Multi-Day VWAP V2

The Multi-Day VWAP indicator tracks and averages the Volume Weighted Average Price across multiple historical sessions to provide dynamic support and resistance levels for intraday trading.

Usage

The Multi-Day VWAP tool is designed primarily for intraday traders looking for areas of price confluence beyond the standard single-day VWAP. By averaging historical daily VWAP closing values with the current real-time VWAP, the script creates a smoothed reference point that accounts for volume distribution over a specific lookback period.

Common usage scenarios include:

• Mean Reversion: Identifying potential bounces or rejections when price deviates significantly from the 5-Day VWAP.
• Trend Confirmation: Using the separation between the standard 1-day VWAP and longer-term averages (e.g., 3-day or 5-day) to gauge market momentum. Large separation often indicates strong intraday swing opportunities, while tight spacing suggests range-bound behavior.
• Historical Reference: Enabling the "Show Previous VWAP" option allows traders to see where previous sessions' multi-day averages ended. These levels often act as significant horizontal support or resistance, similar to daily pivots.

Details

Standard VWAP calculations typically reset at the start of each trading session. This script modifies that logic by incorporating the closing VWAP values of the previous N-1 days.

The calculation follows this logic:

1. It retrieves the daily VWAP values for the specified number of lookback days.
2. It averages those historical closing values with the developing VWAP of the current session.
3. This creates a multi-period volume-weighted average that is more robust than a simple volume-weighted moving average (VWMA), as it specifically weights the finalized historical daily values.

Settings

• Days 1 - 5: Sets the lookback period (in days) for each of the five available VWAP plots.
• Show Previous VWAP: A toggle to display the closing Multi-Day VWAP values from the previous session as static horizontal markers on the current chart.

FAQ

How do I access Multi-Day VWAP?

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

What is the difference between this and a standard VWAP?

While a standard VWAP only calculates data from the current session's start, this version includes data from multiple prior days to provide a longer-term perspective on volume-weighted value.

Why are there 5 different day inputs?

This allows you to visualize multiple time horizons simultaneously (e.g., 1-day, 2-day, 3-day, 4-day, and 5-day) to see how short-term price action relates to medium-term volume trends.