VWAP Gravity Bands

The VWAP Gravity Bands indicator provides an anchored VWAP field featuring a smoothed T3 basis and volatility-adjusted ATR ladder bands to visualize price behavior and distance relative to volume-weighted value. It is designed to classify market states into center pull, ladder drift, expansion, or outer-band reaction, helping traders identify both value location and momentum strength.

Usage

The Usage section describes how the script can be used to analyze price action relative to anchored volume data. The tool is primary used to identify overextended price levels or strong trending behavior away from the mean.

• Anchor Selection: Traders can choose between Session, Week, or Month anchors. A Session anchor is ideal for intraday scalp and day trading, while Week and Month anchors provide context for swing trading and long-term value positioning.
• Reading Distance: The dashboard displays a normalized "Distance" value. This represents how many ATR ladder units the current price is away from the T3-smoothed VWAP basis.
• Identifying Expansion: Expansion occurs when price moves aggressively away from the basis with slope confirmation. This is visualized via "EX" markers on the chart and specific dashboard states.
• Identifying Reactions: A reaction occurs when price tests the outer ATR bands and fails to hold, closing back inside the ladder. These are marked with "TP" (Take Profit) style markers, indicating potential exhaustion points.
• Visual Context: Gradient candle coloring allows for a quick assessment of trend intensity without looking at the bands directly. Brighter colors indicate price is "stretched" toward the outer gravity limits.

Details

The script utilizes a multi-layered construction to provide a smoother alternative to traditional VWAP bands:

• Anchored VWAP Logic: The tool uses ta.vwap() triggered by timeframe.change() to ensure the calculation resets precisely at the start of the chosen period (Day, Week, or Month).
• T3 Smoothing: Raw VWAP can be jagged during high-volume periods. The script passes the VWAP value through a T3 smoothing algorithm (six-fold EMA nesting) to create a more stable basis that remains responsive to price shifts.
• ATR Ladder Geometry: Instead of using standard deviations (like Bollinger Bands), this script uses an Average True Range (ATR) multiplier. This ensures the bands expand and contract based on actual price volatility rather than just volume distribution.
• State Classification Logic: The script calculates "Distance States" by normalizing the distance between the close and the basis against the current ladderUnit. This allows for programmatic detection of "Mean Reversion" and "Expansion" scenarios.

Settings

Visual System

• Distance Candles: Enables or disables candle coloring based on the normalized distance from the VWAP basis.
• Dashboard: Toggles the visibility of the on-screen information panel in the top-right corner.
• Raw VWAP: Displays the original, unsmoothed anchored VWAP line for comparison.
• Outer Reaction Marks: Enables "TP" and "EX" visual markers for confirmed band reactions and expansions.

VWAP Gravity

• Anchor: Determines the reset interval for the VWAP calculation (Session, Week, or Month).
• Source: The price data point used for the VWAP calculation (default is HLC3).
• T3 Basis Length: The lookback period used for the T3 smoothing of the VWAP basis.
• T3 Factor: A multiplier (0.10 to 0.95) that controls the smoothness and lag of the T3 calculation.
• ATR Length: The period used to calculate the Average True Range for the band widths.
• ATR Step: The multiplier applied to the ATR to determine the distance between each ladder band.
• Expansion Step: The distance threshold required to trigger an "Expansion" state.
• Reaction Step: The distance threshold at the outer bands required to trigger a "Reaction" signal.

FAQ

How do I interpret the "EX" and "TP" markers? "EX" (Expansion) markers indicate that price is trending strongly away from the VWAP basis with momentum. "TP" (Reaction) markers indicate that price has tested the outer-most ATR bands and closed back inside, suggesting a potential short-term exhaustion or mean-reversion opportunity.

Why does the VWAP line look different at the start of the week? Because the indicator resets its calculation based on the chosen Anchor (e.g., Week), the first few bars of a new period have a smaller sample size of volume data, which may result in higher sensitivity until more volume is accumulated.

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