multiplied by volume, divided by cumulative volume. Standard deviation bands are derived from the variance of the source price relative to the VWAP within the specified session boundaries. The indicator resets calculations at the start of each defined session or new day, ensuring that the volume data remains relevant to the current trading window. The session times are customizable to allow for adjustments based on different asset classes (e.g., Forex vs. Crypto).

Settings

• Show Session VWAP: Toggles the visibility of the VWAP line for the individual Asia, London, and NY sessions.
• Show Session Std Dev Bands: Enables standard deviation bands specifically for the intraday sessions.
• Show Daily VWAP: Displays a secondary VWAP line that calculates based on the entire 24-hour day.
• Show Daily Std Dev Bands: Displays standard deviation bands for the daily VWAP.
• StDev Multipliers (1 & 2): Adjusts the width of the standard deviation bands.
• VWAP Source: Sets the price input for calculations (default is hlc3).
• Session Times: Allows users to define the start and end times for the Asia, London, and NY sessions.

FAQ

How do I access Session/Day VWAP & Std Dev Bands?

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

Can I change the session times for different timezones?

Yes, the session inputs allow you to define specific UTC or local time ranges to match your specific market or timezone.

Why do the lines disappear during certain parts of the day?

The session-specific lines are programmed to only display during the active hours defined in the settings. If you wish to see a continuous line, ensure the Daily VWAP option is enabled.