Session Volatility Compass (VWAP-ADR)

📊 VWAP-ADR Multi-Timeframe — Smart Volatility & Timing Tool

This indicator combines Average Daily Range (ADR), VWAP weighting, and time-based projections into a clean, session-aware model that helps you spot when volatility is lagging or running hot.

🔑 Key Features

VWAP-Weighted ADR: Smarter than simple averages—adjusts ranges by their relationship to VWAP and volume, for a truer “fair value” baseline.

Time-Based Projection (U-Shape/Linear): See how today’s volatility stacks up vs what’s expected by this point in the session.

Multi-Timeframe Comparison: Instantly check today’s range against daily & weekly ADRs. No repainting—uses completed HTF bars.

VWAP Anchors: Session, Weekly, Monthly, or Quarterly VWAP for bias confirmation.

Dynamic Stats Table: Real-time readout of ADR%, expected vs actual, VWAP position, session phase, and HTF range use.

Color-coded Histogram: Green → Yellow → Orange → Red = building toward or exceeding ADR.

Smart Alerts:

Premium Long: Late-session catch-up setup (low ADR%, behind schedule, reclaim VWAP, HTFs not overused).

Premium Short: Early fade setup (high ADR%, ahead of schedule, reject VWAP, HTFs stretched).

🚀 Trading Edge

Spot lagging volatility for late-day catch-up trades.

Catch exhausted early expansions for high-probability fades.

Align intraday plays with VWAP & HTF structure.

Works on FX, crypto, indices, metals, and equities (session-aware).

✅ Best For:

Intraday traders who want a structured volatility map.

Swing traders monitoring intraday exhaustion/extension signals.

Anyone who wants clear, rule-based alerts (Premium Long/Short) instead of noise.

How to use it:

Color columns: green→yellow→orange→red = progressing toward/over ADR.

Read the white line (Expected) vs columns:

Below the line = behind schedule → if late in session and above VWAP, your Premium Long logic looks for mean-reversion/catch-up.

Above the line early = ahead of schedule → your Premium Short logic looks for an exhaustion/reversion while still early.

Check VWAP & HTF rows in the table:

Above VWAP + not-overused HTFs favors long catch-ups.

Below VWAP + stretched HTFs favors short fades.

Confirm with session phase: You’ve got OPEN/MID/CLOSE labeling and session progress %.

Strengths

Non-repainting HTF math ([1] on security), and completed-day ADR inputs → stable.

Session-aware range (optional gap handling) → better realism for equities vs 24×7.

Actionable alerts that encode a full checklist (volatility state + time + VWAP + HTF).



👉 Add this tool to your charts and let the VWAP-ADR engine guide your session reads.
Perfect for traders who ask: “Is today lagging? Or is it already stretched?”