AVWAP (ATR-Weighted VWAP) Indicator

AVWAP (Average True Range Weighted Average Price), you typically combine two core indicators:

1. VWAP (Volume Weighted Average Price)
This is the base indicator that calculates the average price weighted by volume over a session or specified period.
VWAP serves as the core reference price level around which volatility adjustments are made for AVWAP.

2. ATR (Average True Range)
ATR measures market volatility, representing the average price range over a set period.
ATR is used to create volatility bands or buffers around the VWAP, adjusting levels to reflect prevailing market volatility.

How These Indicators Work Together for AVWAP:
Use VWAP to establish your average price line weighted by volume.

Calculate ATR to understand the average price movement range.
Apply ATR as multipliers to VWAP to create upper and lower volatility-adjusted bands (e.g., VWAP ± 1 × ATR), which form the AVWAP bands.
These bands help identify volatility-aware support/resistance and stop-loss placement zones.

So to make things easier I have built a custom AVWAP indicator to be used

How to use my custom indicator:

• The central blue line is the VWAP.
  
• The red and green bands above and below VWAP are AVWAP bands set at VWAP ± 1.5 × ATR by default.
  
• Adjust the ATR length and multiplier inputs to suit the timeframe and volatility preferences.
  
• Use the bands as dynamic support/resistance and for setting stop loss zones based on volatility.