Intraday VWAP with Daily Resets and Deviation Bands

Summary

This indicator calculates volume-weighted average price from intraday bars and resets the calculation at the start of each trading day. It plots the VWAP alongside upper and lower bands at one, two, and three times a dispersion measure, intended to help traders look for possible reversals. The line color indicates whether VWAP is rising or falling. The article says the display requires instruments with volume data and identifies compatibility with ProRealTime version 10.3.

The bands should be interpreted cautiously: although described as standard-deviation bands, the supplied calculation uses an average of the larger distance from VWAP to each bar’s high or low, rather than a conventional statistical standard deviation. The document offers an indicator implementation but no trading rules, backtest, or evidence that band touches reliably signal reversals. VWAP and the bands are therefore charting aids whose usefulness depends on instrument, data, and trading context.

Key ideas

• The indicator computes intraday VWAP using price and volume and starts a new calculation each trading day.
• It plots three upper and lower bands using multiples of a bar-based dispersion measure.
• The code’s dispersion calculation is not a conventional statistical standard deviation.
• The article suggests reversal analysis but provides no strategy rules or performance evidence.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.