Rolling VWAP with Signals plots a time-window VWAP with standard deviation bands, and generates filtered buy and sell signals on band breakouts.

Unlike a session VWAP, which resets at a fixed anchor such as the start of the day or week, this recalculates continuously over a trailing window you define — the last 10 hours, or the last 2 minutes of 3-minute bars. That keeps it adapting on any chart, in any session, in any market, including markets that trade around the clock.

How it works

The rolling VWAP sums price times volume, and volume, over a trailing time window, then divides — the standard VWAP formula applied to a moving window rather than a fixed session. The calculation runs on its own timeframe, set independently of the chart.

The bands sit above and below at a configurable multiple of the rolling standard deviation, computed with the direct weighted squared-deviation method rather than the E[x²] − E[x]² shortcut, which avoids precision loss on high-priced instruments.

Trend state is bullish when the VWAP is higher than it was one higher-timeframe bar ago and price is above the upper band, and bearish under the mirrored condition. The VWAP line is coloured accordingly.

Signals fire once, on the bar where price crosses a band — not on every bar it stays outside. Two optional filters narrow them to higher-conviction setups: a rising-ATR requirement, and trend alignment with the VWAP.

Credits

The rolling VWAP methodology is adapted from the original Rolling VWAP. The script uses the open-source PineCoders ConditionalAverages library for the windowed total calculations. Standard deviation bands, trend-state colouring, crossover signals and both filters are original additions.

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