This indicator plots VWAP with 2x Standard Deviation bands. This could potentially be used to trade a mean reversion type strategy. Only works on intraday charts.
study("VWAP Stdev Bands", overlay=true) devNum = input(2, title="Number of stdev") newSession = iff(change(dayofweek), 1, 0) vwapsum = iff(newSession, hl2*volume, vwapsum[1]+hl2*volume) volumesum = iff(newSession, volume, volumesum[1]+volume) v2sum = iff(newSession, volume*hl2*hl2, v2sum[1]+volume*hl2*hl2) myvwap = vwapsum/volumesum dev = sqrt(max(v2sum/volumesum - myvwap*myvwap, 0)) plot(myvwap, title="VWAP") plot(myvwap + devNum * dev, title="VWAP Upper") plot(myvwap - devNum * dev, title="VWAP Lower")