VWAP Rolling computes VWAP over a moving window of period bars
rather than from the session start. The result is a continuous,
session-agnostic line that doesn't jump at midnight.
Formula
typical[t] = (high[t] + low[t] + close[t]) / 3
sums over the last N bars:
vwap[t] = sum(typical * volume, N) / sum(volume, N)Params
period- rolling window in bars. Required.
Output
Single column named after your indicator (e.g. vwap_rolling_50).
When to pick rolling vs cumulative
- Cumulative (VWAP) - when you want a session benchmark.
- Rolling - when you want a smooth trend reference that doesn't reset, or when you want a consistent window across timeframes that cross session boundaries.
Usage
Same as cumulative VWAP - trend bias, pullback entry, reversion fade. Rolling VWAP is also a good substitute for a long EMA when you want volume weighting baked in.
Pitfalls
- Window choice matters more than for SMA/EMA. Too short = noisy with low-volume bars dominating; too long = laggy.
- Volume of zero anywhere in the window breaks the volume weight for that bar. Most real data avoids this; synthetic test rows can hit it.