Indicators · Read the levels
Fair value at four scales: Daily, Week, Month and Year VWAPs.
Multi-Period VWAP answers one question at more than one scale: where is fair value? It draws the Daily VWAP with up to three σ band pairs and a gradient stretch zone, with the Week, Month and Year VWAPs beside it and last period's VWAP carried into the current one. The Asia, London and New York session VWAPs are in its companion, Session VWAP.
Opens the indicator on TradingView.
Each part, what it shows and why it is there.
VWAP is the volume-weighted average price: the level the day's trading has, on balance, agreed on as fair. The Daily VWAP starts fresh with each new trading session. Price above the line is trading above the day's average; price below it, beneath. A close through the line is one of the events you can be alerted to. Its anchor can also be set to the day, week, month or year.
σ bands (standard-deviation bands) show how far price has stretched away from the Daily VWAP. There are up to three pairs, one inside the other: the first sits closest to the line, the third furthest out. The bands can be shaded, which gives three nested envelopes around fair value.
Between the second and third bands the chart is shaded as a gradient. The deeper price pushes into it, the stronger the shading behind the candles. The upper zone takes the bearish colour and the lower zone the bullish colour, so strong shading tells you at a glance that price is far from the Daily VWAP.
The Week, Month and Year VWAPs draw together, each in its own colour and each with its own σ bands; the Year line carries one band pair. They show where fair value sits over longer periods, so you can see whether today's value is forming above or below the value the larger timeframes carry.
When a week, month or year ends, its VWAP is carried into the next one, in that period's colour. In AVWAP mode it keeps running as a VWAP anchored at the start of the last period; in VWAP mode it holds the last period's final value flat. Either way, last period's fair value stays on the chart as the older value price is now testing.
In Black Tide Rituals mode the Daily bands follow the trading windows of Black Tide Rituals, set in Bangkok time, so the bands on screen change with the part of the day. The mode draws the Daily VWAP and its bands itself, whatever the Daily settings say. The windows are entered by hand to match your Rituals settings, because one script cannot read another's.
Wave draws one longer-period VWAP at a time. Multi-Period VWAP draws the Week, Month and Year together, each with its own bands. They are separate indicators, so adding one changes nothing on the other.
At the start of each trading session, so it reflects the session in progress. Its anchor can be set to the day, week, month or year instead.
No. Every alert is checked on the closed bar.
In the companion indicator, Session VWAP.
Multi-Period VWAP is an analysis tool, not investment advice. Charts and examples are illustrations.