Daily VWAP as an Intraday Volume-Weighted Fair-Value Benchmark
Summary
The document explains daily volume-weighted average price (VWAP) as an intraday reference. It calculates the running sum of price multiplied by volume divided by running volume, restarting the calculation at the beginning of each trading day. Because higher-volume trades carry more weight, VWAP reflects where more trading activity took place than a simple price average would.
The text describes using the line as a benchmark: trading above it may suggest bullish control, while trading below it may suggest bearish control. It presents possible entry and exit context, but offers no backtest, performance figures, or rules for turning the indicator into a complete strategy. The interpretation is therefore suggestive rather than conclusive; the document does not specify price inputs, session conventions, or how VWAP signals should be combined with risk controls.
Key ideas
- Daily VWAP accumulates price-volume products and divides by cumulative volume within each day.
- The calculation restarts at the beginning of each trading session.
- Higher-volume trades have greater influence on VWAP than lower-volume trades.
- Price above or below VWAP can serve as a rough intraday sentiment reference.
- The document provides no performance evidence or complete trading rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.