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VWAP Bands - Event Based

By LuxAlgoJan 3, 2022

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VWAP Bands - Event Based draws VWAP bands whose smoothness is governed by resets: choose an event, and each time it fires the calculation starts over. The bands come from a naive standard-deviation treatment of the volume-weighted average, scaled by a multiplier. Anchor the line to a chosen point or start it from the first bar of data. Either way it serves as trailing support and resistance, a component in a crossover approach, or a source feeding an external indicator.

How to Trade the VWAP Bands - Event Based?

  • Periodic reset: the default mode. The average restarts on a cycle governed by Length, keeping it responsive to recent trade.
  • Higher high / lower low resets: fresh extremes, detected with a Donchian-style method, restart the average so it re-grips the new momentum.
  • Trend change reset: the calculation restarts when a decisive trend change registers, layering in adaptive smoothing.
  • Start / external resets: reset only at the anchor for a classical anchored reading, or hand control to an external cross or event you feed in.

Frequent resets keep the line hugging price for tactical work; rare resets let it stretch into a slow, long-memory reference.

VWAP Bands - Event Based Settings

  • Start / Start At First Bar: where the calculation begins, either a chosen anchor or the very first bar with no anchor required.
  • Length: shapes the characteristics of the selected event, including the periodic reset cycle.
  • Mult: multiplies the standard deviation, widening or tightening the bands.
  • Source: the price series the calculation runs on.
  • Event / External Cross/Event: which condition resets the smoothness, and the external input used for cross or event triggers.

Frequently Asked Questions

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