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VWAP Simple

The Volume Weighted Average Price is similar to a moving average, except volume is included to weight the average price over a period.   

Volume-Weighted Average Price [VWAP] is a dynamic, weighted average designed to more accurately reflect a security’s true average price over a given period. Mathematically, VWAP is the summation of money (i.e., Volume x Price) transacted divided by the total volume over any time horizon, typically from market open to market close.

VWAP reflects the capitalist democracy of the market — where it’s one vote per share, not one vote per trader — more honestly describing the concept all traders implicitly accept: that the market is driven by large participants.

Institutions use it to objectively evaluate the execution quality of large trades, whereas independent traders experience this as dynamic, otherwise hidden support and resistance occurring at the VWAP. Institutional buyers and algorithms will often use VWAP to plan entries and initiate larger positions without disturbing the stock price.

The VWAP can be used similar to moving averages, where prices above the VWAP reflect a bullish sentiment and prices below the VWAP reflect a bearish sentiment. Traders may initiate short positions as a stock price moves below VWAP for a given time period or initiate long position as the price moves above VWAP.


Applied Price: PRICE_CLOSE = Closing Price

                       PRICE_OPEN = Opening Price

PRICE_HIGH = The maximum price for the period

                         PRICE_LOW = The minimum price for the period

                         PRICE_MEDIAN = The median price, (maximum + minimum) / 2

                         PRICE_TYPICAL = Typical price, (maximum + minimum + closing) / 3

                         PRICE_WEIGHTED = Average price, (maximum + minimum + closing + closing) / 4

Accumulation Period: DAILY




Applied Volume: VOLUME_TICK


WillieBeGood 2020.05.14 06:39   

I have not been able to see it work, installed and put it on the chart, nothing. In case I did something wrong I will repeat the process to be fair.

zacante 2019.09.29 03:35 


sami.m767 2019.07.28 19:59 

User didn't leave any comment to the rating

Maurício Ferrari
Maurício Ferrari 2019.06.22 02:43 

User didn't leave any comment to the rating

Samuel White
Samuel White 2019.06.20 00:09 


Thomas Fairhurst
Thomas Fairhurst 2019.06.15 10:13 

Too simple.

Version 2.0 2019.11.14
- Bug fix
- Performance Improvement