OPEN-SOURCE SCRIPT
Daily VWAP Deviation Map
Daily VWAP Deviation Map plots the current exchange day's VWAP and volume-weighted standard-deviation bands around it.
The purpose of this script is to show how far price is trading from the day's volume-weighted mean. Distance is displayed in price units, percent, and sigma distance. This is a context and visualization tool. It does not provide trade-action instructions and it is not a trading system.
What it shows
- Daily VWAP based on the selected source, default hlc3.
- Inner, outer, and optional tail deviation bands.
- Sigma distance from the current day's VWAP.
- A neutral state model that describes price location relative to VWAP.
- A compact dashboard with state, sigma distance, percent distance, VWAP, and volume mode.
- Optional non-arrow event markers for factual band-crossing events.
How it works
At the start of each exchange day, the calculation resets and begins accumulating volume-weighted sums from the current chart bars.
The script maintains:
- cumulative volume
- cumulative price times volume
- cumulative price squared times volume
- session bar count
From these values, it calculates:
VWAP = cumulative price times volume / cumulative volume
variance = cumulative price squared times volume / cumulative volume - VWAP squared
sigma = square root of variance, guarded against rounding noise
The script then calculates:
- raw distance from VWAP
- percent distance from VWAP
- sigma distance from VWAP
All calculations use current chart bars only. The script does not use request.security(), lookahead, or future data. Historical values are not recalculated with future information.
Daily anchoring
The daily reset follows the chart symbol's exchange day and timezone. This reset is used only to anchor the VWAP calculation to the current day. It is not a session highlighter and it does not shade Tokyo, London, New York, or other trading sessions.
Deviation states
The dashboard uses neutral descriptive states:
- Warming up
- Near VWAP
- Inner range
- One-sigma edge
- Two-sigma extension
- Outer tail
These states describe current price location. They do not imply future reversal or continuation.
Bands and multipliers
The inner, outer, and tail band multipliers are user-configurable. The active outer tier is kept above the active inner tier, and the active tail tier is kept above the outer tier. Event markers and alerts follow the active inner and outer band tiers so they remain aligned with the displayed bands when users customize the multipliers.
Volume handling
When usable volume is available, the calculation is volume-weighted. If volume is missing or not positive and fallback is enabled, the script uses an equal-weight fallback so the display can remain continuous. The dashboard discloses this clearly.
The dashboard volume mode can show:
- Volume-weighted
- Equal-weight fallback
- No usable volume
On some symbols, especially certain FX or CFD feeds, volume may represent tick volume or may not be available. This affects how VWAP and deviation bands should be interpreted.
Events and alerts
Event markers are small, neutral, non-arrow plotshape markers. They describe factual events only, such as:
- crossed above the upper inner band
- crossed below the lower inner band
- crossed above the upper outer band
- crossed below the lower outer band
- returned inside from an upper or lower extension
- crossed VWAP
Alerts use the same neutral event logic. The default setting evaluates events on confirmed bars only to reduce intrabar repainting.
Customization
Users can adjust the dashboard position, layout density, text size, plot colors, table colors, marker colors, and transparency settings.
The default dashboard position is Top right padded. It keeps the panel in the upper-right area while using subtle internal spacing to reduce clutter near the chart's right-side price-scale labels. Users can switch to standard Top right or any other available table anchor.
The default layout is Compact for a clean chart. Standard and Detailed layouts are available for users who want more information.
Intended use
This indicator is designed for intraday charts. On daily or higher timeframes, the script avoids showing misleading daily VWAP deviation bands and displays an intraday-use notice instead.
Limitations
This script is not financial advice and not a trading system.
Distance from VWAP does not guarantee reversal or continuation.
Default settings are starting points, not optimized settings.
Early-session VWAP and sigma readings can be sensitive because fewer bars have been accumulated.
Volume quality differs across markets and symbols.
Japanese notes
当日VWAPと出来高加重標準偏差バンドを使って、価格が当日の平均価格からどれだけ乖離しているかを表示します。状況把握用の可視化ツールであり、売買判断や将来の値動きを示すものではありません。出来高が使えない銘柄では等加重フォールバック、または No usable volume を表示します。イントラデイ向けです。
The purpose of this script is to show how far price is trading from the day's volume-weighted mean. Distance is displayed in price units, percent, and sigma distance. This is a context and visualization tool. It does not provide trade-action instructions and it is not a trading system.
What it shows
- Daily VWAP based on the selected source, default hlc3.
- Inner, outer, and optional tail deviation bands.
- Sigma distance from the current day's VWAP.
- A neutral state model that describes price location relative to VWAP.
- A compact dashboard with state, sigma distance, percent distance, VWAP, and volume mode.
- Optional non-arrow event markers for factual band-crossing events.
How it works
At the start of each exchange day, the calculation resets and begins accumulating volume-weighted sums from the current chart bars.
The script maintains:
- cumulative volume
- cumulative price times volume
- cumulative price squared times volume
- session bar count
From these values, it calculates:
VWAP = cumulative price times volume / cumulative volume
variance = cumulative price squared times volume / cumulative volume - VWAP squared
sigma = square root of variance, guarded against rounding noise
The script then calculates:
- raw distance from VWAP
- percent distance from VWAP
- sigma distance from VWAP
All calculations use current chart bars only. The script does not use request.security(), lookahead, or future data. Historical values are not recalculated with future information.
Daily anchoring
The daily reset follows the chart symbol's exchange day and timezone. This reset is used only to anchor the VWAP calculation to the current day. It is not a session highlighter and it does not shade Tokyo, London, New York, or other trading sessions.
Deviation states
The dashboard uses neutral descriptive states:
- Warming up
- Near VWAP
- Inner range
- One-sigma edge
- Two-sigma extension
- Outer tail
These states describe current price location. They do not imply future reversal or continuation.
Bands and multipliers
The inner, outer, and tail band multipliers are user-configurable. The active outer tier is kept above the active inner tier, and the active tail tier is kept above the outer tier. Event markers and alerts follow the active inner and outer band tiers so they remain aligned with the displayed bands when users customize the multipliers.
Volume handling
When usable volume is available, the calculation is volume-weighted. If volume is missing or not positive and fallback is enabled, the script uses an equal-weight fallback so the display can remain continuous. The dashboard discloses this clearly.
The dashboard volume mode can show:
- Volume-weighted
- Equal-weight fallback
- No usable volume
On some symbols, especially certain FX or CFD feeds, volume may represent tick volume or may not be available. This affects how VWAP and deviation bands should be interpreted.
Events and alerts
Event markers are small, neutral, non-arrow plotshape markers. They describe factual events only, such as:
- crossed above the upper inner band
- crossed below the lower inner band
- crossed above the upper outer band
- crossed below the lower outer band
- returned inside from an upper or lower extension
- crossed VWAP
Alerts use the same neutral event logic. The default setting evaluates events on confirmed bars only to reduce intrabar repainting.
Customization
Users can adjust the dashboard position, layout density, text size, plot colors, table colors, marker colors, and transparency settings.
The default dashboard position is Top right padded. It keeps the panel in the upper-right area while using subtle internal spacing to reduce clutter near the chart's right-side price-scale labels. Users can switch to standard Top right or any other available table anchor.
The default layout is Compact for a clean chart. Standard and Detailed layouts are available for users who want more information.
Intended use
This indicator is designed for intraday charts. On daily or higher timeframes, the script avoids showing misleading daily VWAP deviation bands and displays an intraday-use notice instead.
Limitations
This script is not financial advice and not a trading system.
Distance from VWAP does not guarantee reversal or continuation.
Default settings are starting points, not optimized settings.
Early-session VWAP and sigma readings can be sensitive because fewer bars have been accumulated.
Volume quality differs across markets and symbols.
Japanese notes
当日VWAPと出来高加重標準偏差バンドを使って、価格が当日の平均価格からどれだけ乖離しているかを表示します。状況把握用の可視化ツールであり、売買判断や将来の値動きを示すものではありません。出来高が使えない銘柄では等加重フォールバック、または No usable volume を表示します。イントラデイ向けです。
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.