vwap (volume weighted average price) line is the average fill of volume so far.

Each executed order has a price and a size. multiply them, add those up, divide by total volume. that running number is the vwap line that you see.

vwap is great because it doesn't take into account time, it solely takes into account events, volume & price.

vwap = fair value
price above vwap = buyers in control
price below vwap = sellers in control

time based vwap

The most common vwap is time-based most frequently resetting at the open of each day/week/month

I find time-based vwaps to be most useful after some time has been spent away from the vwap before reverting back towards it for a reaction.

Positions opening into vwap can fuel that reversion reaction. New longs get absorbed by passive sellers at vwap. Once pushed offside I look to fade against those new longs.

Should we see the daily vwap reclaimed on the day I start treating buyers as in control again.

Important to note, do not just fade every move into vwap, that’s how you lose money (speaking from first hand experience). There’s always context behind the move into the vwap itself.

anchored vwap

Is where you manually anchor the vwap to a fixed point. I primarily anchor at the beginning of a new trend/pivot.

Price can find continuation from this anchored vwap, but if the anchored vwap is lost in an uptrend then it would indicate weakness in that trend.

I use it when deciding whether to add. if price starts to lose the new trend vwap it looks significantly weaker, preventing me from adding.

vwap close

Where the previous vwap has ended creates a vwap close.

Previous day vwap close can offer as a high revisitation level the following day.

Knowing this, I use pd vwap as target for mean reversion trades. It can act as a magnet for price.

*also applies to previous week/month vwap.

t-size vwap

Is where vwap is filtered by trade size. I use this to watch larger orders separately.

One of my favoured options has been filtering out the larger traders. If the large size vwap diverts away downwards in an uptrend it looks significantly weaker, preventing me from adding.

I find tsize divergences most useful when a good pivot has already been put into place because the larger sized vwap will start to divert before momentum has actually happened.

It’s actually quite useful at spotting something which hasn’t been priced in yet.

settings

All vwaps can be accessed through tradingview, apart from tsize vwap which you would likely need to use external software to gain access to.

Hope you found this useful be sure to ask any further questions below.