Session & RTH VWAP

The Session & RTH VWAP indicator is a statistical study tool that plots and analyzes the relationship between a custom-anchored session VWAP and a standard Regular Trading Hours (RTH) VWAP. It provides institutional-grade execution benchmarks alongside intraday volatility bands and a live statistics table to track retest behavior and historical win rates.

Usage

The script is designed for intraday timeframes (1m to 15m) on equity futures or instruments with defined trading hours. Traders can use the two independent VWAP lines to identify market sentiment:

• Session VWAP: Captures overnight or pre-market sentiment by anchoring to a user-defined window.
• RTH VWAP: Acts as the primary institutional benchmark anchoring at the market open (e.g., 09:30 EST).
• Statistical Study: Use the included table to monitor "Win Rates" (how often the relative position of the two VWAPs correctly predicts the daily close) and "Retest" frequency to identify support and resistance strength.

Details

The indicator calculates a midpoint anchor between the two VWAPs to represent an equilibrium level. From this midpoint, it derives various statistical bands:

• Standard Deviation (Symmetric/Asymmetric): Volume-weighted measures of price dispersion. Asymmetric bands reveal if volatility is skewed to the upside or downside.
• Median Absolute Deviation (MAD): A robust measure resistant to outliers, highlighting whether price spikes are anomalies or part of a sustained trend.
• Percentile Bands: Purely empirical levels showing where 50%, 80%, or 90% of price activity has occurred.
• VWAP of Deviations: A bias indicator; readings above the anchor suggest buyers are transacting with higher volume.

Settings

Sessions Settings

• Time Zone: Sets the timezone for session interpretation (defaults to GMT-4/EST).
• Session: Defines the start and end time for the Session VWAP calculation.
• Highlight Session: Toggles a background color for the defined session window.

Anchor & RTH VWAP Settings

• VWAP Source: Choose the price input (HLC3, Close, etc.) for both VWAP calculations independently.
• Show Previous Session VWAPs: Displays historical session lines for context (up to 100 days).
• RTH Session Time: Defines the specific trading hours (default 09:30–16:00 EST).

Stats Table & Bands

• Show Stats Table: Toggles the performance and timing table.
• Max Days to Track: Sets the historical sample size for statistics (10–500 days).
• Band Toggles: Individual controls to enable Anchor, σ, MAD, Percentile, and Deviation VWAP lines.

FAQ

How do I interpret the "Win Rate" in the table? The Win Rate tracks sessions where the RTH VWAP's position relative to the Session VWAP correctly aligned with the day's directional close (e.g., RTH VWAP above Session VWAP and a Bullish close).

What is the difference between Symmetric and Asymmetric bands? Symmetric bands apply the same width to both sides, while Asymmetric bands calculate volatility separately for price action above and below the anchor, providing a more accurate view of directional skew.

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