Anchored VWAP and Deviation Bands for Session-Based Price Context
Summary
The document outlines an MT4 indicator that calculates an anchored volume-weighted average price from the start of a daily, weekly, or monthly session. It uses typical price, formed from the high, low, and close, weighted by tick volume. Standard deviation bands around the VWAP are intended to show how far price has moved from that session’s volume-weighted reference level. The accompanying interpretation treats prices below VWAP as a discount and prices above it as a premium, with distant bands presented as possible mean-reversion areas.
The text provides a description of the calculation and intended use, but no chart, backtest, or statistical evidence that the bands predict reversals or represent institutional execution practice. Tick volume may not equal centralized traded volume, especially in OTC markets, and the described signal should not be treated as a demonstrated high-probability entry. The input-parameter section is cut off, so configuration details and implementation limitations are not available.
Key ideas
- The indicator anchors VWAP to daily, weekly, or monthly session starts.
- It weights typical price by tick volume and plots standard deviation bands.
- The document frames VWAP as a reference for premium, discount, and possible overextension.
- No empirical evidence is provided for the claimed mean-reversion use of the bands.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.