VWAP Engine Pro V3

# VWAP Candles Pro V3 - Advanced Volume-Weighted Price Analysis

## 📊 Overview

**VWAP Candles Pro V3** is a comprehensive volume-weighted average price (VWAP) analysis system that transforms traditional VWAP indicators into an intelligent, multi-dimensional trading tool. Instead of treating VWAP as just another moving average, this indicator creates a complete analytical framework that combines volume-weighted candle visualization, statistical deviation bands, momentum indicators, and intelligent signal scoring to help you understand where money is flowing and how price is behaving relative to true fair value.

At its core, the indicator reconstructs price action through the lens of volume, showing you not just where price went or where it will go (NOT PREDICTIVE), but where the significant trading activity has occurred. It then layers on momentum analysis through Moving VWAPs (MVWAPs), identifies high-probability setups through multi-factor signal strength scoring, and provides real-time context through an intelligent information dashboard—all of which MAY help a trader take informed decisions and identify trading opportunities with proper risk and rewards.

## ✨ Key Features

* **Volume-Weighted Candle Reconstruction** - Visualizes price action weighted by trading volume, revealing where activity is concentrated
* **Intelligent Signal Strength System** - Multi-factor scoring engine that evaluates volume, body size, alignment, trend context, and momentum to quantify setup quality from 0-100
* **Dual MVWAP Momentum Framework** - Fast and Slow Moving VWAPs that identify momentum shifts and trend alignment in volume-weighted price flow
* **Multi-Layer Standard Deviation Bands** - Statistical zones (1σ, 2σ, 3σ) that identify extension, exhaustion, and mean-reversion opportunities
* **Session & Historical Context** - Tracks current session VWAP alongside previous session levels to identify key reference points
* **Adaptive Candle Coloring** - Visual strength grading system that fades weak signals and highlights high-conviction setups based on configurable thresholds
* **Comprehensive Signal Detection** - Automated identification of VWAP crosses, MVWAP momentum shifts, and statistical band rejections with strength filtering
* **Multi-Dimensional Information Dashboard** - Real-time display of signal strength, price zone, trend bias, distance metrics, and component breakdowns

## 🔧 How It Works

### 🎯 Volume-Weighted Candle Construction

The indicator analyzes each bar within your selected lookback period and reconstructs OHLC values based on volume distribution rather than simple time-based averaging.

The attempt is to create a "cleaner" view of price action that filters out low-volume noise and emphasizes areas where real money changed hands.

### 📈 MVWAP Momentum System

Moving VWAPs (MVWAPs) apply moving average smoothing to the VWAP itself, creating momentum indicators specifically designed for volume-weighted analysis:

* **Fast MVWAP** (default 9 periods) - Captures immediate shifts in volume-weighted momentum
* **Slow MVWAP** (default 20 periods) - Establishes longer-term trend direction
* **Crossover Logic** - When Fast crosses above Slow, volume-weighted momentum is bullish; when it crosses below, momentum is bearish
* **Trend Alignment Filter** - Used as a component in the signal strength system to ensure trades align with dominant volume flow

### 🎯 Signal Strength Intelligence

Rather than treating every VWAP cross or setup equally, the indicator employs a sophisticated multi-factor scoring system that evaluates:

* **Volume Intensity** - Compares current bar volume to recent average to gauge commitment level
* **Candle Body Size** - Measures decisiveness of the move relative to recent action
* **Price-VWAP Alignment** - Confirms regular price candles align with volume-weighted candles
* **Trend Context** - Verifies setup agrees with broader VWAP trend and MVWAP positioning
* **Consecutive Momentum** - Rewards sustained directional moves that show follow-through
* **Statistical Distance Bonus** - Adds points when price is near extreme deviations (2σ+)

Each factor is weighted according to your preferences, producing a final strength score from 0-100. This allows you to:

* Filter out weak, low-conviction setups automatically
* Focus attention on trades with multiple confirming factors
* Visualize signal quality through adaptive candle transparency and color intensity
* Set custom strength thresholds for alerts and labels

### 📊 Statistical Deviation Framework

The indicator calculates and displays three layers of standard deviation bands around VWAP:

* **1σ Bands** - Normal trading range where most price action occurs
* **2σ Bands** - Extended zones suggesting overextension; mean-reversion setups often emerge here
* **3σ Bands** - Extreme statistical outliers indicating exhaustion or major moves; high-probability reversal areas

Price behavior at these bands is automatically monitored for rejection patterns, with signals fired when price reaches extreme deviations but fails to sustain, suggesting institutional profit-taking or absorption.

### 🎨 Adaptive Visual Feedback

The indicator provides multiple layers of visual intelligence:

* **Gradient Candle Coloring** - Transparency adjusts based on signal strength, so weak setups appear faded while strong ones are vivid
* **Strength Labels** - Display actual numeric strength scores on qualifying candles with detailed component breakdowns in tooltips
* **Signal Markers** - Automatically place labeled alerts for VWAP crosses, MVWAP momentum shifts, and band rejections
* **Information Dashboard** - Real-time table showing current strength, VWAP level, distance metrics, zone classification, trend bias, and component scores

### 📍 Zone Classification System

Price is continuously classified into zones relative to VWAP:

* **At VWAP (Fair Value)** - Within ±0.2σ, considered equilibrium
* **Slightly Above/Below** - 0.2–1σ, normal activity zone
* **Above/Below VWAP** - 1–2σ, extended but not yet extreme
* **Extended High/Low** - 2–3σ, overextension zone with reversion probability
* **Extreme High/Low** - 3+σ, statistical outliers with high mean-reversion probability

This classification, combined with MVWAP positioning and trend context, produces the overall **Bias** reading (Strong Bull, Bullish, Bearish, Strong Bear) displayed in the dashboard.

## 💡 How to Use

### 🎯 Identifying High-Probability Setups

Switch on **Enable Strength Scoring** and set your **Min Strength to Color** threshold (typically 50-70). This causes:

* Weak signals to appear gray/faded, allowing you to ignore them
* Medium signals to show standard coloring for context
* Strong signals (70+) to appear bold and receive strength labels

Focus your trading attention on setups that show:

* Strength scores above your threshold
* Alignment between price candles and VWAP candles
* Confirmation from MVWAP positioning (Fast above/below Slow matching signal direction)
* Appropriate zone classification (e.g., not buying at 3σ high)

### 📊 Using MVWAP for Trend Context

The MVWAP crossover system provides institutional momentum context:

* **When Fast MVWAP > Slow MVWAP**: Look primarily for long entries on pullbacks to VWAP or lower bands
* **When Fast MVWAP < Slow MVWAP**: Look primarily for short entries on rallies to VWAP or upper bands
* **On MVWAP Crossovers**: Consider these as early warning signals of momentum regime change; wait for price confirmation before trading

Enable **Show MVWAP Crossover Signals** to receive labeled alerts when momentum shifts occur.

### 🎯 Mean-Reversion vs Continuation

The indicator supports both mean-reversion and continuation strategies:

**Mean-Reversion Trading:**
* Watch for price reaching 2σ or 3σ bands
* Look for rejection signals (high/low beyond band but close back inside)
* Confirm with opposing signal strength (bearish at upper bands, bullish at lower bands)
* Target return to VWAP or opposite band

**Continuation Trading:**
* Wait for VWAP crosses with strong signal scores (70+)
* Confirm MVWAP alignment supports the direction
* Look for consecutive candles building momentum
* Use bands as initial targets and VWAP as trailing stop reference

### 📍 Session & Anchor Settings

Choose your **Anchor Period** based on trading style:

* **Session** - Best for intraday trading; resets VWAP each trading session
* **Week** - For swing trading; tracks weekly institutional levels
* **Month** - For position trading; long-term volume-weighted fair value
* **Rolling** - Adaptive moving window; useful for continuous markets or crypto

Enable **Show Previous VWAP** and **Show Previous VWAP High/Low** to see institutional reference levels from prior periods—these often act as support/resistance.

### 🎨 Dashboard Configuration

The **Info Table** provides real-time intelligence:

* **Strength** - Current signal quality (0-100) with classification
* **VWAP** - Current volume-weighted fair value level
* **Distance** - Points and percentage away from VWAP
* **SD Dist** - Statistical distance in standard deviations
* **Zone** - Current price classification relative to VWAP
* **Bias** - Overall trend/momentum assessment
* **MVWAP** - Fast/Slow relationship status
* **Strength Breakdown** - Component scores showing what's driving current strength

Position and customize the table to match your chart layout preferences.

### ⚙️ Signal Filtering

Use **Only Show Strong Signals** to filter labels to setups meeting your **Strong Signal Threshold** (typically 70). This prevents chart clutter while ensuring you see genuinely high-probability opportunities.

Adjust the **Strength Weights** to match your trading style:

* Increase **Volume Weight** if you trade breakouts and strong moves
* Increase **Trend Alignment** if you prefer trading with established momentum
* Increase **Consecutive Candles** if you favor follow-through setups
* Balance weights equally for a general-purpose scoring approach

### 🔔 Alerts

Set up automated alerts for:

* Strong VWAP crosses (above/below your strength threshold)
* MVWAP momentum crossovers (bullish/bearish)
* Very strong signals (80+ strength)
* 3σ band rejections (extreme mean-reversion opportunities)

## ⚙️ Configuration Overview

### VWAP Settings
* **Anchor Period** - Session/Week/Month/Rolling basis for VWAP calculation
* **Rolling Length** - Lookback bars when using Rolling anchor
* **Session Time** - Defines trading session hours (default IST market hours)
* **Use Regular Session Only** - Filter calculations to regular trading hours

### VWAP Candles
* **Show VWAP Candles** - Toggle volume-weighted candle display
* **Candle Smoothing Length** - Lookback for constructing VW candles
* **Color Settings** - Bullish/bearish/weak candle colors and wick color

### Signal Strength
* **Enable Strength Scoring** - Activate intelligent signal evaluation
* **Min Strength to Color** - Threshold for displaying candle colors (weak signals appear gray)
* **Show Strength Labels** - Display numeric scores on strong candles
* **Strong Signal Threshold** - Defines "strong" vs "moderate" signals
* **Strength Weights** - Configure relative importance of each scoring component

### VWAP Line & Bands
* **Show VWAP Line** - Display main VWAP level with color/width options
* **Show SD Bands** - Toggle standard deviation band display
* **SD Multipliers** - Adjust 1σ, 2σ, 3σ band distances
* **Fill Between Bands** - Gradient fill for visual band identification

### MVWAP Settings
* **Show Fast/Slow MVWAP** - Toggle momentum indicator displays
* **MVWAP Lengths** - Period settings for Fast (9) and Slow (20) MVWAPs
* **Show Crossover Signals** - Label MVWAP momentum shifts

### Signals & Labels
* **Show VWAP Cross Signals** - Mark price crosses of VWAP line
* **Show Band Rejection Signals** - Identify mean-reversion setups at bands
* **Only Show Strong Signals** - Filter labels by strength threshold
* **Label Sizes & Colors** - Customize appearance of all labels and signals

### Info Table
* **Show Info Table** - Display real-time dashboard
* **Table Position/Size** - Layout and text size settings
* **Color Scheme** - Comprehensive color customization for table components

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## ⚠️ Disclaimer

This indicator is provided for **educational and informational purposes only**. It does not constitute financial advice, investment recommendations, or a solicitation to buy or sell any financial instruments.

All trading involves risk. Past performance of any strategy, indicator, or system does not guarantee future results. You are fully responsible for your own trading decisions, which should be based on your personal financial situation, risk tolerance, investment objectives, and independent analysis.

The signal strength scores, zone classifications, and automated alerts are analytical tools designed to assist in decision-making—they are not trade recommendations. Always conduct your own due diligence and consider consulting with a qualified financial advisor before making investment decisions.