Regime-Aware VWAP
VWAP with automatic market regime classification and dynamic anchoring
Regime-Aware VWAP (RA-VWAP) combines traditional VWAP analysis with automatic market regime classification. It identifies whether the market is in a bullish, bearish, accumulation, or distribution phase and adjusts its visual presentation accordingly.
Z-Score from VWAP
RA-VWAP calculates a z-score measuring how far price has deviated from the volume-weighted average:
- Positive z-score — Price is above VWAP (premium)
- Negative z-score — Price is below VWAP (discount)
- Magnitude — How many standard deviations from VWAP
Market Regimes
The indicator automatically classifies the current market into one of four regimes:
| Regime | Condition | Trading Implication |
|---|---|---|
| BULL | Price above VWAP with positive momentum | Look for long entries on pullbacks to VWAP |
| BEAR | Price below VWAP with negative momentum | Look for short entries on rallies to VWAP |
| DISTRIB (Distribution) | Price above VWAP but momentum fading | Caution — potential reversal from bullish to bearish |
| ACCUM (Accumulation) | Price below VWAP but momentum building | Caution — potential reversal from bearish to bullish |
Anchor Methods
VWAP must be anchored to a starting point. RA-VWAP supports multiple anchor methods:
| Method | Description |
|---|---|
| Session | Resets VWAP at the start of each trading session |
| Pivot High | Anchors VWAP to the most recent significant pivot high |
| Pivot Low | Anchors VWAP to the most recent significant pivot low |
| Volume Spike | Anchors VWAP to the most recent volume spike |
| None | Rolling VWAP with no reset |
CVD Momentum
Cumulative Volume Delta (CVD) momentum adds an additional layer of analysis:
- Tracks the cumulative difference between buying and selling volume
- Rising CVD in a BULL regime confirms the trend
- Falling CVD in a BULL regime warns of potential distribution
Standard Deviation Bands
RA-VWAP displays gradient-filled bands around the VWAP line:
| Band | Description |
|---|---|
| ±1σ | One standard deviation — 68% of price action |
| ±2σ | Two standard deviations — 95% of price action |
| ±3σ | Three standard deviations — extreme deviation |
Price reaching the ±2σ or ±3σ bands indicates statistically extreme conditions and potential mean-reversion opportunities.
Settings Reference
| Setting | Default | Description |
|---|---|---|
| Anchor Method | Session | VWAP anchor point |
| Regime Display | On | Show regime classification label |
| CVD Momentum | On | Enable CVD analysis |
| Band Fill | Gradient | Gradient or Solid band fills |
| Show ±2σ Bands | On | Display 2 standard deviation bands |
| Show ±3σ Bands | On | Display 3 standard deviation bands |
| Smoothing | 1 | VWAP smoothing period |