Rolling VWAP
Rolling VWAP is the volume-weighted average price over the last N days — a price level weighted by where volume actually traded.
What It Measures
Volume-weighted value: the average price participants paid, giving more weight to high-volume days.
The Math (Simplified)
VWAP = Σ(Typical Price × Volume, N) / Σ(Volume, N) with Typical Price = (High+Low+Close)/3. This rolling version uses N=20 days; intraday session VWAP resets daily, but on daily bars a rolling window is the meaningful equivalent.
Default Inputs & Tuning
20 days rolling is the standard for daily charts. Price above VWAP = buyers on average in profit (bullish bias).
When It Works (Market Edge)
Trending markets: buying when price is above rising VWAP confirms participation; VWAP acts as dynamic support in uptrends.
When It Fails
Low-volume or sideways markets: VWAP sits flat in the middle and provides no directional edge — it becomes just a lagging average.
Common Myths
Myth: Price must always return to VWAP.
Truth: In trends price can stay above VWAP for months. VWAP is a reference for value, not a magnet that guarantees reversion.
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