Vwap

Vwap - Introduction
• Average price a security has traded at throughout
the day, based on both Volume and price. 
• Provides traders with insight into both the trend
and value of an underlying.
• Appears as a single line on intraday charts on any
Time Frame
 Vwap - Calculation
• Adding up the total money traded for every
transaction i.e. Price multiplied by the number of
shares traded) and then dividing by the total shares
traded.
• Vwap = Price * Volume
Volume
 Vwap - Calculation
• For each TF calculate the typical price, which is equal to
the sum of the high, low, and close price divided by three
[(H+L+C)/3]. (e.g., 5-minute, 30-minute, etc.).
• Take the typical price (TP) and multiply by the volume (V),
giving a value TP*V.
• Keep a running tabulation of the TP*V totals as well as a
running tally of volume totals.
• VWAP is calculated by the formula: cumulative TP*V /
cumulative volume
• This calculation, when run on every period, will produce a
volume weighted average price for each data point. This
information will be overlaid on the price chart and form a
line.
 Vwap – Trading Strategy
Few Points to remember
• Use for purely intraday trades only.
• Ignore 1st 15 mins of trading i.e. till 9:30 AM
• No trade o be taken post 2:45 P.M. (exception expiry
day or some fast naked option buy / sell).
• Wait for atleast 2 candles to close above / below
levels.
• Whether profit or loss close trade at 3:15-3:25 PM ,
no c/fwd.
• Fix an amount of money you ready to loose, based
on that do position sizing.
 Vwap – Buy Strategy
These 4 conditions should be met
1) Price above Previous Day’s high (PDH)
2) Price above Previous Day’s Vwap (PDVwap)
3) 15 min chart price above current Vwap(CVwap)
4) There should be no O = H

Entry
At least one candle close above Vwap
Stop
Entry – 0.50%
 Vwap – Sell Strategy
These 4 conditions should be met
1) Price Below Previous Day’s Low (PDL)
2) Price Below Previous Day’s Vwap (PDVwap)
3) 15 min chart price below current vwap (CVwap)
4) There should be no O = L

Entry
At least one candle close below Vwap
Stop
Entry + 0.50%