Indicator | Technique
VWAP (Volume Weighted Average Price)
"VWAP is the average price weighted by volume over a session — an essential benchmark for institutional traders to evaluate execution quality."
In-Depth Definition
VWAP is calculated by dividing the cumulative sum of (price × volume) by total volume traded since the session open. It represents the true average price at which the asset has been traded, weighted by transaction size. Institutions use VWAP as a benchmark: buying below VWAP is considered a good price, selling above it is favorable. In day trading, VWAP acts as a major dynamic support/resistance — prices tend to return to it after excursions. Standard deviations around VWAP (SD1, SD2) define extension zones. Anchored VWAP can be calculated from any significant point (event, gap, high/low).
StarQuant Insight
StarQuant's AI analyzes VWAP evolution in real time and detects divergences between price and VWAP to anticipate mean-reversion moves, particularly useful in scalping and day trading on high-volume assets.
Pro Tip
In day trading, observe how price behaves relative to VWAP at session open: price 'respecting' VWAP confirms institutional liquidity. A VWAP cross accompanied by volume is often a reliable directional signal.