Rolling VWAP by Vibie

Rolling VWAP (Volume Weighted Average Price)

What it does

The Rolling VWAP is a continuously calculated VWAP that starts at a chosen point (not necessarily the beginning of the trading session or day) and updates with every new bar. Unlike anchored VWAPs that reset at fixed intervals (daily, weekly, monthly), Rolling VWAP flows forward in time and can be customized to follow any rolling lookback window.

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How it works
1. VWAP Formula
• VWAP = (Σ (Price × Volume)) ÷ (Σ Volume)
• Price is often the average of high, low, close (hlc3).
2. Rolling Window
• Instead of resetting at session open or at anchor points (like daily/weekly/monthly), the Rolling VWAP uses a lookback length (e.g., last 50 bars, last 10 days).
• Each new bar, the oldest data point rolls off, and the newest data point is added.
3. Continuous Updating
• Rolling VWAP shifts with each candle.
• Always represents the average traded price over the most recent lookback period.

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Why it’s useful
• Adaptive Benchmark
• Unlike anchored VWAPs (locked to session, week, or month), Rolling VWAP adapts dynamically to recent price and volume flows.
• Shorter-Term Fair Value
• Shows where the market’s “fair value” is in the near term.
• Good for intraday traders who want a moving volume-weighted average.
• Dynamic Support/Resistance
• Acts as a magnet for price, especially in ranging markets.
• Provides levels for pullbacks in trending markets.
• Noise Reduction
• Because it’s volume-weighted, Rolling VWAP filters out small moves with low volume.

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Typical Use Cases
1. Intraday trading
• Apply a Rolling VWAP with a 20–50 bar window to see where most trading volume concentrates.
2. Swing trading
• Use longer lookback windows (e.g., 10–20 days) to get a rolling fair value benchmark.
3. Mean reversion setups
• Look for price deviations away from Rolling VWAP, expecting a snap back.