All Time VWAP & Standard Deviations

The All Time VWAP & Standard Deviations indicator provides a volume-weighted average price calculation that spans the entire price history of an asset, offering a definitive long-term mean and volatility bands. This tool is designed to help traders identify historical value areas and extreme price deviations over the longest possible timeframes.

Usage

The Usage section focuses on identifying long-term trend direction and potential reversal points based on historical volume distribution.

• Baseline Identification: The central All-Time VWAP (ATVWAP) serves as a primary "fair value" line. Prices trading above this line generally indicate long-term bullish sentiment, while prices below suggest bearish sentiment.
• Mean Reversion: The standard deviation bands (1 through 4) act as dynamic overbought and oversold levels. When price reaches the 3rd or 4th deviation bands, it often signals an exhaustive state where price is significantly overextended relative to its historical volume-weighted average.
• Scaling Note: Users should enable "Scale price chart only" in the chart settings or disable negative deviation bands in the style menu if the asset's price history causes lower deviations to drop below zero, as this can compress the price candles.

Details

The script calculates the VWAP by accumulating the product of typical price (HLC3) and volume across all available bars on the chart. Unlike traditional anchored or session VWAPs that reset at specific intervals, this version accumulates data continuously from the first available bar.

The volatility bands are derived from a cumulative standard deviation calculation based on the typical price. By applying multipliers (1, 2, 3, and 4) to this deviation, the indicator creates a comprehensive volatility ribbon that expands and contracts based on historical price variance.

Settings

As this specific implementation relies on cumulative historical data, it primarily functions without complex input parameters, focusing on visual output.

• Style Settings: Users can toggle the visibility and colors of the ATVWAP line and the four levels of upper and lower deviation bands to suit their chart theme.

FAQ

How do I use the All Time VWAP & Standard Deviations for trend confirmation?

If the price is consistently holding above the ATVWAP line, it confirms a long-term bullish trend. Rejections from the deviation bands back toward the ATVWAP can be used to identify potential entry points within that trend.

Why do some deviation bands appear far from the current price?

Because the calculation is "All Time," the variance accounts for the entire history of the asset. On assets with high historical volatility, the higher deviation bands (3 and 4) represent extreme statistical outliers.

How can I access this indicator?

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