MP Master VWAP [BackQuant]

MP Master VWAP [BackQuant]

Overview
MP Master VWAP is an, volume-weighted average price suite. It re-anchors automatically to any time partition you select—Day, Week, Month, Quarter or Year—and builds an adaptive standard-deviation envelope, optional pivot clusters and context-aware candle colouring so you can read balance, imbalance and auction edges in a single glance. We use private methods on calculating key levels, making them adaptive and more responsive. This is not just a plain VWAP.

Key Components

• Anchored VWAP core – The engine resets VWAP the instant a new session for the chosen anchor begins. Separator lines and a live high–low box make those rotations obvious.

• Dynamic sigma bands – Three upper and three lower bands, scaled by real-time standard deviation. 1-σ filters noise, 2-σ marks momentum, 3-σ flags exhaustion.


• Previous-period memory – The prior session’s VWAP and bands stay on-screen in a muted style so you can trade retests of last month’s value without clutter.

• High-precision price labels – VWAP and every active band print their prices on the hard right edge; labels vanish if you want a cleaner chart.

• Pivot package – Choose Traditional, Fibonacci or Camarilla calculations on a Daily, Weekly or Monthly look-back. Levels plot as subtle circles that complement, not compete with, the VWAP map.


• Context candles – Bars tint relative to their location: vivid red above U2, soft red between U1-U2, neutral grey inside value, soft green between L2-L1, vivid green below L2.

Customisation Highlights

Period section
• Anchor reset drop-down [Day, Week, Month, Quarter, Year]
• Toggles for separator lines and period high/low

Band section
• Independent visibility for L1/U1, L2/U2, L3/U3
• Individual multipliers to fit any volatility profile
• Optional real-time price labels

Pivot section
• Three formula choices
• Independent timeframe—mix a Monthly VWAP with Weekly Camarilla for confluence

Visual section
• Separate switches for current vs previous envelopes
• Candle-colour toggle for traders who prefer raw price bars

Colour section
• Full palette selectors to match dark or light themes instantly

Some Potential Ways it can be used:
Mean-reversion fade – Price spikes into U2 or U3 and stalls (especially at a pivot). Fade back toward VWAP; scale out at U1 and VWAP.
Trend continuation – Close above U1 on rising volume; trail a stop behind U1. Mirror setup for shorts under L1.
Breakout validation – Session gaps below previous VWAP but quickly reclaims it. Use the cross-above alert to automate entry and target U1 / U2.
Overnight inventory flush – Globex extremes that tag L2 / U2 often reverse at the cash open; scalp rotations back to VWAP.
Risk framing – Let the gap between VWAP and L2 / U2 dictate position size, keeping reward-to-risk consistent across assets.

Alerts Included
• Cross above / below current VWAP
• Cross first sigma bands (U1 / L1)
• Break above second sigma bands (U2) or below L2
• Touch of third sigma bands (U3 / L3)
• Cross of previous-period VWAP
• New period high or low

Best Practices
• Tighten sigma multipliers on thin-liquidity symbols; widen them on index futures or high-cap crypto.
• Pair the envelope with order-flow or footprint tools to confirm participation at band edges.
• On intraday charts, anchor a higher-timeframe VWAP (e.g., Monthly on a 15-minute) to reveal institutional accumulation.
• Treat the previous period’s VWAP as yesterday’s fair value—gaps that never revisit it often morph into trend days.

Final Notes
MP Master VWAP condenses auction-market theory into one readable overlay: automatic period resets, adaptive deviation bands, historical memory, multi-style pivots and self-explanatory colour coding. You can deploy it on equities, futures, crypto or FX—wherever volume meets time, VWAP remains the benchmark of true price discovery.