VWAP Pro+ — Anchor Modes & σ Bands
VWAP Pro+ guide — five anchor modes (Session/Week/Month/Custom/Auto), anchored ±1σ/±2σ/±3σ bands, the band-rejection reversion engine, settings & alerts.
1) Getting Started
How do I add the indicator to my chart?
On TradingView, go to Indicators → Invite-only scripts → VWAP Pro+ (Quantzee).
If you don’t see it, ensure your TradingView username has been granted access after subscribing.
Which markets and timeframes does it support?
Works on all timeframes and all symbols that have volume data — stocks, indices, futures, forex, and crypto. The script requires volume; on symbols without volume, VWAP cannot be computed. Multi-horizon tables request data with lookahead off.
2) Core Concept
What makes VWAP Pro+ different from the built-in VWAP?
The volume-weighted average price calculation itself is the standard formula. VWAP Pro+ adds five layers the built-in version does not have:
- Five anchor modes in one engine — Session, Week, Month, Custom (any date/time), and Auto swing re-anchoring.
- Anchored standard-deviation bands — ±1σ/±2σ/±3σ from variance since the anchor.
- A band-rejection reversion engine — rejection signals with an optional trend filter.
- A slope & stretch panel — VWAP slope direction and distance in σ units.
- A Day/Week/Month position table — multi-horizon bias at a glance.
3) The Five Anchor Modes
| Mode | Anchors at | Use |
|---|---|---|
| Session | Start of each session | Conventional intraday VWAP |
| Week | Start of the week | Swing context |
| Month | Start of the month | Positional context |
| Custom | A date/time you set | A specific swing, gap, or news/event bar |
| Auto | The most extreme swing high/low in a lookback | Hands-off swing anchoring |
Auto mode continuously re-anchors VWAP to the most extreme swing inside a configurable lookback, computed in constant time using cumulative price-volume sums rather than per-bar loops — so it stays fast even with large lookbacks. When a new extreme forms, the anchor relocates and the line recalculates. This is the expected, by-design behavior of automatically anchored VWAP and is disclosed here for transparency.
4) Anchored Standard-Deviation Bands
±1σ, ±2σ and ±3σ bands are derived from the variance of traded prices since the anchor — not a rolling window — which is the statistically consistent way to band an anchored VWAP. Each band toggles independently, so you show only the stretch levels you actually trade. By default the ±2σ and ±3σ bands are shown and the ±1σ band is off; the 2σ→3σ zone is shaded. The signal band used by the reversion engine is selected separately (default ±2σ).
5) Reversion Signal Engine
A signal prints when a bar pierces a chosen band (1σ/2σ/3σ) and closes back inside it — a rejection, not a mere touch.
An optional trend filter restricts bullish rejections to rising-VWAP conditions and bearish rejections to falling-VWAP conditions, so you fade stretches back toward a developing trend rather than fighting it. With the filter OFF you get pure fade signals — more signals, more risk.
6) Slope & Stretch Panel + Position Table
- The slope & stretch panel shows the VWAP slope direction and the current distance of price from VWAP in σ units, with a highlight when price is stretched beyond 2σ.
- The VWAP line is colored by slope (one color rising, another falling) so trend state is visible without the panel.
- The Day/Week/Month position table always tracks whether price is above or below the Daily, Weekly, and Monthly VWAPs — independent of your chosen anchor mode — for a one-glance multi-horizon bias check.
7) Non-Repainting Behavior
Do the signals repaint?
- Session/Week/Month/Custom VWAPs accumulate forward from their anchor and never recalculate history.
- Signals are based on completed-bar conditions.
- Auto mode re-anchors when a new extreme forms (see section 3) — by design, disclosed for transparency.
For alerts, “Once per bar close” is the recommended trigger setting.
8) Settings
Defaults in brackets reflect the shipped script.
- Anchor Engine: Anchor Mode [Session], Custom Anchor date/time, Auto Anchor Lookback [200 bars, range 10–900], Auto Anchor To [Swing Low], Source [hlc3].
- Standard Deviation Bands: independent toggles — ±1σ [off by default], ±2σ [on], ±3σ [on].
- Reversion Signal Engine: Show Band-Rejection Signals [on], Signal Band [2σ], Trend Filter [on], Slope Lookback [10 bars].
- Info Panel & D/W/M Table: Show Panel [on], Position [Top Right].
9) Alerts
Six alert conditions are available:
- Bullish band rejection
- Bearish band rejection
- Price crossing above VWAP
- Price crossing below VWAP
- Close stretched beyond the upper band
- Close stretched beyond the lower band
Set them with “Once per bar close” for confirmed signals. Alerts can be routed to email, mobile push, or webhooks for automation.
10) Best Practices
- Trend days: Price holding above a rising VWAP with shallow pullbacks to the ±1σ region is classic trend behavior; the position table confirming “Above” on Day and Week adds conviction.
- Reversion trades: Rejections at ±2σ/±3σ with the trend filter ON give pullback entries in the direction of the VWAP slope; with the filter OFF you get pure fade signals — choose deliberately.
- Anchored analysis: Switch to Custom mode and anchor at a major swing low, breakout bar, or news event — the VWAP then represents the average position of every participant since that event.
11) Notes
VWAP Pro+ is a technical analysis tool, not financial advice and not a complete trading system. Always apply your own risk management. Works on all timeframes and all symbols with volume data.