VWAP Adaptive (RelVol-Adjusted)This indicator provides an Adaptive VWAP that adjusts volume weighting using RelVol (Relative Volume at Time), offering a more accurate and context-aware price reference during sessions with irregular volume behavior.
Classic VWAP calculates the average price weighted by raw volume, without considering the time of day. This becomes a serious limitation during major market events such as CPI releases, FOMC announcements, NFP, or large-cap earnings. These events often trigger massive volume spikes within one or two candles. As a result, the classic VWAP gets pulled toward those extreme prices and becomes permanently skewed for the rest of the session.
In such conditions, classic VWAP becomes unreliable. It no longer reflects fair value and often misleads traders relying on it for dynamic support, resistance, or reversion signals.
This Adaptive VWAP improves on that by using RelVol, which compares the current volume to the average volume seen at the same time over previous sessions. It gives more weight to price when volume is typical for that moment, and adjusts the influence when volume is statistically abnormal. This reduces the impact of isolated volume spikes and stabilizes the VWAP path, even in high-volatility environments.
For example, on SPY 1-minute or 5-minute charts during a CPI release, a massive spike in volume and price can occur within a single candle. Classic VWAP will immediately anchor itself to that spike. Adaptive VWAP using RelVol softens that effect and maintains a more realistic trajectory.
Key features:
- Adaptive VWAP weighted by time-adjusted Relative Volume (RelVol)
- Designed to maintain VWAP reliability during macroeconomic events
- Flexible anchoring: Session, Week, Month, Quarter, Earnings, etc.
- Optional display of Classic VWAP for comparison
- Up to 3 customizable deviation bands (standard deviation or percentage)
This tool is ideal for intraday traders who need a VWAP that remains usable and unbiased, even in volatile sessions. It adds robustness to VWAP-based strategies by incorporating time-sensitive volume normalization.
