VWAP Momentum and Volatility Indicator

VWAP Momentum and Volatility Indicator
Merges VWAP trend, momentum oscillators (RSI & Stochastic), volatility measures (ATR & Bollinger Bands) and an optional volume filter into one overlay to generate more reliable buy/sell signals.

1) Components & Rationale

VWAP (Session/Day/Week/Month): Shows the volume-weighted average price trend with selectable reset periods.

VWAP ±1/±2/±3 StdDev Bands: Highlight volatility expansions or contractions—price moves outside these bands can signal breakouts or reversals.

RSI (14): Confirms overbought (>70) and oversold (<30) momentum, reducing false entries.

Stochastic (14, SlowK=3, SlowD=3): Captures momentum shifts; used alongside RSI for stronger confirmation.

ATR (14): Measures absolute price movement to aid in risk sizing and contextualizing band widths.

Bollinger Bands (20, 2σ): Identifies “squeeze” (low volatility) and “expansion” phases.

Volume Filter (optional): Ensures signals are backed by above-average volume.

2) Default Settings

VWAP Reset: Session

StdDev Multiplier: 2.0

VWAP Lookback: 20 bars

RSI: 14 period, Overbought = 70, Oversold = 30

Stochastic: 14 period, SlowK = 3, SlowD = 3

ATR: 14 period

Bollinger Bands: 20 period, Multiplier = 2

Volume Filter: 10-bar SMA threshold at 1.5× average

Visuals: VWAP bands, signal markers, and info table enabled; table positioned top-right at small size.

3) How to Use

Add to chart: Select “VWAP Momentum and Volatility Indicator.”

Adjust inputs: Set reset period, band multiplier, momentum thresholds and volume filter to match your asset and timeframe.

Buy signal: Price crosses above VWAP + (RSI < 50 or Stochastic in oversold) + volume filter pass.

Sell signal: Price crosses below VWAP + (RSI > 50 or Stochastic in overbought) + volume filter pass.

Info table: Review VWAP status, distance (%), band region, RSI, Stochastic, ATR%, Bollinger width, squeeze/expansion, relative volume, and the most recent signal.

4) Warnings & Disclaimer
This indicator is provided for educational purposes only. Always backtest with real funding and volume data, apply your own risk management, and recognize that past performance does not guarantee future results. Use the settings and signals as part of a broader trading plan.