VWAP & Previous VWAP - MTF

The VWAP & Previous VWAP - MTF indicator provides a comprehensive suite of Volume Weighted Average Price calculations across multiple timeframes, allowing traders to track institutional benchmarks and key liquidity levels on a single chart.

Usage

This tool can be used to identify market trends and potential reversal zones by plotting the VWAP for daily, weekly, monthly, quarterly, and yearly periods. Traders often use the current VWAP as a dynamic support or resistance level, while the Previous VWAP levels serve as significant historical benchmarks.

The indicator also includes a Rolling VWAP, which is particularly useful for higher timeframe charts (Daily, Weekly, Monthly) where standard session-based VWAPs are unavailable. By using a moving window, the Rolling VWAP provides a smoothed average price weighted by volume without the abrupt resets found in intraday versions.

Details

The script calculates the Volume Weighted Average Price using the formula: sum(Volume * Source) / sum(Volume). For standard timeframes, the calculation resets at the start of each new period (e.g., a new day or a new month). The Previous VWAP value captures the final VWAP calculation of the prior completed period.

The Rolling VWAP implementation utilizes a Volume Weighted Moving Average (VWMA) over a user-defined period, allowing it to function on any timeframe that provides volume data. This ensures consistent trend analysis regardless of the chart resolution.

Settings

Volume Weighted Average Price

• VWAP Source: Determines the price data used for the VWAP calculation (default is hlc3).
• Show Daily/Weekly/Monthly/Quarterly/Yearly VWAP: Toggles the visibility and color for each specific timeframe.
• Prev.: Toggles the visibility of the VWAP level from the previous period.
• Show Rolling VWAP: Enables a non-resetting VWAP based on a fixed lookback window.
• Rolling Period: Sets the window size for the Rolling VWAP calculation.
• Lines Width: Adjusts the thickness of all plotted lines.
• Circles Style: Switches the visual plot style between lines and circles.

Labels

• Show Labels: Toggles all indicator labels on the right side of the chart.
• VWAP/Previous: Selectively displays labels for current or historical levels.
• Labels Offset: Adjusts the horizontal displacement of the labels from the current bar.

FAQ

How do I use the Rolling VWAP on daily charts?

Simply enable the "Show Rolling VWAP" setting. Unlike standard VWAPs that reset daily, the rolling version uses a fixed window of bars, making it compatible with Daily, Weekly, and Monthly timeframes.

Can I see previous months' VWAP levels?

Yes, by enabling the "Prev." toggle next to the "Show Monthly VWAP" setting, the indicator will plot the closing VWAP value of the previous month.

How can I access VWAP & Previous VWAP - MTF?

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