VWAP -- Volume-Weighted Average Price

Contents

• Format
• Understanding VWAP Values
• Understanding Operators with VWAP
  • > Greater Than
  • < Less Than
  • cross_above
  • cross_below
  • = Equal
• TOML Examples
  • Buy Below VWAP
  • Sell Above VWAP
  • VWAP Bounce with Deviation Confirmation
  • Price Crosses Above VWAP Entry
• Tips

Overview

Volume-Weighted Average Price (VWAP) is the average price an asset has traded at, weighted by volume, cumulative from the session start. Unlike a simple moving average that treats every candle equally, VWAP gives more weight to prices where more volume transacted. It answers the question: what is the true average price that reflects where actual trading occurred?

The calculation is cumulative:

VWAP = cumulative(typical_price x volume) / cumulative(volume)

Where typical_price = (high + low + close) / 3. At each candle, the numerator and denominator are accumulated from the first available candle. This means VWAP is anchored -- it does not have a sliding window like SMA or EMA. Early in the session, VWAP is more responsive to new data. As the session progresses, it becomes increasingly stable because it incorporates more and more historical volume.

VWAP is THE institutional benchmark. Large funds and algorithmic traders use VWAP to measure execution quality -- a buy order filled below VWAP is considered a "good" fill, while a fill above VWAP is considered "poor." This institutional usage creates a self-fulfilling dynamic: price below VWAP attracts institutional buying (they are getting a discount), while price above VWAP attracts institutional selling (they are locking in above-average prices). For retail traders, this means VWAP acts as a dynamic support/resistance level that institutional players actually respect.

Format

vwap

VWAP has no period parameter. It is cumulative from the first available candle in the session.

Period range: Not applicable -- VWAP is always cumulative.

Value range: Price-denominated (same units as the asset's price). VWAP tracks very close to the actual price since it is an average of traded prices.

Understanding VWAP Values

VWAP values are in the same currency as the asset's price. The key is not the absolute value but the relationship between price and VWAP.

Understanding Operators with VWAP

Each operator behaves differently with VWAP. Because VWAP is a dynamic price level (not an oscillator), it is most commonly compared against price or used as a target for other indicators.

> (Greater Than) -- State-Based

What it does: The trigger is true on every candle where price is above VWAP. This indicates the asset is trading at a premium to the volume-weighted average.

On the chart: Imagine the VWAP line drawn through the candles. Whenever price is above this line, the trigger is active. The asset is "expensive" relative to where most volume traded.

[[actions.triggers]]
indicator = "price"
operator = ">"
target = "vwap"
timeframe = "1h"

Typical use: Filter for bullish conditions. Price above VWAP means buyers are in control and willing to pay above the average. Combine with momentum indicators for long entries.

< (Less Than) -- State-Based

What it does: The trigger is true on every candle where price is below VWAP. This indicates the asset is trading at a discount to the volume-weighted average.

On the chart: Price is below the VWAP line. The asset is "cheap" relative to where most volume traded -- institutional buyers may be accumulating.

[[actions.triggers]]
indicator = "price"
operator = "<"
target = "vwap"
timeframe = "1h"

Typical use: Discount-buying strategy. When price is below VWAP, you are buying at a price that institutional algorithms consider a bargain. Combine with an RSI dip or support level for precision.

cross_above -- Event-Based

What it does: Fires once, at the exact candle where price transitions from below VWAP to above it. The previous candle had price <= VWAP, and the current candle has price > VWAP.

[[actions.triggers]]
indicator = "price"
operator = "cross_above"
target = "vwap"
timeframe = "1h"

Typical use: Bullish VWAP crossover entry. When price crosses above VWAP, it signals that buyers have seized control and pushed the price above the institutional fair value line. This is a commonly used intraday entry signal.

cross_below -- Event-Based

What it does: Fires once, at the exact candle where price transitions from above VWAP to below it. The previous candle had price >= VWAP, and the current candle has price < VWAP.

[[actions.triggers]]
indicator = "price"
operator = "cross_below"
target = "vwap"
timeframe = "1h"

Typical use: Bearish VWAP crossover exit. When price drops below VWAP, sellers have pushed the market below institutional fair value. This can signal the start of distribution or a shift to bearish control.

= (Equal) -- Not Recommended for VWAP

Why: VWAP and price are both floating-point values that change with every candle. Exact equality between price and VWAP will almost never occur. Use < or > instead, or use cross_above / cross_below to detect the moment price transitions through VWAP.

TOML Examples

Buy Below VWAP

The simplest VWAP strategy. Accumulate when price is trading below the institutional benchmark. The max_count limits entries so you do not keep buying on every candle below VWAP.

[[actions]]
type = "open_long"
amount = "100 USDC"

  [[actions.triggers]]
  indicator = "price"
  operator = "<"
  target = "vwap"
  timeframe = "1h"
  max_count = 3

Sell Above VWAP

Exit positions when price is trading above VWAP -- you are selling at a premium to the volume-weighted average.

[[actions]]
type = "sell"
amount = "100%"

  [[actions.triggers]]
  indicator = "price"
  operator = ">"
  target = "vwap"
  timeframe = "1h"
  max_count = 1

VWAP Bounce with Deviation Confirmation

Buy when price is below VWAP (discount zone) AND VWAP Deviation confirms the discount is statistically significant (more than 1.5 standard deviations below VWAP). This avoids buying minor VWAP dips that lack statistical edge.

[[actions]]
type = "open_long"
amount = "100 USDC"

  [[actions.triggers]]
  indicator = "price"
  operator = "<"
  target = "vwap"
  timeframe = "1h"

  [[actions.triggers]]
  indicator = "vwap_dev_20"
  operator = "<"
  target = "-1.5"
  timeframe = "1h"

  [[actions.triggers]]
  indicator = "rsi_14"
  operator = "<"
  target = "40"
  timeframe = "1h"

Price Crosses Above VWAP Entry

Enter at the moment price crosses above VWAP with a bullish macro trend. This is the classic intraday VWAP breakout.

[[actions]]
type = "open_long"
amount = "100 USDC"

  [[actions.triggers]]
  indicator = "price"
  operator = "cross_above"
  target = "vwap"
  timeframe = "1h"

  [[actions.triggers]]
  indicator = "sma_50"
  operator = ">"
  target = "sma_200"
  timeframe = "1d"

Tips