Current Week VWAP (2024)

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Indicator Description

Apart from the open source version of the weekly VWAP described below, we also offer a Professional VWAP Suite. To compare to the Library vs. Premium versions, please refer to this link.

The weekly VWAP is the volume-weighted average price (VWAP) and reflects how market prices have developed during the current week. In particular, the indicator tracks the trading volume for the week, placing more weight on large trades and less for smaller ones. Many institutional traders will therefore pay close attention to the Current Week VWAP. They will try to buy/sell as close as possible to this benchmark and execution is measured as good vs. bad by how far removed it was from the Current Week VWAP.

Custom Weekly VWAP Calculations

The Current Week VWAP can be set to calculate using the full session or be based on custom hours, such as the regular session. If a custom / regular session is used, the weekly VWAP will pause outside the specified time window. The indicator also comes with volume-weighted standard deviation bands. Although the VWAP uses volume information, we recommend setting it to “Calculate” = “On price change” as there is no added benefit to recalculate with each incoming tick.

The indicator will calculate a weekly VWAP and accurate bands when applied to high resolution charts. However, when used with higher timeframe charts, the plots may be few ticks off the correct value.

Disclaimer

Futures, stocks, and spot currency trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

This website is intended for educational and informational purposes only and should not be viewed as a solicitation or recommendation of any product, service or trading strategy. No offer or solicitation to buy or sell securities, securities derivative or futures products of any kind, or any type of trading or investment advice, recommendation or strategy, is made, given, or in any manner endorsed by LizardIndicators and the information made available on this website is not an offer or solicitation of any kind.

FAQs

How do you calculate VWAP weekly? ›

VWAP is calculated by multiplying the typical price by volume and then dividing by total volume. A simple moving average incorporates price but not volume. The SMA is calculated by totaling closing prices over a certain period (say 10 days) and then dividing the total by the number of periods (10).

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What is the weekly VWAP indicator? ›

The Anchored VWAP Calculation

The Current Week VWAP plots the volume weighted arithmetical mean of all transactions that take place during the weekly session. It is found by adding the prices for every transaction during the week divided by the total number of contracts traded during that time.

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What time frame is best for VWAP? ›

Typical Timeframes

Many VWAP indicators also come with an upper and lower trend line that is similar to a Bollinger Band. The intraday time frame VWAP value can change depending on the time frame of the chart. A 5-minute or 15-minute VWAP is typical when trading intraday to illustrate the trend.

How do I find my 5 day VWAP? ›

The VWAP 5 filter calculates the VWAP over the past five trading days for each stock. It is calculated by multiplying the price of each trade by the volume traded and dividing the sum by the total volume traded over this five-day period.

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Is VWAP based on trading days or calendar days? ›

VWAP is a dynamic indicator calculated for one trading day. On a daily chart, the VWAP line alone might be used to identify potential trends and price reversals. Because the line goes through each price bar, a trader could determine if the prevailing price is above or below VWAP.

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What is the VWAP rule? ›

VWAP = (Cumulative (Price * Volume) ÷ (Cumulative Volume)

Well, volume indicates if it is a good stock to buy or not. A stock which enjoys good demand and price is a good bet. If for some stocks the price is attractive, but there is no volume of trading, it means the stock has no taker.

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What is the best VWAP strategy? ›

For intraday trading, the best way to use VWAP is by initiating a buy order when the price falls below it and executing a sell order when the price rises above.

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What is the best indicator along with VWAP? ›

Relative Strength Index (RSI): RSI can be used in conjunction with VWAP to identify overbought or oversold conditions, providing additional confirmation for potential trade setups.

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Is VWAP reliable indicator? ›

Since the VWAP calculation is based on historical data it is still considered a lagging indicator, but that doesn't stop traders from using this measure to establish support and resistance levels suitable for intraday trading.

How to read VWAP on TradingView? ›

When price is above the VWAP, the trend is up and when it's below the VWAP, the trend is down. There is a downside, however. Even though it is primarily used on an intraday basis, there can still be a great deal of lag between the indicator and price.

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What is the 7 day VWAP? ›

Closing 7-Day VWAP means the VWAP for seven (7) consecutive trading days ending on the trading day immediately prior to the Closing Date.

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What is the VWAP calculation tool? ›

A VWAP calculator is a tool that calculates the Volume Weighted Average Price, a trading benchmark used throughout the trading day. How is VWAP Calculated? VWAP is calculated by taking the product of the stock's price and the volume traded at each interval and dividing the total by the cumulative volume of the stock.

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How do you calculate VWAP over a period? ›

The formula for calculating VWAP equals the typical price (the average of the low price, the high price, and the closing price of the stock for a given day) multiplied by the number of shares traded in a given day, divided by the total number of shares traded (cumulative volume).

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How do you calculate average weekly volume? ›

Average Weekly Volume is calculated by multiplying the Average Daily Volume by the number of trading days in the calendar week preceding the proposed sale or transfer of Shares.

What is the formula for rolling VWAP? ›

The formula for VWAP is:VWAP = (Sum(price * volume) for all trades within the time period) / (Total volume traded within the time period) Moving Average: The VWAP is typically calculated for a rolling time window, such as a day, week, or month.

How is 60 day VWAP calculated? ›

The 60-day VWAP calculation will (i) use the daily close price and daily volume as reported on Yahoo Finance, and (ii) be calculated as follows: Daily Close X Daily Volume = Daily Weighted Volume with Total Daily Weighted Volume (60 days) / Total Daily Volume (60 days) , except with respect to the calculation of daily ...

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