Percent Difference Between VWAP and Price MTF

The Percent Difference Between VWAP and Price MTF indicator calculates and visualizes the percentage distance between the current market price and the Volume Weighted Average Price (VWAP) across various timeframes. This tool helps traders identify overextended price conditions and potential mean reversion opportunities by monitoring how far price has deviated from its volume-weighted average.

Usage

The indicator is primarily used to identify extreme price deviations that may precede a reversal or a return to the mean. By displaying the percentage difference as a histogram, users can easily spot when price reaches historical levels of exhaustion.

• Mean Reversion: Traders can look for price to "snap back" towards the 0% baseline after reaching high-percentage deviation levels.
• Trend Strength: Consistent low-percentage deviations might suggest a healthy trend, while spikes can indicate a climax or "blow-off" top/bottom.
• Multi-Timeframe Analysis: By changing the VWAP anchor timeframe (e.g., Daily, Weekly, Monthly), traders can analyze deviations relative to short-term or long-term volume distributions.

Details

The script calculates the VWAP manually based on the selected timeframe and then computes the absolute percentage difference using the formula: abs(Price - VWAP) * 100 / Price. This normalization allows the indicator to be used across different assets regardless of their nominal price value. The tool is a modified version of classic VWAP deviation concepts, specifically optimized for percentage-based analysis.

Settings

• Timeframe: Sets the anchor for the VWAP calculation (e.g., D for Daily, W for Weekly, M for Monthly).
• Source: Determines the price source used for the percentage calculation (default is Close).
• Level 1-5: User-definable horizontal thresholds that act as visual markers for specific percentage deviations. These levels also trigger the built-in alert conditions.

FAQ

How do I use the percentage levels?

The levels are used to mark significant historical deviation points. For example, if an asset historically reverses when it is 3% away from its Monthly VWAP, you can set a level at 3.0 to serve as a visual alert.

Can I change the timeframe of the VWAP?

Yes, you can adjust the "Timeframe" input in the settings to anchor the VWAP to different periods like Daily, Weekly, or Monthly intervals.

How can I access Percent Difference Between VWAP and Price MTF?

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