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Aspect measures any one of three critical VWAP elements —
1) Position: price distance from VWAP in standard deviations as a subgraph indicator
2) Slope: rate of change of VWAP to detect incrementally rising (or waning) directional aggression
3) Deviation Size: using VWAP standard deviation bands as a proxy for expected range, comparing current volatility to historical (‘typical’) volatility as a ratio
Aspect is all about confirmation — that ‘position’ is diverging from price, that slope is intensifying (or decaying), or that volatility is normal or abnormal.
DateVWAP gives traders the power to launch a volume-weighted average price and deviation bands from any user-input date. Anchor VWAPs to specific fixed dates and times (YYYYMMDD HHMM format) or, with the ‘DaysAgo’ setting, enable a recurring/rolling average that updates as new days elapse — for example, VWAP over the last five trading days.
This study allows traders to quickly gauge the average price since any date visible on the current chart, whether daily or intraday, with additional options to automatically identify — and launch VWAPs from — daily highs or lows. As such, multiple copies of this indicator can be layered on the same chart with distinct colorization for clarity.
Just as the name implies, Dashboard contains several useful VWAP metrics like price in relation to VWAP (dollars, percent, and StDev) as well as automatic viable position sizing estimation. Each metric can be separately hidden according to preference and the position size calculator is customizable to fit your particular parameters of risk and reward.
Appearing in the upper left corner of the chart, Dashboard allows traders to quickly assess a chart’s specific volatility in the context of — and its position relative to — the day’s volume-weighted average price.
Zach’s custom intraday VWAP study, including the standard average price and deviation bands along with color-coding to reflect the market’s current position and slope. As with the thinkorswim® VWAP, this can be applied to Day, Week or Month periods for ‘calendar resetting’ averages.
This is the backbone of our intraday strategy, as it reveals areas of support and resistance that would otherwise remain hidden and highlights them through custom colorization. As an essential visual reference point, this indicator creates the foundation for the primary trade setups we cover in our on-demand course.
The custom indicators were originally created on TDAmeritrade’s thinkorswim, but have since been replicated on both NinjaTrader and TradingView. Please note that three of the six indicators — Dashboard, EventVWAP, and Average Volume — are not currently available on TradingView, but these three are not critical and their absence will not prevent you from effectively trading the strategy.
Intraday, Aspect, and DateVWAP are the three most important indicators, and they are all available on each of the listed platforms.
The code was originally written on ThinkOrSwim and is natively designed for this platform. Every indicator mentioned in the gallery below is available and accessible on ToS. Please note that the platform is free, and you do not need a funded account to access their real-time charting data.
For traders unable to use ThinkOrSwim due to country restrictions, we’ve been able to replicate some of the code on TradingView’s free charting software. VWAP Intraday, DateVWAP, and a limited version of VWAP Aspect are available. The strategy can still be successfully traded using this platform, but some of the features shown in the gallery below will be inaccessible.
Requiring no date input from the user, EventVWAP automatically launches custom-dated VWAPs from relevant events — earnings, options expiry, user-defined gaps, swing highs or lows, etc. — to detect longer-term thematic support and resistance. Works on both intraday and daily charts and includes user-specified thresholds for detection of launch events, such as the minimum gap % required to qualify.
This indicator alone is a massive enhancement for any long-term VWAP chartist and a significant time-saver (compared to entering dozens of inception dates by hand).
Four volume averaging methods in either absolute (raw data) or relative (easy comparison) format.
Day Cumulative compares current total volume to historical average total volume at the same time of day, similar to a volume ‘pace’ or ‘schedule’ indicator.
Specific Bar is an uncommon method for comparing any given bar to that same bar on prior (visible) days.
Rolling (user-definable) periodic average is a commonplace, X-bars-back comparison against current volume.
Dollar/Percent plots volume in either raw dollar form (the money transacted during a given candle) or percent-of-average-day’s-volume.
Despite being mischaracterized by many traders as a one-dimensional indicator with limited functionality, VWAP offers immense value when used correctly. This guide explores the untapped potential of volume weighted average price that often goes unseen by discussing concepts like standard deviation bands, longer term VWAPs, slope, and more.
By diving deeper into VWAP than any other free resource, this guide dispels the common misconceptions and illuminates the significant role it plays in dictating market behavior. The Roadmap serves as a precursor to our on-demand video course, which extensively explores every concept discussed and more.
VWAP On-Demand provides a comprehensive look at both volume-weighted average price and our unique strategy built around it. The package includes:
Condensing over a decade of market insight from TheVWAP’s founder, Zach Hurwitz, our streamlined curriculum will enhance your understanding of VWAP and the dramatic impact it can have on your trading.