OPEN-SOURCE SCRIPT
VWAP Intraday, Weekly, Monthly
A clean, professional implementation of three anchored VWAPs — Intraday, Weekly and Monthly — with standard deviation bands, cloud fills and candle coloring. Built for futures, stocks and forex traders who use VWAP as a core part of their analysis.
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WHAT IS VWAP?
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Volume Weighted Average Price is the most widely referenced intraday benchmark used by institutional traders, market makers and algorithms. It represents the average price at which all volume has transacted over a given period. Price above VWAP is generally considered bullish, price below is bearish. The standard deviation bands show statistical distance from fair value — the further price extends from VWAP, the more extended and mean-reversion prone the move becomes.
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FEATURES
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▶ Intraday VWAP — resets each session. Band 1 and Band 2 with optional cloud fill.
▶ Weekly VWAP — resets each week. Band 1 and Band 2 with optional cloud fill.
▶ Monthly VWAP — resets each month, correctly anchored to the first session of the calendar month. Band 1 and Band 2 with optional cloud fill.
▶ Candle Coloring — green when price closes above Intraday Band 1, red when below. Neutral inside the bands.
▶ Multiple Anchors — Globex (18:00 ET, best for NQ/ES futures), Midnight (stocks and forex), Market Open (9:30 ET RTH), London session (03:00 ET) and Asia session.
▶ Source Selection — HLC3 (typical price, institutional standard), Close, HL2 or OHLC4.
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HOW TO USE
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Futures traders (NQ, ES, MNQ): use Globex anchor. This anchors VWAP to the 18:00 ET session open, matching institutional platforms like Sierra Chart and Bookmap.
Stock traders: use Midnight or Market Open anchor depending on your preference.
Forex traders: use Midnight anchor for a standard daily reset.
Band 1 (1.0 std dev) is the primary level. Price rejecting from Band 1 and reversing toward VWAP is one of the most reliable setups in VWAP trading. Price closing outside Band 1 signals a strong directional move. Band 2 (2.0 std dev) marks extended moves where mean reversion is statistically more likely.
Weekly and Monthly VWAPs act as macro support and resistance levels. Price above both is a bullish macro structure. Price between them shows a transitional zone. Price below both is bearish.
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SETTINGS
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All colors, opacity and line thickness are adjustable by clicking each color swatch — the popup includes color, opacity, thickness and line style in one place.
Each band's standard deviation multiplier is adjustable. The default 1.0 and 2.0 are the most commonly used values but some traders prefer 1.5 / 2.5 depending on their instrument and style.
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NOTES
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- Works on any timeframe and any instrument with volume data.
- For accurate Globex VWAP on NQ/ES, ensure your chart data includes the overnight session.
- Monthly VWAP is anchored to the first Globex session of each calendar month, not midnight of the 1st — this matches the institutional convention for futures.
━━━━━━━━━━━━━━━━━━━━━━━━
WHAT IS VWAP?
━━━━━━━━━━━━━━━━━━━━━━━━
Volume Weighted Average Price is the most widely referenced intraday benchmark used by institutional traders, market makers and algorithms. It represents the average price at which all volume has transacted over a given period. Price above VWAP is generally considered bullish, price below is bearish. The standard deviation bands show statistical distance from fair value — the further price extends from VWAP, the more extended and mean-reversion prone the move becomes.
━━━━━━━━━━━━━━━━━━━━━━━━
FEATURES
━━━━━━━━━━━━━━━━━━━━━━━━
▶ Intraday VWAP — resets each session. Band 1 and Band 2 with optional cloud fill.
▶ Weekly VWAP — resets each week. Band 1 and Band 2 with optional cloud fill.
▶ Monthly VWAP — resets each month, correctly anchored to the first session of the calendar month. Band 1 and Band 2 with optional cloud fill.
▶ Candle Coloring — green when price closes above Intraday Band 1, red when below. Neutral inside the bands.
▶ Multiple Anchors — Globex (18:00 ET, best for NQ/ES futures), Midnight (stocks and forex), Market Open (9:30 ET RTH), London session (03:00 ET) and Asia session.
▶ Source Selection — HLC3 (typical price, institutional standard), Close, HL2 or OHLC4.
━━━━━━━━━━━━━━━━━━━━━━━━
HOW TO USE
━━━━━━━━━━━━━━━━━━━━━━━━
Futures traders (NQ, ES, MNQ): use Globex anchor. This anchors VWAP to the 18:00 ET session open, matching institutional platforms like Sierra Chart and Bookmap.
Stock traders: use Midnight or Market Open anchor depending on your preference.
Forex traders: use Midnight anchor for a standard daily reset.
Band 1 (1.0 std dev) is the primary level. Price rejecting from Band 1 and reversing toward VWAP is one of the most reliable setups in VWAP trading. Price closing outside Band 1 signals a strong directional move. Band 2 (2.0 std dev) marks extended moves where mean reversion is statistically more likely.
Weekly and Monthly VWAPs act as macro support and resistance levels. Price above both is a bullish macro structure. Price between them shows a transitional zone. Price below both is bearish.
━━━━━━━━━━━━━━━━━━━━━━━━
SETTINGS
━━━━━━━━━━━━━━━━━━━━━━━━
All colors, opacity and line thickness are adjustable by clicking each color swatch — the popup includes color, opacity, thickness and line style in one place.
Each band's standard deviation multiplier is adjustable. The default 1.0 and 2.0 are the most commonly used values but some traders prefer 1.5 / 2.5 depending on their instrument and style.
━━━━━━━━━━━━━━━━━━━━━━━━
NOTES
━━━━━━━━━━━━━━━━━━━━━━━━
- Works on any timeframe and any instrument with volume data.
- For accurate Globex VWAP on NQ/ES, ensure your chart data includes the overnight session.
- Monthly VWAP is anchored to the first Globex session of each calendar month, not midnight of the 1st — this matches the institutional convention for futures.
Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.
Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.