VWAP Range

The VWAP Range indicator is a versatile tool designed to provide trading signals based on supply and demand dynamics within consolidation ranges. It utilizes multiple Volume Weighted Average Price (VWAP) anchors to identify market equilibrium points, helping traders distinguish between accumulation and distribution phases.

Usage

The script can be used to identify potential mean-reversion or breakout opportunities within a range. By using multiple VWAP anchors, traders can visualize different layers of market value.

• Consolidation Analysis: Use the dynamic or fixed range settings to define a specific consolidation period. The indicator will then anchor VWAPs to the start of this period, as well as the high, low, and highest volume points.
• Signal Execution: Buy and sell signals are generated when price interacts with the various VWAP levels. It is recommended to wait for a candle close to confirm signals.
• Profit Evaluation: The Average Buy/Sell Signal lines visualize the mean entry prices for signals within the current range. The gap between these lines represents the average range profitability.
• Trend Bias: The Sell/Buy ratio (visible in the status line) provides a subtle hint regarding the prevailing trend direction, regardless of signal frequency.

Details

The indicator balances supply and demand by weighting price action with volume. Unlike standard moving averages, this provides a more accurate reflection of institutional activity.

• Multiple Anchors: The tool calculates VWAPs for up to three different timeframes (e.g., Daily, Weekly, Monthly) simultaneously.
• Event-Based Anchoring: In addition to time-based resets, the script anchors to the Highest High, Lowest Low, and Highest Volume bars within the specified range to capture significant market pivots.
• Regime Scoring: The indicator includes an internal logic that calculates market "flow" and "regime," which can be used to color bars based on directional pressure rather than just location relative to VWAPs.

Settings

General Settings

• Use Dynamic Range: Toggles between automatically resetting the range based on a period or using a fixed starting point.
• Range Period: Sets the frequency for dynamic resets (Daily, Weekly, Monthly, etc.).
• Fixed Range: Defines the specific timestamp for a fixed anchor point.
• VWAP Calculation Method: Chooses the price source (OHLC4, HLCC4, HLC3, HL2) for calculations.
• Max Number of Buy/Sell Signals: Limits the number of signals per direction to prevent overtrading.

VWAP

• Use Period 1-3 VWAP: Toggles the display and calculation of up to three timeframe-based VWAPs.
• Use Anchor Date VWAP: Anchors a VWAP strictly to the start of the defined range.
• Use Highest High/Lowest Low VWAP: Anchors VWAPs to the extreme price points found within the range.
• Use Highest Volume VWAP: Anchors a VWAP to the bar with the highest volume in the range.

Visual Settings

• Table Mode: Choose between Simple or Advanced dashboards to view range statistics.
• Bar Color Mode: Selects the logic for candle coloring (VWAP Extremes, Regime, or Resets).
• Show Average Buy/Sell Signal Lines: Toggles the horizontal lines representing average signal prices.

FAQ

How do I use the fixed range feature?

To use a fixed range, disable "Use Dynamic Range" and set the "Fixed Range" date/time to a specific market event, such as a major news release or the start of a known consolidation.

What does the Sell/Buy Ratio in the status line mean?

The ratio indicates the balance of signals. A red value above 1 suggests an upward trending bias, while a green value below 1 implies downward pressure.

How can I access the VWAP Range?

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