VWAP Stretch Analyzer
Price is a long way from VWAP and you want to fade it back. Paste today's bars from the open, with volume, and the analyzer builds session VWAP with its 1σ and 2σ bands, reads how stretched the last close is, checks whether VWAP is flat (a day in balance) or sloping (one side in control), and hands back a verdict: fade to VWAP, wait for the 2σ tag, or leave the trend day alone. VWAP as a benchmark goes back to Berkowitz, Logue and Noser (1988). The bands are the volume-weighted standard deviation of typical price around it, and the flat-or-sloping read follows Brian Shannon's rule that a flat VWAP is balance and a sloping VWAP is trend.
10 to 200 bars, any timeframe, volume required. Start at the session open so VWAP matches the one on your chart.
Adds the range midpoint to the chart and checks it against VWAP.
No read yet
Paste today's bars with volume, then hit Read. Or load an example to see what a fade, a wait and a trend day look like.
How it grades. Score = 35 stretch + 35 balance + 15 rejection + 15 volume. Stretch: the last close's distance from VWAP in σ. 2.5σ or more scores 35, 2σ scores 30, 1.5σ scores 18, 1σ scores 8, under 1σ scores 0. Balance: VWAP's drift over the last 10 bars in σ (0.15σ or under scores 15, over 0.6σ scores 0), closes crossing VWAP in the last 20 bars (4 or more scores 12, none scores 0), and the session's split of closes above and below VWAP (inside 40/60 scores 8). Rejection: how far off its own extreme the last bar closed. Volume: the last 3 bars against the 3 before them. 0.7x or under scores 15, over 1.4x scores 0.
Verdict. Fade at 70 or more with 2σ or more of stretch. 45 to 69, or a stretch between 1.5σ and 2σ, is a wait. Under 1σ there's nothing to fade. Trend day: 1 VWAP cross or fewer in the last 20 bars with 75% or more of the session's closes on one side, or VWAP drift of 0.8σ or more. Plan: entry at the last close, stop 0.5σ beyond the highest high (or lowest low) of the last 3 bars, T1 at the 1σ band, T2 at VWAP. VWAP = Σ(typical price × volume) / Σ volume with typical price = (high + low + close) / 3, and σ is the volume-weighted standard deviation of typical price around VWAP, both cumulative from the first bar you paste. Keyboard: Enter reads, 1 to 4 load the examples.
Educational tool only, not financial advice. A 3σ stretch on a trend day keeps going. The balance read is the part that matters, and it's the part that can flip on the next bar.
Built by Jason Parker, founder of Trading Ranges.
Built by Jason Parker, founder of Trading Ranges.