Frato Vwap Bands
- Indicators
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Francisco Felipe Alves Da Silva Rocha
I’m Felipe Frato, passionate about technology, finance, and building solutions for the financial market. On my website frato.com.br I share content, strategies, and tools tailored for traders and investors who want to improve their market performance. Here you’ll find indicators, analyses, and - Version: 1.0
Frato VWAP Bands — Volume Weighted Average Price with Standard Deviation
Frato VWAP Bands is an indicator that combines the traditional VWAP with dynamic volatility bands. It offers a multi-period view of the volume-weighted average price.
Main Functionality:
The indicator calculates the VWAP (Volume Weighted Average Price) and plots up to 3 upper and lower bands based on the standard deviation. The calculation is reset at the beginning of each new selected period (Hourly, H4, Daily, Weekly, Monthly), allowing for intraday and long-term trend analysis.
The standard deviation bands are weighted by the same volume used for the VWAP. This makes them dynamic and sensitive to market activity, helping to identify out-of-average price movements and potential reversal zones.
Interpretation Guide: The VWAP line is often used as a reference for the weighted average price. Trades above the VWAP suggest buying pressure, while trades below indicate selling pressure. The bands act as dynamic reference levels, with the outer bands indicating statistically significant extremes.
Configuration Parameters:
Period: Defines the VWAP reset frequency.
- 1 Hour (H1) – Resets every 00:00.
- 4 Hours (H4) – Resets every 4 hours (00:00, 04:00, 08:00, etc.).
- Daily – Resets at the beginning of each trading day.
- Weekly – Resets at the beginning of the trading week (Sunday night).
- Monthly – Resets on the first day of each month.
Volume Type:
- Tick Volume – Uses the number of ticks (ideal for Forex and CFDs).
- Actual Volume – Uses the actual volume traded (suitable for stocks and futures on exchanges that provide this data).
Standard Deviation Multipliers: Define the width of each band. Configure up to three distinct multiples (e.g., 1.0, 2.0, 3.0).
How to use it in your strategy:
Trend filtering: Consider trading in the direction of the VWAP slope. For example, evaluate buy positions only when the price is above the VWAP.
Support/Resistance: Use the bands as dynamic reference levels for entries or profit targets.
Mean reversion: Observe the price touching the outer bands (σ2 or σ3) and returning to the VWAP, a common mean reversion pattern.
Volume peak: The indicator is most effective in markets with high liquidity and volume. Adjust the bands to the typical volatility of your asset.
Visual identity (Frato Academy standard):
VWAP – Solid gold line (Width 2) – The main reference.
Upper/Lower band 1 (σ1) – Solid blue – First deviation zone.
Upper/Lower Band 2 (σ2) – Dark Blue Dashed – Second deviation zone.
Upper/Lower Band 3 (σ3) – Royal Blue Dotted – Third deviation zone (extreme zone).
Important Notes:
This indicator does not repaint or recalculate past values.
It is compatible with any instrument (Forex, indices, commodities, stocks, cryptocurrencies) and any chart timeframe.
For a complete manual and advanced usage examples, please refer to the Discussion tab or the website associated with this product.
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