VWAP is the volume-weighted mean of price over the session. Algos at desks use it as an execution benchmark - buying below VWAP "beats VWAP." Retail uses it as a session reference line: trade with the side of price relative to VWAP.

Formula

typical[t] = (high[t] + low[t] + close[t]) / 3
vwap[t]    = sum(typical * volume) / sum(volume)

Both sums reset at the session start (00:00 UTC).

Params

None.

Output

Single column named after your indicator (e.g. vwap).

Usage

Trend bias: long-only when price > VWAP, short-only when price < VWAP.
Pullback entries: in an uptrend, wait for a touch of VWAP from above for a continuation entry.
Reversion fade: extreme distance from VWAP can revert; combine with VWAP Bands.

VWAP vs VWAP Rolling

Cumulative VWAP resets at the session boundary, so the indicator "shrinks back" toward price every session start. If you want a rolling window with no reset, use VWAP Rolling.

Pitfalls

Session boundaries matter. A 4h crypto strategy crossing 00:00 UTC sees the indicator jump as the running totals reset.
Volume quality matters. Low-volume venues produce noisy VWAP.