VWAP Suite

The VWAP Suite indicator provides a comprehensive toolkit for Volume Weighted Average Price (VWAP) analysis, allowing users to plot up to three independent VWAPs with multi-timeframe (MTF) anchoring and customizable standard deviation bands. It is designed to consolidate various VWAP functionalities into a single interface, offering features like historical close tracking and date-labeled anchors for institutional-grade analysis.

Usage

This tool is highly versatile and can be adapted to various trading styles. Users can enable multiple VWAP instances, each with its own anchor (Daily, Weekly, Monthly, etc.). A common application is to use one "Current" VWAP with standard deviation bands to identify overextended price levels, and a second higher-timeframe VWAP without bands to track the broader trend.

The Prev Close feature allows traders to visualize where the VWAP ended in previous sessions, which often acts as a significant support or regulatory level in future sessions. By enabling Track Dates, the indicator will automatically label previous closes with their respective timestamps to provide better historical context.

Details

VWAP is calculated by taking the sum of the price multiplied by volume and dividing it by the total volume for a specific period. This script calculates these values dynamically based on the selected "Anchor" timeframe. The standard deviation bands are calculated using the variance of the price relative to the VWAP, providing a statistical measure of value areas.

The script includes a global "Show Bands" toggle at the top of the settings to quickly clean up the chart. It also features logic to prevent plotting on high-timeframe charts (1D and above) if configured, preventing chart clutter.

Settings

VWAP Settings

• Band 1/2/3: Sets the multiplier for the first, second, and third standard deviation bands.
• Hide VWAP 1D / Above: When enabled, the indicator will not display on Daily charts or higher timeframes.
• Show Bands: Global toggle to show or hide all standard deviation bands across all VWAP instances.
• Track Dates: Enables date labels for historical VWAP closes.
• Vwap/Close/Band Style: Choose between "line", "circles", or "cross" for different visual elements.

Individual VWAP Groups (1, 2, and 3)

• Anchor: Defines the reset period for the VWAP (None, Daily, Weekly, Monthly, 3M, 6M, 12M).
• Band 1/2/3 Toggles: Individually enable or disable specific bands for that VWAP instance.
• Prev Close: Displays the closing level of the VWAP from the previous period.
• Labels: Toggles for specific text labels (Band L1/L2/L3 or Close) and their horizontal offset from the current bar.
• Colors: Individual color pickers for the VWAP line and its associated bands.

FAQ

How do I use multi-timeframe VWAPs correctly?

To ensure data accuracy, always select an anchor timeframe that is higher than your current chart timeframe. For example, if you are on a 15-minute chart, you can use Daily (D) or Weekly (W) anchors.

Can I track more than one historical close?

Yes, by enabling "Prev Close" and "Track Dates," the indicator projects historical levels that can be used for backtesting or identifying long-term value areas.

How can I access the VWAP Suite?

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