Adaptive VWAP

📌 Adaptive VWAP (AVWAP) — Volatility-Responsive Volume Weighted Average Price
Overview:

The Adaptive VWAP (AVWAP) is an enhanced and intelligent version of the traditional Volume Weighted Average Price (VWAP). Unlike standard VWAPs that reset at the start of each trading session, this script recalculates dynamically based on real-time market volatility, making it suitable for any timeframe and any asset class.

This tool is ideal for trend-followers, mean-reversion traders, and volatility-sensitive strategies, providing a smarter way to track average price and spot key support/resistance zones.

🔍 Key Features:
📈 Adaptive Lookback Length
Automatically adjusts the VWAP calculation length based on ATR-based market volatility. When volatility increases, the length shortens for faster responsiveness; when volatility contracts, the length expands to smooth out noise.

📊 Standard Deviation Bands (Optional)
Upper and lower bands are calculated based on volume-weighted variance, providing dynamic support and resistance zones. These help identify overbought/oversold levels or volatility breakouts.

🧠 Smoothing Factor
A user-defined smoothing option reduces sensitivity to short-term spikes in volatility, ensuring cleaner signals.

🧾 Real-Time Info Table
Displays key stats including the current adaptive length, volatility ratio, and VWAP value to help traders interpret how the indicator is adjusting to market conditions.

⚙️ How It Works (Technical Summary):
Volatility Measurement: Uses ATR (Average True Range) over a user-defined period to detect recent market volatility.

Adaptive Length Calculation: Compares the current ATR to its moving average to compute a volatility ratio. This ratio dynamically scales the VWAP length between length_min and length_max.

Smoothing: The adaptive length is then smoothed using a simple moving average for stability.

AVWAP Calculation: The VWAP is calculated using cumulative typical price × volume, divided by total volume over the adaptive window.

Deviation Bands: Volume-weighted standard deviation is used to draw bands above and below the AVWAP, similar to Bollinger Bands, but adjusted for volume and volatility.

🧠 Why Use AVWAP?
Unlike fixed-length VWAPs or session-bound versions, AVWAP adapts intelligently to changing market conditions. It behaves conservatively in stable markets and becomes more reactive in volatile environments — all without manual intervention. This makes it highly useful for:

✅ Tracking fair value on any timeframe

✅ Identifying dynamic support and resistance

✅ Spotting volatility shifts early

✅ Confirming trend continuation or potential reversals

🛠️ Customizable Inputs:
length_min / length_max — Range of adaptive lookback periods

volatility_period — ATR period used to measure volatility

smoothing — Smoothing for adaptive length

deviation_multiplier — Controls the width of the upper/lower bands

show_bands — Toggle to enable or disable deviation bands

color options — Customize VWAP and band colors

📌 Usage Notes:
This script does not reset daily — it continuously adapts to market structure.

Works well with stocks, crypto, forex, commodities, and indices.

Best used with price action confirmation, support/resistance zones, or momentum indicators for entries/exits.

Can be applied in scalping, swing trading, or long-term charting setups.
This indicator is designed to work on any timeframe and any market — from stocks and indices to forex and crypto.

To get the best results:

Timeframe Usage:

Works well on 5-min, 15-min, 1H, and daily charts.

On lower timeframes, try reducing the length_min and volatility_period for faster adaptation.

On higher timeframes (daily/weekly), consider increasing smoothing for a cleaner trend.

Trading Ideas:

Use AVWAP as a dynamic support/resistance line. Look for price bounces or breaks.

The deviation bands can be used like Bollinger Bands:

Upper band: potential resistance or overbought area.

Lower band: potential support or oversold area.

During sideways markets, price often oscillates around AVWAP — great for mean reversion.

During trending markets, AVWAP can act as a pullback entry zone.

Customization Tips:

Use color settings to match your chart theme.

Toggle bands off if you prefer a cleaner chart.

The info table at the top-right corner helps track how AVWAP is reacting to volatility — great for analysis.

Combining with Other Tools:

Works well with momentum indicators like RSI or MACD.

You can add traditional VWAP or moving averages for comparison.

Try combining with price action tools for best entries/exits.

⚠️ This is a visual tool — not a signal generator. Always validate with confirmation from your broader strategy.

✅ Credits & Disclaimer:
This script was developed to provide traders with a more context-aware version of VWAP by combining price, volume, and volatility into a unified framework. While this indicator can aid decision-making, it should be used alongside proper risk management and trading discipline.