That's not how VWAP works.

A proper VWAP will be identical on a 1-second chart, a 1 minute chart, a 60 minute chart, etc. VWAP's should be calculated from underlying tick data, and their values do not change based on the time frame of the chart.

You can find a VWAP indicator for NT here:

Session Toolbox - Trading the Session (Fat Tails) This thread is about session indicators and how to trade them. I have coded quite a few indicators for NinjaTrader, which I would like to explain, and for which I do regular updates. So far I have posted in various threads to discuss their features …

Mike

Thanks Mike,

I'm not sure you've understood the question though: Does VWAP even apply on an INTER-Day level? Each day would have a VWAP point, and you could join them all together with a line, but the market would never really pull away from that line would it? At least that's how I understand it at present. If you plot VWAP INTRA-Day then the price will at some times be above and other times be below, but I'm not sure there's a day to day VWAP concept is there?

Cheers,

Does @Fat Tails have an updated vwap posted yet? Or are most of you using @psmf vwap indicator?

Adam

Download: SessionVWAP Daily (amaCurrentDayVWAP) Version 2.5 October 27, 2019 The Current Day VWAP is the volume-weighted average price (VWAP) of a security for the current day’s trading session. The VWAP gives a fair reflection of the market conditions throughout the trading day and is probably … personFat Tails

Sorry. I should have clarified. I need a VWAP indicator for NT 7. @Fat Tails, do you have an updated NT7 VWAP by any chance?

Adam

Sorry. I should have clarified. I need a VWAP indicator for NT 7. @Fat Tails, do you have an updated NT7 VWAP by any chance?

Adam

Yes the inner bands can be used as value area high and low. I do use them that way and display the value area from the prior trading day on my chart.




However, the value area calculated from a VWAP can be quite different from the value area as used with market profile. Market profile builds its value area around the mode (point of control), while the value area of the VWAP is based on the mean (VWAP). On single distribution days the two value areas usually align well, but on double distribution days (or triple distribution days, which are pretty rare) the value areas can be quite different. The reason is shown below. The market profile value area is built around the mode (second peak), while the VWAP value area is built around the mean (trough).