Volume Weighted Average Price (VWAP), with Standard Deviation Bands
VWAP is a moving average with weighting for traded volume, so heavier trading activity has a greater impact on its direction. Low volume periods will move the VWAP less than high volume periods.
The VWAP is important because institutional investors often use it to determine what is ‘fair value’. You can often see the market reacting when it gets close to the VWAP.
This version is time segmented VWAP. It reset ma values when selected time period expires. Time periods are able to be selected in the settings: "1D", "2D", "W", "14D", "M", "60D", "12M", "24M", "Custom". Additionally script determines VWAP standard deviations. Multipliers for VWAP Standard Deviation Bands can be changed in the settings. There is also option to show previous VWAP and its Standard Deviation Bands before timeframe reset.
Release Notes
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@version=5 added rolling VWAP with stdev bands more divisions in stdev bands (4) plots style changed
Is the rolling VWAP period setting in days, timeslices, or something else?
oldyize1
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Hello, this is one of the best vwap's i've seen. Wondering if you could help me out? I'm looking for a vwap w/std deviations that plot as horizontal lines instead of bands. I have a script like this for thinkorswim but since i've started using TV I haven't seen anything like it. Wondering if this is possible? thank you