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Rolling VWAP with StdDev Bands

Rolling VWAP with StdDev Bands (RVWAP+SD)
This indicator calculates a Rolling Volume-Weighted Average Price (RVWAP) over a configurable rolling time window (default: 10 hours), with volume-weighted standard deviation bands overlaid above and below. Unlike session-anchored VWAP, this indicator never resets at session boundaries, making it equally effective on crypto, forex, and equity markets at any timeframe.

What it does

RVWAP: Volume-weighted average price computed over the last N hours of bars using the PineCoders ConditionalAverages library for time-based aggregation. Smoothed with SWMA + RMA(6) to reduce noise.
StdDev Bands: Upper and lower bands at RVWAP +/- (multiplier x volumeWeightedStdDev). Bands are derived from: Variance = SUM((hlc3 - RVWAP)^2 * volume) / SUM(volume), giving true volume-weighted statistical envelopes.
Trend Colouring: RVWAP turns GREEN when it is rising and close > upper band (strong trend up), RED when falling and close < lower band (strong trend down), and WHITE when price oscillates within the bands (neutral / mean-reversion environment). Trend lookback is automatically synchronised to the RVWAP timeframe.

How to use

Trend following: Trade in the direction of a green or red RVWAP when price breaks and holds outside the bands.
Mean reversion: When RVWAP is white (neutral), band tags are potential mean-reversion entries back toward the RVWAP.
Alerts: Two built-in alert conditions are included for price crossing above the upper band or below the lower band.

Inputs

RVWAP Timeframe — Resolution for VWAP aggregation (default: 3-minute). Should be >= your chart timeframe.
RVWAP Time Period in Hours — Rolling window for VWAP calculation (default: 10 hours).
Standard Deviation Multiplier — Band width in standard deviation units (default: 2.0).
Show Bands / Show Fill — Toggle band lines and fill visibility independently.

Important notes
This indicator uses lookahead=barmerge.lookahead_off on all request.security() calls. The last bar may update as real-time volume changes — this is normal VWAP behaviour and not a repainting issue.
The SWMA + RMA smoothing introduces some lag and is not intended for tick-level scalping.
Works on all markets and timeframes. On very thin/illiquid instruments, VWAP reliability depends on volume data quality.

Credits
Rolling time-window aggregation uses the PineCoders/ConditionalAverages/2 library (PineCoders, public domain per TV House Rules). All other code — volume-weighted standard deviation, timeframe synchronisation, trend state logic, and smoothing pipeline — is original.

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