millionchart
Sign in Open chart
فارسی

VWAP

What the volume-weighted average price and its bands show, what the anchor periods mean, its settings on MillionChart and an example on gold.

VWAP is the volume-weighted average price: the average price of the period so far, with every candle counting in proportion to its volume. It restarts at the start of each anchor period — the session (the day) by default — and is drawn over the candles with up to three pairs of bands. Intraday traders use it as the day's fair price.

VWAP (Session, Typical) with its first pair of bands over gold, 15-minute candles
VWAP (Session, Typical) with its first pair of bands over gold, 15-minute candles

What it shows#

  • VWAP — a gold line over the candles. Price above it means the average buyer of the period is in profit; below it, under water. Early in the period it moves a lot; as volume builds it gets harder to move.
  • Upper band #1 and Lower band #1 — green lines one volume-weighted standard deviation above and below VWAP, with a faint fill between them.
  • Upper band #2 / #3 and Lower band #2 / #3 — two and three deviations away; computed but hidden until you show them under Lines in the Inspector.
  • At the first candle of a new period the line and the bands jump: the sums restart.

How it is calculated#

From the first candle of the anchor period, VWAP = Σ(source × volume) / Σ(volume); the source is the typical price (high + low + close) / 3 by default. Each band is VWAP ± multiplier × the volume-weighted standard deviation of the source over the same candles (Standard Deviation mode), or ± multiplier percent of VWAP (Percentage mode). The anchor periods are calendar periods in UTC — Session is the UTC day, Week starts on Monday at 00:00 UTC, Month, Quarter and Year are the calendar ones — whatever time zone the chart shows.

How traders use it#

  • Side of the day: many intraday traders look for longs only while price holds above VWAP and for shorts only below it.
  • Pullback entry: in a trend, a pullback to VWAP that holds is a common entry; a clean break through it against the trend is a warning.
  • Mean reversion: a stretch to band #2 or #3 on a quiet day often comes back toward VWAP; on a trend day it does not, so judge the trend first.
  • Watch out for: on daily candles the Session VWAP restarts on every candle and only repeats its typical price — use an intraday timeframe or a longer anchor. The restart at 00:00 UTC need not match the broker's trading day. On gold and forex the volume is tick volume.

Settings#

SettingDefaultWhat it changes
Anchor periodSessionWhen the sums restart: the UTC day, the week (Monday 00:00 UTC), the calendar month, quarter or year.
SourceTypicalThe price averaged: Typical is (high + low + close) / 3; or Open, High, Low, Close, Mid (HL2), Average (OHLC4).
Bands calculation modeStandard DeviationBands in volume-weighted standard deviations, or (Percentage) in percent of VWAP.
Bands multiplier #11Distance of the first band pair.
Bands multiplier #22Distance of the second pair (hidden by default).
Bands multiplier #33Distance of the third pair (hidden by default).
Colours and style—VWAP, Upper band / Lower band #1–#3 and Bands fill #1–#3; show the hidden pairs under Lines in the Inspector.

Example on gold#

On 15-minute candles, suppose the UTC day opens with gold at $4,300, the London morning lifts it to $4,318, and VWAP climbs slowly to $4,308. Around midday price pulls back, touches VWAP, and the next candle closes above it again. For example, a trader who trades with the day's direction takes that hold as a long entry, with a stop just under the lower band #1 (say $4,303) and the morning high as the first target.

What invalidates it: a 15-minute close below VWAP, more so one below band #1 — the day's average buyer is now losing. A position carried past 00:00 UTC is measured against a new, nearly empty VWAP.

Add it to your chart#

  1. Click Indicators in the top strip (on the Pro screen, press I).
  2. Type vwap and click VWAP, or press Enter. VWAP is also under Quick add and in the Scalp setup.
  3. Click its chip in the legend to open the Inspector and change the settings; drag the chip to reorder; the dot hides it; × removes it.