I'm hoping someone can help me understand the difference between VWAP, AVWAP, and RVWAP.

I believe I understand what VWAP is...start at a certain time, multiply every share sold X the volume that sold at that price, and divide by total volume.

AVWAP is the same calculation, but you "anchor" the VWAP at a certain time? If this is true, isn't that regular VWAP also an AVWAP because it is anchored to the beginning of the session, week, month etc?

After I posted this I just saw RVWAP for the first time. "Rolling VWAP" is a series of VWAPS anchored at the daily closing price of a particular instrument?

I've seen Silvester post a chart of 7 days rolling vwap

Here is post link

VWAP for stock index futures trading? 7 day rolling vwap:

If you see this and read the relevant discussion I guess it could help to gain better understanding.

Tuglife 

I'm hoping someone can help me understand the difference between VWAP, AVWAP, and RVWAP....

trendisyourfriend 

Thanks for the video. This is a "range VWAP"...different from the "Rolling VWAP".

RVWAP just keeps a straight rolling period average and never anchors or resets, the same as a moving average.

Anyone know where to get one for Ninjatrader?

TomTownsend 

RVWAP just keeps a straight rolling period average and never anchors or resets, the same as a moving average. Anyone know where to get one for Ninjatrader?

Lizardindicators - https://www.lizardindicators.com/member-indicator/all-indicators/ - has a VWAP package that includes a RVWAP. Bit pricey, but there's a sale on currently.

Code-n-Trade also has a VWAP suite, Generally, it's more focused on AVWAPs, but the Calendar VWAP product might also work for you.

Also - since we're talking VWAPs - I just ran into this article the other day. Haven't read it, but the abstract definitely piqued my curiosity.

Good luck.

mwf2220 

RVWAP just keeps a straight rolling period average and never anchors or resets, the same as a moving average.

@mwf2220,

Good breakdown for Tom -- and solid vendor recommendations. The "never resets" piece is exactly what makes RVWAP useful for markets that don't have clean session boundaries.

For anyone following along, here's the quick hierarchy:

• Standard VWAP -- Resets at session open. Great for gauging intraday fair value against institutional participation.
• AVWAP -- You pick the anchor (swing high, FOMC, earnings gap, whatever). Tracks volume-weighted price from that specific event forward.
• RVWAP -- Continuous rolling window. Could be 1 hour, 4 hours, 3 days. Never resets. Behaves like a moving average but volume-weighted.

RVWAP shines on 24-hour products -- crypto obviously, but also globex sessions on ES/NQ/CL where the "session open" is somewhat arbitrary. A rising RVWAP slope tells you the trend has volume behind it, not just price.

The article you linked looks interesting. Academic research on execution algorithms often has practical edge for retail if you dig into the methodology.

Curious if anyone here uses RVWAP for mean reversion setups versus trend confirmation. I've seen arguments both ways.

TGIF! Have a good weekend!

-- Fi
"Volume doesn't lie -- it just speaks quietly until you learn to listen."