OPEN-SOURCE SCRIPT
Multi-VWAP System
🚀 Multi-VWAP System — Anchored VWAP & Deviation Bands
Overview
The Multi-VWAP System provides traders with a professional-grade approach to anchored VWAP analysis. Inspired by Brian Shannon's pioneering work on Anchored VWAP, this indicator automatically calculates and plots:
Current Session VWAP
Previous Session VWAP (also known as "2-Day VWAP")
High-of-Day (HOD) Anchored VWAP
Each VWAP can also display optional Standard Deviation Bands to highlight statistically significant deviations from the volume-weighted average price.
🔍 Why Anchored VWAP Matters
Volume Weighted Average Price (VWAP) is among the most critical institutional indicators, as it represents the average price paid for a stock adjusted by trading volume. This makes VWAP crucial for identifying fair value and significant areas of institutional activity.
Institutions utilize VWAP extensively to guide their execution algorithms. For instance, if price dips below a 2-day anchored VWAP (anchored to the previous session's open), many institutions interpret this as a discounted entry, potentially triggering large-scale buy programs. Conversely, sustained movement above VWAP signals strong buying pressure and bullish sentiment.
📌 Why Multiple Anchors?
Traders commonly anchor VWAPs at critical reference points:
Current Session VWAP:
Essential for day traders as a reference for intraday sentiment. Price action above this line generally indicates bullish sentiment, while price below signals bearish sentiment.
Previous Session (2-Day) VWAP:
Heavily used by institutions and swing traders, it provides insight into multi-session sentiment. Institutions commonly activate buy or sell programs based on whether price is trading at a premium or discount relative to this VWAP.
High-of-Day (HOD) VWAP:
Frequently used by momentum traders, this anchor captures sentiment after the most recent intraday high. Price above the HOD VWAP suggests sustained bullish momentum, while price below might signal weakening momentum.
🌟 Standard Deviation Bands
Each anchored VWAP in this indicator includes optional Standard Deviation Bands, highlighting statistical extremes. Traders use these bands to:
Identify potentially overextended moves (beyond +2σ or +3σ).
Gauge momentum strength (holding above +1σ).
Spot mean-reversion setups when price returns to VWAP after extreme moves.
🎨 Dynamic Background and Momentum Colorization
To visually highlight strength or weakness in price action relative to VWAP:
Dynamic Background Fill between Current and Previous VWAPs:
Green background appears when the Current VWAP is above the Previous VWAP and the linear regression slope (adjustable length) is positive, indicating bullish sentiment.
Red background appears when the Current VWAP is below the Previous VWAP and the slope is negative, indicating bearish sentiment.
No fill when conditions are mixed or momentum is uncertain.
Gold Fill above HOD VWAP:
When price action is above the High-of-Day VWAP and momentum (linear regression slope) is positive, a subtle gold shading appears, quickly highlighting bullish momentum.
⚙ Fully Customizable Settings
Session Times: Adjust session start and end times to match your specific market hours.
Standard Deviation Bands: Enable or disable each VWAP’s deviation bands individually and select how many bands (1σ, 2σ, or 3σ) you'd like to display.
Momentum Slope Length: Adjustable lookback for linear regression slope calculation—giving you full control of trend sensitivity.
🎯 Who Should Use This Indicator?
This indicator is perfect for:
Day Traders who want quick insights into intraday sentiment shifts.
Swing Traders tracking institutional footprints and seeking optimal entry/exit points.
Momentum Traders who rely on clearly visible momentum signals from HOD anchored VWAPs.
Institutional Traders and Professionals seeking sophisticated, institutionally-inspired VWAP analysis without manual anchoring.
📈 Summary of Features
✅ Automatic VWAP Anchors (Current Session, Previous Session, High-of-Day)
✅ Optional Standard Deviation Bands for each VWAP anchor
✅ Dynamic Background Coloring based on price action and momentum conditions
✅ Gold Momentum Highlight for quick bullish momentum identification above HOD VWAP
✅ Fully Customizable Inputs for precise personalization and flexibility
📢 Conclusion
The Multi-VWAP System isn't just another VWAP indicator. It's an institutional-level, dynamic, multi-dimensional analysis tool inspired by the work of Brian Shannon and leading institutional traders. It takes the guesswork out of anchoring and analysis, leaving you free to focus on identifying and executing high-probability trade setups.
Enjoy trading smarter—not harder. Happy Trading! 🚀📊
Overview
The Multi-VWAP System provides traders with a professional-grade approach to anchored VWAP analysis. Inspired by Brian Shannon's pioneering work on Anchored VWAP, this indicator automatically calculates and plots:
Current Session VWAP
Previous Session VWAP (also known as "2-Day VWAP")
High-of-Day (HOD) Anchored VWAP
Each VWAP can also display optional Standard Deviation Bands to highlight statistically significant deviations from the volume-weighted average price.
🔍 Why Anchored VWAP Matters
Volume Weighted Average Price (VWAP) is among the most critical institutional indicators, as it represents the average price paid for a stock adjusted by trading volume. This makes VWAP crucial for identifying fair value and significant areas of institutional activity.
Institutions utilize VWAP extensively to guide their execution algorithms. For instance, if price dips below a 2-day anchored VWAP (anchored to the previous session's open), many institutions interpret this as a discounted entry, potentially triggering large-scale buy programs. Conversely, sustained movement above VWAP signals strong buying pressure and bullish sentiment.
📌 Why Multiple Anchors?
Traders commonly anchor VWAPs at critical reference points:
Current Session VWAP:
Essential for day traders as a reference for intraday sentiment. Price action above this line generally indicates bullish sentiment, while price below signals bearish sentiment.
Previous Session (2-Day) VWAP:
Heavily used by institutions and swing traders, it provides insight into multi-session sentiment. Institutions commonly activate buy or sell programs based on whether price is trading at a premium or discount relative to this VWAP.
High-of-Day (HOD) VWAP:
Frequently used by momentum traders, this anchor captures sentiment after the most recent intraday high. Price above the HOD VWAP suggests sustained bullish momentum, while price below might signal weakening momentum.
🌟 Standard Deviation Bands
Each anchored VWAP in this indicator includes optional Standard Deviation Bands, highlighting statistical extremes. Traders use these bands to:
Identify potentially overextended moves (beyond +2σ or +3σ).
Gauge momentum strength (holding above +1σ).
Spot mean-reversion setups when price returns to VWAP after extreme moves.
🎨 Dynamic Background and Momentum Colorization
To visually highlight strength or weakness in price action relative to VWAP:
Dynamic Background Fill between Current and Previous VWAPs:
Green background appears when the Current VWAP is above the Previous VWAP and the linear regression slope (adjustable length) is positive, indicating bullish sentiment.
Red background appears when the Current VWAP is below the Previous VWAP and the slope is negative, indicating bearish sentiment.
No fill when conditions are mixed or momentum is uncertain.
Gold Fill above HOD VWAP:
When price action is above the High-of-Day VWAP and momentum (linear regression slope) is positive, a subtle gold shading appears, quickly highlighting bullish momentum.
⚙ Fully Customizable Settings
Session Times: Adjust session start and end times to match your specific market hours.
Standard Deviation Bands: Enable or disable each VWAP’s deviation bands individually and select how many bands (1σ, 2σ, or 3σ) you'd like to display.
Momentum Slope Length: Adjustable lookback for linear regression slope calculation—giving you full control of trend sensitivity.
🎯 Who Should Use This Indicator?
This indicator is perfect for:
Day Traders who want quick insights into intraday sentiment shifts.
Swing Traders tracking institutional footprints and seeking optimal entry/exit points.
Momentum Traders who rely on clearly visible momentum signals from HOD anchored VWAPs.
Institutional Traders and Professionals seeking sophisticated, institutionally-inspired VWAP analysis without manual anchoring.
📈 Summary of Features
✅ Automatic VWAP Anchors (Current Session, Previous Session, High-of-Day)
✅ Optional Standard Deviation Bands for each VWAP anchor
✅ Dynamic Background Coloring based on price action and momentum conditions
✅ Gold Momentum Highlight for quick bullish momentum identification above HOD VWAP
✅ Fully Customizable Inputs for precise personalization and flexibility
📢 Conclusion
The Multi-VWAP System isn't just another VWAP indicator. It's an institutional-level, dynamic, multi-dimensional analysis tool inspired by the work of Brian Shannon and leading institutional traders. It takes the guesswork out of anchoring and analysis, leaving you free to focus on identifying and executing high-probability trade setups.
Enjoy trading smarter—not harder. Happy Trading! 🚀📊
Script open-source
In pieno spirito TradingView, il creatore di questo script lo ha reso open-source, in modo che i trader possano esaminarlo e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricorda che la ripubblicazione del codice è soggetta al nostro Regolamento.
Per un accesso rapido a un grafico, aggiungi questo script ai tuoi preferiti: per saperne di più clicca qui.
Declinazione di responsabilità
Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.
Script open-source
In pieno spirito TradingView, il creatore di questo script lo ha reso open-source, in modo che i trader possano esaminarlo e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricorda che la ripubblicazione del codice è soggetta al nostro Regolamento.
Per un accesso rapido a un grafico, aggiungi questo script ai tuoi preferiti: per saperne di più clicca qui.
Declinazione di responsabilità
Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.