Time-Bounded Intraday VWAP with Standard Deviation Bands

Summary

This indicator description explains an intraday VWAP whose calculation and display are bounded by configurable start and end times in hhmmss format. Within the selected interval, it accumulates price multiplied by volume and divides by cumulative volume. It also calculates a running dispersion measure and plots multiple upper and lower bands using user-selected deviation multipliers. The central VWAP line changes color according to whether the close is above or below it.

The example applies two separately configured VWAP windows to DAX tick data, splitting the day into successive sessions and using several band multipliers. The page offers an indicator implementation rather than a tested trading strategy, and it reports no performance results or execution rules. Its dispersion calculation uses the current VWAP and a running count; the description does not establish statistical properties for the resulting bands or show whether they are calibrated for other markets, bar types, or session conventions.

Key ideas

• The VWAP window can be set with configurable intraday start and end times.
• The indicator computes VWAP from cumulative price-volume and volume totals.
• It plots upper and lower bands scaled by configurable dispersion multipliers.
• The example uses separate time windows on DAX tick data, but provides no performance evaluation.

Tags

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