Vwap Deviation Bands

A single VWAP line only tells a trader where the session's volume- weighted fair value sits, not how far a normal excursion from it should be expected to reach. This indicator adds that context as three pairs of bands built from the volume-weighted standard deviation around VWAP itself, not a plain price stdev - a session where volume piles up away from value widens the bands the same session it happens, rather than only after the fact. The variance uses the standard E[X^2] - E[X]^2 shortcut: running sums of volume, price times volume, and price-squared times volume are accumulated alongside the VWAP's own sums, so the whole session never needs a second pass once the final VWAP is known. Both VWAP and the variance reset at every new trading day, using the same cumulative-sum carry-over approach as the DailyVwap submission so an indicator restart or chart scroll does not force a full-history rescan. A one-shot alert fires the first time price touches each band on the live bar, useful for both mean-reversion entries at the outer bands and continuation confirmation when price holds a band rather than snapping back through it. Notes and limitations - Uses tick_volume, the only volume series MQL4 has on most retail feeds - a liquidity proxy, not real traded size, exactly like DailyVwap. - The session boundary is the calendar day in the terminal's own time zone; instruments that trade through midnight in that zone will see VWAP and the bands reset mid-session for that symbol. - A very early session bar with almost no accumulated volume can produce artificially wide or narrow bands until enough volume has built up; treat the first few bars of a session cautiously. - This does not size a position or place a stop; the bands describe distance from value, not a trading plan.

Indicator · MT5 · v1.0 · Free

Tags: VWAP · Volume · Alerts · Trading Sessions · MT5 Indicator · MQL5 Source Code

MetaTrader 4 & 5 indicators · PolyMaria