What it is
Standard VWAP starts fresh each day, which makes it jumpy early in the session and useless for looking back over several days. Rolling VWAP fixes that by always using the same number of recent candles. The oldest candle drops off as each new one is added.
Because each price is weighted by its volume, candles where a lot traded pull the line harder than quiet ones. On forex and CFDs the volume is tick volume, which is the number of price changes.
How it is calculated
1. For each candle, typical price = (high + low + close) divided by 3. 2. Multiply each typical price by that candle's volume. 3. Add those up over the last 200 candles. 4. Add up volume over the same 200 candles. 5. Rolling VWAP = the first total divided by the second. On the next candle, drop the oldest candle and add the newest.
Settings
| Setting | Default | Range | What it changes |
|---|---|---|---|
| Length | 200 | 5 to 2000 | Candles in the window. Longer is slower and acts as a bigger trend line; shorter tracks price closely. The chart needs at least this many candles loaded. |
How to read it
How to trade it
- 1
On a 15 minute gold chart, only look for buys while price is above a rising rolling VWAP(200).
- 2
Wait for price to pull back to the line and a candle to close back above it with a lower wick.
- 3
Place the stop a few points below the line or below the pull-back low, often 6 to 10 points on 15 minute gold.
- 4
Target the last swing high, then 2 times the stop.
- 5
On US30, use it in reverse when price is below a falling rolling VWAP.
A pull-back buy at rolling VWAP is proved wrong when price closes below the line and the next candle fails to get back above it.
WickSpeak runs in your browser with nothing to install. When you add rolling VWAP, it writes a plain-English reading on the live candle: what the indicator is, what it is doing right now, how to trade it and what would prove that reading wrong. It says whether price is above or below the line, how many points away it is, and whether the line is rising or falling.
In Playbook, our no-code strategy builder, rolling VWAP can be a condition in a play. It can test whether rolling VWAP: price crosses above it; price crosses below it; price is above it; price is below it; is rising; is falling. Each condition can run on any of 12 timeframes from 1 minute to weekly, combined with up to 11 others, and the play can be backtested on past candles with your own costs and turned into alerts on screen, by email or by phone push.
Best markets and timeframes
Best on 5 minute to 1 hour charts of gold, indices and crypto. Choose the length to match your holding time: 200 candles on a 15 minute chart covers about two days.
Common mistakes
- Expecting it to match session VWAP; it will differ because it does not reset.
- Using a length larger than the candles loaded on the chart.
- Forgetting that on forex and CFDs the volume is tick volume.
Works well with
Questions traders ask
What is the difference between VWAP and rolling VWAP?
Standard VWAP resets at the start of each session and grows through the day. Rolling VWAP always uses a fixed number of recent candles, so it never resets and behaves like a volume-weighted moving average.
What is the best rolling VWAP length?
200 is a common default. Pick a length that matches how far back you care about; on a 5 minute chart, 288 candles is roughly one full 24 hour day.
Is rolling VWAP the same as VWMA?
They are very similar. A volume weighted moving average usually weights the close, while rolling VWAP weights the typical price, so the lines are close but not identical.
Can I use rolling VWAP on forex?
Yes, using tick volume. It is less precise than with real exchange volume, but it still shows where most activity has happened.