VWAP Study with Bands

Here is a special version of the Volume-Weighted Average Price (VWAP) study including standard deviation bands.

VWAP is the volume-weighted average price for a futures contract plotted as a line on the price chart. The calculation is the sum of traded volume times the price, divided by the sum of the traded volume.

This study has a number of uses. It provides the current volume-weighted average price for the trading day or the trading session. Traders can compare the current price to the VWAP. In addition, the VWAP can be calculated using a set look-back period to smooth the price data similar to a standard moving average.

VWAP = (Sum of traded volume*price)/(Sum of the traded volume)

The parameters are as follows:

  • START: VWAP starting point 1=Start of Day, 2=Start of Session, 3=None
  • STperiod: length of the standard deviation calculation​
  • STfactor: factor of the standard deviation to be added or subtracted from the VWAP

Download the PAC file ‌‍‍‍‍

Tags
VWAP
CQG PAC Files
File
VWAP3.pac1.4 MB

Disclaimer

Trading and investment carry a high level of risk, and CQG, Inc. does not make any recommendations for buying or selling any financial instruments. We offer educational information on ways to use our sophisticated CQG trading tools, but it is up to our customers and other readers to make their own trading and investment decisions or to consult with a registered investment advisor. The opinions expressed here are solely those of the author and do not reflect the opinions of CQG, Inc. or its affiliates.