WAP Maverick - (Dual EMA Smoothed VWAP)

The WAP Maverick indicator is a highly customizable Volume Weighted Average Price (VWAP) tool that utilizes dual EMA smoothing and arithmetic/harmonic mean calculations to provide smoother transitions and unique market perspectives. It is designed to offer traders a more adaptive alternative to standard VWAP, particularly effective in cyclical markets like crypto.

Usage

The Usage section highlights how this indicator can serve as a smoother replacement for traditional VWAP. By default, the script is optimized for the 15-minute timeframe with a weekly anchor.

• Smoother Transitions: Use the dual EMA smoothing to avoid the abrupt "jumps" often seen in standard anchored VWAP when a new session begins.
• Market Bias: Compare the Arithmetic WAP (often acting as resistance in uptrends) with the Harmonic WAP (often acting as support in downtrends). The divergence between the two can indicate price intensity within the session.
• Adaptive Bands: Utilize the two pairs of standard deviation bands for profit targets or stop-loss placements. These can be shifted using the "Sigma" parameter to bias the analysis.
• Custom Anchoring: Beyond standard daily or weekly resets, use the "Intraday" setting to anchor the VWAP to specific minute intervals, creating volume-weighted adaptive exponential bollinger bands.

Details

The script's core innovation lies in its dual EMA smoothing. Unlike a standard EMA applied to a final VWAP value, this indicator applies the EMA independently to both the numerator and denominator of the volume-weighted calculation. This results in a volume-weighted EMA when the anchor is set to the current timeframe. Additionally, the inclusion of the Harmonic Mean provides a mathematical inverse to the standard Arithmetic Mean, which can be more appropriate for analyzing bearish periods or inverse pairs.

Settings

WAP: Main

• Source: Select the price source (HLC3, Close, etc.) or external "Aux" inputs.
• Volume: Adjust the volume weighting factor from 0 (TWAP) to 1 (full VWAP).
• Anchor: Choose the reset period (Day, Week, Intraday, etc.).
• Length: Set the smoothing length for the dual EMA calculation.
• Sigma: Shifts the entire indicator and its bands up or down by a multiple of the standard deviation.

WAP: Bands

• Lo | Hi: Individual toggles for upper and lower bands across three sets (A, B, C).
• Sigma Multipliers: Set the standard deviation multiplier for each band set.
• Use Geometric Centre: When enabled, bands anchor to the Geometric mean instead of Arithmetic/Harmonic means.

Side Filter

• Source/Filter: Connect an external indicator or price source to use for crossover alerts.
• Filter Type: Choose from various moving averages (SMA, EMA, HMA, etc.) to smooth the side input.

FAQ

• How do I access WAP Maverick? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.
• Why does the Harmonic Mean sometimes look broken? The Harmonic Mean calculation cannot handle data sources with negative values or extremely low values (like low-sat BTC pairs), which may result in unusable plots.
• Can I use this for scalping? Yes, by using the "Intraday" anchor and setting it to 0 or a low minute value, you can create a high-speed adaptive moving average suitable for scalping.