Multi-Day VWAP

The Multi-Day VWAP indicator calculates and displays the Volume Weighted Average Price across multiple historical sessions, providing a broader perspective on institutional value levels compared to the standard single-day VWAP.

Usage

The Usage section focuses on identifying key intraday levels where price might find support or resistance based on volume-weighted averages from previous days. Traders often use values of 1, 2, 3, 4, and 5 days to see how current price action relates to historical value areas.

When the current price is above the Multi-Day VWAP, it typically indicates bullish sentiment over that specific period, while price below suggests bearish sentiment. The script allows for up to five different day-lookback periods to be plotted simultaneously, creating a "ribbon" of value that can highlight significant trend transitions.

Details

Unlike a standard Volume Weighted Moving Average (VWMA), which calculates a rolling average of all bars in a lookback window, the Multi-Day VWAP uses the finalized closing VWAP values from historical daily sessions. It averages these fixed daily values with the developing VWAP of the current session.

The logic follows these steps:

1. It identifies the start of a new daily session.
2. It requests the daily closing VWAP values for the specified lookback period.
3. It combines the sum of previous days' closing VWAP with the real-time intraday VWAP calculation.
4. It divides the total by the number of days to provide a smoothed, multi-session average.

Settings

Days Settings

• Days 1: Sets the lookback period in days for the first VWAP plot (default is 1).
• Days 2: Sets the lookback period in days for the second VWAP plot (default is 2).
• Days 3: Sets the lookback period in days for the third VWAP plot (default is 3).
• Days 4: Sets the lookback period in days for the fourth VWAP plot (default is 4).
• Days 5: Sets the lookback period in days for the fifth VWAP plot (default is 5).

FAQ

How do I access the Multi-Day VWAP?

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

How is this different from a standard VWAP?

A standard VWAP resets at the start of every trading day. The Multi-Day VWAP carries over the weight of previous sessions, providing a continuous benchmark that accounts for historical volume and price data over several days.

What timeframes work best for this tool?

This indicator is designed for intraday timeframes (e.g., 1m, 5m, 15m, 1h). Because it relies on daily session data, it is most effective for traders looking to manage positions within the trading week.