Multi-Day Rolling VWAP [Intraday]

The Multi-Day Rolling VWAP [Intraday] indicator tracks the Volume Weighted Average Price across multiple rolling sessions to provide a broader perspective on institutional value and market sentiment beyond a single day.

Usage

The Multi-Day Rolling VWAP is designed for intraday traders who require context on how current price action relates to historical volume-weighted averages. By plotting multiple VWAP lines (1-day through 5-day), traders can identify zones of institutional interest and potential trend shifts.

• Trend Identification: When the price remains above the multi-day VWAPs, it indicates a bullish sentiment over the selected rolling period. Conversely, prices consistently below these levels suggest bearish control.
• Support and Resistance: Rolling VWAPs often act as dynamic support or resistance. A 3-day or 5-day VWAP may provide a stronger level of significance than a standard daily VWAP during market pullbacks.
• Mean Reversion: Large deviations from the rolling VWAPs can indicate overextended markets, signaling potential reversion to the multi-day mean.

Details

This script implements concepts popularized by Brian Shannon regarding Anchored and rolling VWAPs. Unlike a standard VWAP that resets at the start of every session, this tool carries over the cumulative volume and price data from previous sessions to calculate a rolling average.

The calculation uses an array-based approach to shift session data. When a new day begins, the previous day's volume and price metrics are stored and used to calculate the 2-day through 5-day variations. This ensures that the intraday perspective is always informed by a specific lookback window of actual trading days.

Settings

Multi-Day VWAP

• 1D - 5D VWAP Toggle: Enables or disables the display of the respective rolling period.
• Color/Width: Customizes the visual appearance of each specific VWAP line.
• Source: Defines the price input used for each calculation (e.g., hlc3, close, hl2).

FAQ

How do I access Multi-Day Rolling VWAP [Intraday]?

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

Does this work on daily timeframes?

This indicator is optimized for intraday timeframes (minutes or hours). On daily or higher timeframes, the session-based reset logic may not provide meaningful plots.

Can I set alerts for price crosses?

Yes, the script includes built-in alert functionality that triggers when the price crosses any of the enabled multi-day VWAP lines.