The Long-Term Impact of VWAP
To demonstrate the longevity and adaptibility of VWAP, we compiled chart examples of SPY dating back to 2010.
2010
Annual Return: +15.06%
1/13/2010 — Intraday VWAP with deviation bands
9/20/2010 — Intraday VWAP with deviation bands
2011
Annual Return: +1.89%
3/11/2011 — Intraday VWAP with deviation bands + prior day’s VWAP
9/20/2010 — Intraday VWAP with deviation bands
2012
Annual Return: +15.99%
4/10/2012 — Intraday VWAP with deviation bands
9/6/2012 — Intraday VWAP with deviation bands
2013
Annual Return: +32.31%
5/14/2013 — Intraday VWAP with deviation bands
9/20/2013 — Intraday VWAP with deviation bands
2014
Annual Return: +13.46%
2/3/2014 — Intraday VWAP with deviation bands
11/21/2014 — Intraday VWAP with deviation bands + prior day’s VWAP
2015
Annual Return: +1.25%
4/28/2015 — Intraday VWAP with deviation bands + prior day’s VWAP
12/4/2015 — Intraday VWAP with deviation bands
2016
Annual Return: +12.00%
1/29/2016 — Intraday VWAP with deviation bands
7/7/2016 — Intraday VWAP with deviation bands + prior day’s VWAP
2017
Annual Return: +21.70%
1/3/2017 — Intraday VWAP with deviation bands + prior day’s VWAP
8/8/2017 — Intraday VWAP with deviation bands + prior day’s VWAP
2018
Annual Return: -4.56%
3/13/2018 — Intraday VWAP with deviation bands + prior day’s VWAP
8/2/2018 — Intraday VWAP with deviation bands + prior day’s VWAP
2019
Annual Return: +31.22%
3/1/2019 — Intraday VWAP with deviation bands
8/23/2019 — Intraday VWAP with deviation bands + prior day’s VWAP
2020
Annual Return: +18.37%
3/12/2020 — Prior day’s VWAP
12/14/2020 — Intraday VWAP with deviation bands + prior day’s VWAP
2021
Annual Return: +28.75%
1/4/2021 — Intraday VWAP with deviation bands + prior day’s VWAP
7/6/2021 — Intraday VWAP with deviation bands
2022
Annual Return: -18.17%
2/23/2022 — Intraday VWAP with deviation bands + prior day’s VWAP
4/21/2022 — Intraday VWAP with deviation bands + prior day’s VWAP