Guppy Rolling VWAP

Note on VWAP (Volume Weighted Average Price) and Advantages of Multiple VWAPs
Introduction to VWAP
The Volume Weighted Average Price (VWAP) is a widely used technical indicator in trading, particularly for intraday strategies, that calculates the average price of a security (like a stock or index) over a specified period, weighted by the trading volume at each price level. Unlike a simple moving average (SMA), which treats all prices equally, VWAP emphasizes prices where higher volumes were traded, providing a more accurate reflection of the "true" market value during the session.
Key Calculation Formula:
VWAP = Σ (Price × Volume) / Σ (Volume)

Price: Typically the average of high, low, and close for each bar (e.g., 1-minute or 5-minute interval).
Volume: The total shares traded at that price.
It resets at the start of each trading day (or session) and accumulates cumulatively, making it ideal for assessing intraday trends. On a chart, VWAP appears as a single line (often with standard deviation bands for added context), and prices above VWAP indicate bullish sentiment (buyers in control), while below suggests bearish pressure.

VWAP is favored by institutional traders as a benchmark to minimize market impact when executing large orders (e.g., aiming to buy below VWAP for value). For retail intraday traders, it serves as a dynamic support/resistance level, helping time entries/exits and gauge efficiency.
Advantages of Using Multiple VWAPs
While a standard VWAP (daily reset) is powerful, employing multiple VWAPs—such as Anchored VWAP (AVWAP), multi-session VWAPs, or VWAPs anchored to specific events (e.g., earnings releases or highs/lows)—enhances flexibility and provides deeper insights across timeframes. Anchored VWAP, for instance, allows customization by starting the calculation from a user-defined point (e.g., a pivot high/low or news event), rather than just the session open. This "multiple" approach (plotting several VWAP lines) addresses limitations of a single VWAP in volatile or multi-day trends.
Here are the key advantages:

Enhanced Customization and Adaptability: Multiple VWAPs let traders anchor to specific points (e.g., weekly high or post-earnings), making them suitable for swing trading or analyzing beyond intraday. This is more versatile than a standard VWAP, which resets daily and may ignore longer-term context.
Better Identification of Support/Resistance Levels: Plotting VWAPs from different anchors (e.g., one from session open, another from a recent low) creates layered zones, helping spot confluence for stronger entries/exits. In choppy markets like Bank Nifty, this reduces false signals by confirming trends across multiple lines.
Improved Trend and Momentum Analysis: Combining short-term (e.g., 1-hour anchored) and long-term VWAPs reveals divergences or alignments, signaling potential reversals or continuations earlier. For example, price respecting a multi-day VWAP while bouncing off an intraday one indicates building strength.
Risk Management and Benchmarking: Institutions use multiple VWAPs to compare execution quality across sessions (e.g., vs. previous day's VWAP), minimizing slippage in large trades. For retail traders, it aids in setting dynamic stops/targets, improving risk-reward ratios.
Volume-Integrated Insights: Like single VWAP, multiples incorporate volume for a "truer" average, but layering them filters noise better in high-vol environments, outperforming unweighted averages like SMA.

Limitations and Best Practices
VWAP isn't foolproof—it can lag in low-volume periods and isn't ideal for overnight holds (as it resets). When using multiples, avoid clutter by limiting to 2-3 lines; combine with your SMA/EMA for confirmation. In your intraday setup, test on historical charts (e.g., HDFC Bank) to see how multiple VWAPs align with trends for advance signals.