VWAP Bands
The VWAP with bands one, two or three volume-weighted standard deviations either side — how far price has stretched from where the volume traded.
The VWAP with bands one, two or three volume-weighted standard deviations either side — how far price has stretched from where the volume traded.
- Candles
- 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 12h, 1d, 1w, 1M
- Footprint
- 1m, 5m, 15m, 1h
- Alerts
- no
What it shows
The VWAP line, and around it up to three pairs of bands. Each band sits a set number of standard deviations above and below the VWAP, where the deviation is measured the same way the VWAP is: every candle's typical price counts as many times over as the volume it traded. The first pair is shaded.
When most of the volume traded close to the VWAP the bands sit tight around it; when the day's volume was spread over a wide range of prices they open up.
How to read it
- Stretch. Price at the outer band has moved a long way from where the day's volume traded. On a range day that tends to pull back towards the VWAP; on a trend day price can ride the first or second band for hours.
- Width. Narrow bands mean the market agreed on a price; widening bands mean it is still searching.
- A second VWAP. The middle line is exactly the VWAP indicator's line at the same anchor, so the two can be used together or this one on its own.
Parameters
| Setting | Control | What it does |
|---|---|---|
| Anchor | Choice Daily (UTC) · From first bar loaded | Where the VWAP and its bands restart. By day is the standard (UTC day); from the loaded data moves with whatever history was fetched. default: Daily (UTC) |
| Band 1 (σ) | Number | How many standard deviations this band sits from the VWAP. 0 hides it. 0–5 · default 1 |
| Band 2 (σ) | Number | How many standard deviations this band sits from the VWAP. 0 hides it. 0–5 · default 2 |
| Band 3 (σ) | Number | How many standard deviations this band sits from the VWAP. 0 hides it. 0–5 · default 0 |
| Colour | Colour | |
| Outer band colour | Colour | |
| Fill opacity (%) | Number | Opacity of the shading between the lines. Set 0 to turn the fill off and keep the edges. 0–40 · default 8 |
Anchor decides where the VWAP and the bands start, exactly as on the VWAP: the UTC day, or the oldest candle loaded. The three band settings are how many standard deviations each pair sits from the VWAP; 0 hides that pair. The defaults are 1 and 2, with the third off.
Limitations
- Under Daily (UTC) it restarts on the UTC day. For a VWAP and bands that follow another timezone or a window of trading hours, use Session VWAP in the Volume Profile, which folds them over the same session as the profile from the volume at each traded price.
- On the 1d timeframe and longer, every candle starts a new day, so each day holds one candle: the deviation is zero and every band sits on the VWAP line. Use a shorter timeframe, or From first bar loaded.
- From first bar loaded moves when older history loads — the line and the bands get a different starting point and all of them change.
- It is built from candles: within a candle, all of its volume counts at the candle's typical price.
- Early in the day there is little volume behind the bands, so they can be very narrow and move a lot.
- The newest candle is still trading, so the last point moves until that candle closes.
- On Renko, range bars and line break it is computed from the bricks and bars drawn, whose volume is an estimate or partial on two of the three — see Candle shapes.
- It prints no value: read it against the price axis.
- It takes no alert. Its Alert tab says it draws no signal; for a price level, set a price alert.