Current and Previous day VWAP

The Current and Previous day VWAP tool calculates and displays the Volume Weighted Average Price for the current session alongside the closing VWAP value of the previous day to assist traders in identifying institutional value areas and trend shifts.

Usage

The tool is primarily used to identify the intraday trend and potential support or resistance levels based on volume-weighted benchmarks.

• Current VWAP: Traders often use the current day's VWAP as a "mean" price. Trading above the current VWAP suggests a bullish intraday sentiment, while trading below suggests a bearish sentiment.
• Previous Day VWAP: The closing VWAP of the prior session serves as a significant historical benchmark. When the current VWAP or price interacts with the previous day's VWAP, it can signal a continuation of the prior trend or a reversal.
• Crossovers: Crossovers between the price and the current VWAP, or between the current VWAP and the previous day's VWAP, are frequently used to trigger entry or exit signals.

Details

The script tracks volume and price data (using the HLC3 source) starting from the beginning of each new daily session. It calculates the cumulative sum of price multiplied by volume, divided by the cumulative volume.

The script also calculates the standard deviation of the VWAP internally, although it focuses on plotting the primary average lines. A key implementation detail is the previousVwap variable, which captures the final VWAP value from the preceding day and carries it forward as a horizontal reference line throughout the current session. This allows for immediate visual comparison between today's value-driven price action and yesterday's.

Settings

• Today's VWAP Color: Adjusts the color and visibility of the current day's intraday VWAP line.
• Previous day VWAP Color: Adjusts the color and visibility of the static line representing the final VWAP value from the previous day.

FAQ

How do I access the Current and Previous day VWAP?

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

What price source does this indicator use?

The indicator uses the HLC3 price source (Average of High, Low, and Close) weighted by volume to ensure the most accurate representation of value.

Can this be used on any timeframe?

While VWAP is most commonly used on intraday timeframes (e.g., 1m, 5m, 15m), the script will function on any timeframe where "New Day" changes can be detected.