VWAP and ±σ bands

Rolling VWAP with ±1, ±2 and ±3σ bands: the Rolling VWAP indicator on the chart, the VWAP Screener across the whole market for day, week, month and quarter periods, and the VWAP σ alert when a coin enters beyond a threshold.

What it is

VWAP (Volume-Weighted Average Price) is the average price weighted by volume: a bar with more volume carries more weight. In SpreadFighter the VWAP is rolling: it is calculated over the last $n$ bars, not from the start of the day or session.

Bands at ±1σ, ±2σ and ±3σ are built around the VWAP. Here σ is the standard deviation of the close price over the same window of $n$ bars.

$$VWAP_t = \frac{\sum_{i=0}^{n-1} C_{t-i} \cdot V_{t-i}}{\sum_{i=0}^{n-1} V_{t-i}}$$ $$z_t = \frac{C_t - VWAP_t}{\sigma_t}$$

where $C$ is the bar's close price and $V$ is the bar's volume.

The value $z$ shows how many sigmas price is away from the VWAP. At $z = 2$ price sits on the +2σ band, at $z = -1$ on the −1σ band, at $z = 0$ on the VWAP itself.

These calculations appear in three places on the platform: an indicator on the chart, a screener across the whole market and an alert.

Rolling VWAP indicator

The indicator is called [SF] VWAP (in the list — [SFT] Rolling VWAP) and is drawn over price. The chart shows two VWAP lines, each with its own ±1σ, ±2σ and ±3σ bands:

Line	Colour	Window
Fast VWAP	Orange	One day: 1440 minutes divided by the timeframe. On 5m — 288 bars, on 1h — 24 bars
Slow VWAP	Blue	7 times longer, that is one week. On 5m — 2016 bars, on 1h — 168 bars

On the daily chart the windows are different: 28 bars for Fast VWAP and 84 bars for Slow VWAP.

The indicator has no inputs. In the Style tab you can turn each line on or off and change its colour. The fill between the ±3σ bands (Background) is off by default.

The indicator is available on the Pro plan and above. On Free it draws only old bars: on a 5-minute chart — older than 30 hours, on an hourly chart — older than 15 days.

tip

To see on the chart what the screener shows, use Fast VWAP on a 5-minute chart — that is the "day" period, or Slow VWAP on a 15-minute chart — that is the "week" period. The windows match bar for bar.

VWAP Screener

The widget is in the menu Screeners → Microstructure → VWAP Screener, Pro plan and above. It shows all Binance USDT perpetual futures at once and updates every second.

Period

The VWAP period is chosen in the interval dropdown in the widget header. Each item sets the period over which the VWAP and σ are calculated:

Dropdown item	Period	Calculation window
1D VWAP	Day (1d)	288 bars of 5 minutes
1W VWAP	Week (1w)	672 bars of 15 minutes
1M VWAP	Month (1M)	720 hourly bars, 30 days
3M VWAP	Quarter (3M)	540 bars of 4 hours, 90 days

The current unclosed candle is included in the calculation.

Columns

Column	What it shows
Symbol	The coin
C	How many percent price is above the VWAP (plus) or below it (minus)
S	One σ as a percent of the VWAP, that is the band width
σ	$z$ — how many sigmas price is away from the VWAP. Equals C divided by S
Pos	Price position in the ±3σ channel: 0% — on the −3σ band, 50% — on the VWAP, 100% — on the +3σ band. Beyond the ±3σ bands the value is below 0 or above 100. Values at −2σ and below are red, at +2σ and above green

By default rows are sorted by column C in ascending order: at the top are the coins that have moved furthest below the VWAP.

Filters

Filters open with the funnel icon in the widget header:

• C, S and σ (Z) are numeric. A positive value keeps rows at or above it, a negative value keeps rows at or below it. For example, σ (Z) = −2 keeps coins at −2σ and below.
• Sigma — 1σ, 2σ or 3σ. Keeps coins that have moved that many sigmas or more away from the VWAP in either direction.

The button with the chart icon in the widget header adds the Rolling VWAP indicator to the chart.

VWAP σ alert

The alert watches the $z$ value from the screener. The alert creation window has four data sources, one per period:

• VWAP σ (day) — day;
• VWAP σ (week) — week;
• VWAP σ (month) — month;
• VWAP σ (quarter) — quarter.

The alert can be set on one coin, a list of coins or the whole market. The VWAP σ preset group has four ready alerts on the whole market: VWAP day +2σ, VWAP day −2σ, VWAP week +2σ and VWAP week −2σ. The +2σ preset fires at $z \ge 2$, the −2σ preset at $z \le -2$.

A VWAP σ alert fires at the moment a coin enters beyond the threshold, not the whole time it stays there:

• coins that were already beyond the threshold when the alert was created are not sent: the alert did not see them enter the zone;
• the same coin comes again only after it moves back inside by at least 0.5σ and crosses the threshold again. For the condition "≥ 2" this means dropping below 1.5 and then rising to 2 again;
• during the pause between notifications the data is not checked. A coin that entered the zone during that time and is still beyond the threshold comes in the first notification after the pause.

Without this rule a ±2σ alert on the whole market would send dozens of the same coins in every notification.

The alert is available on the Pro plan and above. How to create an alert and where it is delivered — see Alerts.

How to read it

• C and S together. The same deviation in percent means different things on a calm coin and a volatile one. C = 5% with S = 1% is 5σ, while with S = 5% it is only 1σ. The σ column already accounts for this.
• Different periods. A coin can sit on +2σ of the day VWAP and near the quarter VWAP. Switch the period to see the move on the scale of a week, a month or a quarter.
• The window rolls. Old bars drop out of the calculation, so the VWAP line pulls towards price even when price stands still. This is most visible on the "day" period.
• σ is live. In a sharp move σ grows together with price and the bands widen. The ±2σ level at the moment of touch and the same level a few bars later are different prices.

note

The bands show where price is relative to its usual spread, not where it will go next. There is no report testing the VWAP bands on history on the backtests page yet.

Related articles

• Moving average — moving averages without volume weighting.
• Bollinger bands, RSI channel, Keltner channel — a channel of standard deviations around a moving average.
• Z-Score — deviation of price from a moving average in σ.
• Alerts — all alert types and plans.