VWAP Bands¶
Indicators · Volume
VWAP with volume-weighted standard-deviation bands (1σ / 2σ).
VWAP Bands wrap the VWAP line in standard-deviation bands — one and two sigma above and below — turning the fair-value line into a full mean-reversion map. VWAP tells you the average price; the bands tell you how stretched price is from it. Price tagging the +2σ band is unusually expensive relative to the session's fair value, the −2σ band unusually cheap. It's the volume-world equivalent of Bollinger Bands, built around VWAP instead of a moving average.
How it works¶
The block computes VWAP (resetting at the Anchor: session, week, or all), then measures the volume-weighted standard deviation of price around it and lays bands at Band 1 ×σ (1.0) and Band 2 ×σ (2.0). The outputs are five lines on the price pane — VWAP plus +1σ/−1σ and +2σ/−2σ. Because both the centre and the deviation are volume-weighted, the bands reflect where volume actually traded, not just price.
When to use it¶
Use VWAP Bands for intraday mean reversion around fair value. The classic plays: fade touches of the outer (±2σ) bands back toward VWAP in a range, treat the ±1σ bands as interim targets, and watch a decisive break and acceptance beyond ±2σ as a potential trend day rather than a fade. It's one of the most-used setups among intraday and futures traders. As with all band tools, don't fade them in a strong trend where price walks the band — match the anchor to your session and the bands to the instrument's typical stretch.
Example¶
A fade back to fair value: with session anchor, wire bars into VWAP Bands and fire when price tags the −2σ band and turns up via a Crosses Above, targeting the VWAP line, into a Buy Signal. Gate to a non-trending session and backtest in the Tester.
Tips & gotchas¶
- Bollinger Bands around VWAP — fair-value centre, volume-weighted deviation.
- ±2σ for fades, ±1σ for targets, VWAP as the magnet.
- Acceptance beyond ±2σ = trend day — don't fade a band price is walking.
- Match anchor to session; tune the σ multiples to the instrument's stretch.
Related blocks¶
Inputs¶
| Socket | Type | What to wire in |
|---|---|---|
| Bars | bars |
Price bars |
Outputs¶
| Output | Type | Plots as | Description |
|---|---|---|---|
| VWAP | series |
Line | VWAP line (price scale) |
| +1σ | series |
Line | VWAP + mult1·σ |
| -1σ | series |
Line | VWAP - mult1·σ |
| +2σ | series |
Line | VWAP + mult2·σ |
| -2σ | series |
Line | VWAP - mult2·σ |
Parameters¶
| Parameter | Type | Default | What it does |
|---|---|---|---|
| Anchor | choice (session, week, all) |
session |
Where the cumulative sum resets |
| Band 1 ×σ | number · 0.1–10.0 | 1.0 |
|
| Band 2 ×σ | number · 0.1–10.0 | 2.0 |
|
| VWAP color | colour | #ffb74d |
|
| Band 1 color | colour | #90caf9 |
|
| Band 2 color | colour | #ce93d8 |
Reference auto-generated from the block catalog · category Indicators.