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Rolling VWAP with Signals

A VWAP that never resets, with standard deviation bands and filtered breakout signals.

Free

Get it free on TradingView

Questions? Ask SIA using the button in the corner, or get in touch.

The problem it addresses

Session VWAP resets at a fixed anchor — the start of the day or week — so it is least useful exactly when you need it, late in a session or in a market that never closes. This one recalculates continuously over a trailing window you define, so it keeps adapting on any chart, in any session, in any market.

Who it is for: Traders who use VWAP as a reference level and want it to keep working outside a fixed session — including on instruments that trade around the clock.

Key features

  • Rolling VWAP over a trailing window you define, in hours and minutes
  • Standard deviation bands at a configurable multiple
  • Rolling calculation runs on a timeframe independent of the chart
  • Trend-state colouring on the VWAP line
  • Buy and sell signals that fire once on the band cross, not every bar after
  • Optional rising-ATR filter, to skip breakouts while volatility is contracting
  • Optional trend-alignment filter, so signals only fire with the VWAP trend
  • Four alert conditions

About this product

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.

Setup

  1. 01Open the script on TradingView and add it to a chart.
  2. 02Set the RVWAP Timeframe and the trailing window (hours and minutes).
  3. 03Set the standard deviation multiplier — lower gives tighter bands and more signals.
  4. 04Turn the two signal filters on or off depending on whether you want frequency or conviction.
  5. 05Create alerts from the four supplied conditions.

Limitations

What this product does not do

  • Requires a data feed that provides volume — the script raises a runtime error if none is available.
  • The rolling calculation needs at least 10 bars inside the window to produce a value, so very short windows on sparse data may show gaps.
  • "Rising ATR" is a one-bar comparison — the current smoothed ATR against the previous bar — not a multi-bar slope.
  • Values inside the current, still-forming rolling-timeframe bar can update intrabar, as with any request.security() call without a fixed historical offset. Confirmed bars do not repaint.
  • Signals are band crossings with optional filters. They are not advice, and no win rate, profitability or performance is claimed or implied.

Provided for educational and informational purposes only. This is not financial advice, past performance is not indicative of future results, and you remain responsible for your own research and risk management.

No performance, backtest or win-rate figures are published for this or any Simplifyed product. Read the full risk disclosure.

Questions

Does it repaint?
Confirmed bars do not repaint. Values inside the current, still-forming rolling-timeframe bar can update intrabar, which is true of any script reading another timeframe without a fixed historical offset.
How is this different from the built-in VWAP?
The built-in VWAP anchors to a session and resets. This one uses a trailing window you define, so it keeps recalculating continuously and works on markets that trade around the clock.
What do the two filters do?
The rising-ATR filter suppresses signals while volatility is contracting. The trend-alignment filter only allows a buy in an established uptrend and a sell in an established downtrend. Disable both to see every raw band crossing.