Volume‑Based Indicators

Learning Objectives

• Understand VWAP as a session‑anchored mean and VWMA as a rolling, volume‑weighted average.
• Recognize why anchoring and session boundaries matter for VWAP.
• Apply volume‑aware baselines with fast MAs for intraday cross signals.

VWAP — Volume Weighted Average Price

• Definition: Typical price averaged by cumulative volume, anchored (daily by default). See VWAP.
• Inputs: high, low, close, volume
• Factors: optional offset (this app anchors daily internally)
• Behavior: Resets each session/day; acts like a dynamic mean. Great baseline against a fast MA for intraday strategies.
• Notes: If your chart supports different anchors (weekly/monthly), keep it daily to match app semantics.

{ "type": "vwap", "factors": { "offset": 0 } }

VWAP accumulates price×volume and divides by cumulative volume from an anchor (typically the start of day). It represents the average price paid per unit and is widely used as a benchmark by intraday participants. Because it resets with each session, VWAP behaves differently across days and is not comparable cross‑session without re‑anchoring.

Presets & notes

• Intraday: VWAP (second) vs EMA(13–21) (first) on 1m–5m is a common pair.
• VWMA: Try length 20–34 vs SMA/EMA 55–89 for 3m–15m charts.
• Offset: Keep 0. For VWAP, ensure your chart uses daily anchoring to match behavior.

VWMA — Volume Weighted Moving Average

• Definition: Moving average weighted by volume over a window (see Weighted moving average).
• Inputs: close, volume
• Factors: length (int), optional offset
• Behavior: Gives more weight to high‑volume bars within the window; tracks price more tightly in active bursts.
• Use: Pair with SMA/EMA to weight trends by participation.

{ "type": "vwma", "factors": { "length": 20, "offset": 0 } }

VWMA weights each bar in a rolling window by its volume, making the average track high‑participation moves more closely than a simple average. It is well‑suited as a fast or medium‑speed line against a slower baseline.

Signals & Execution

Use closed‑bar cross logic and execute at the next open. For VWAP, ensure your chart uses the same daily anchor to mirror app semantics. VWMA uses the configured length like other moving averages.

Common Pitfalls

• Using weekly/monthly anchors for VWAP while the app uses daily; ensure matching anchors.
• Interpreting VWAP across sessions without re‑anchoring.
• Using forming bars; always base signals on closed candles.

References

• VWAP
• Weighted moving average (VWMA)