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Particularly on Mondays the Weekly VWAP cannot be used, so I personally prefer a rolling N-Day VWAP, as it catches the trades over a constant lookback period.
Attached is the 30 min chart for ES 03-12 with a rolling 3-day VWAP applied.
That is absolutely correct, that also applies to the first days of the month for the monthly vwap, I always look back further. Thanks for mentioning that.
