VWAP & Bollinger Bands MTF Pro - Advanced Multi-Timeframe Indicator

Quick Start Guide

📊

Installation

Join our Discord Community
Request access from the owner
Open VWAP & BB MTF Pro on TradingView
Click "Add to Favorites" once authorized
Apply to your chart

⚙️

Default Settings

VWAP: Daily & Weekly enabled
BB: LTF & HTF enabled
Dark Theme: Optimized
Info Table: Top Right
All alerts: Active

🎯

Key Features

Multi-timeframe VWAPs
Standard Deviation Bands
Kalman Filtered BB
Auto-timeframe Selection
Professional Signals

💡 Pro Tip: The indicator requires volume data to calculate VWAP. If you see "NO VOLUME DATA" warning, switch to a symbol that provides volume information.

⚠️ Access Required: VWAP & Bollinger Bands MTF Pro is a premium indicator. You must join our Discord community and receive authorization from the owner before you can use it on TradingView.

Core Concepts

Understanding VWAP

Volume Weighted Average Price (VWAP) is the average price weighted by volume, showing where most trading activity occurred:

VWAP Type	Reset Period	Best Use Case	Color
Daily VWAP	Every day	Day trading, intraday levels	Blue
Weekly VWAP	Every week	Swing trading, weekly trends	Orange
Monthly VWAP	Every month	Position trading, major levels	Yellow
Quarterly VWAP	Every quarter	Long-term investing	Pink
Yearly VWAP	Every year	Major institutional levels	Purple

🔑 Key Understanding: Price above VWAP = Bullish sentiment, Price below VWAP = Bearish sentiment. Multiple VWAP confluences create strong support/resistance zones.

VWAP Standard Deviation Bands

Standard deviation bands around VWAP help identify overbought/oversold conditions:

Band 1 (±1σ)

Contains ~68% of price action

Use: First target/entry zone

Band 2 (±2σ)

Contains ~95% of price action

Use: Strong reversal zone

Band 3 (±3σ)

Contains ~99.7% of price action

Use: Extreme levels

Band 4 (±4σ)

Rare price excursions

Use: Black swan events

Bollinger Bands with Kalman Filter

The indicator uses advanced Kalman filtering for smoother, more responsive Bollinger Bands:

┌───────────────────────────────────┐
│ LTF BB (Current Timeframe)        │
│ • Kalman Filtered                 │
│ • Responsive to price changes     │
│ • Reduced lag                     │
├───────────────────────────────────┤
│ HTF BB (Higher Timeframe)         │
│ • Auto-selected timeframe         │
│ • EMA smoothed                    │
│ • Major trend direction           │
└───────────────────────────────────┘

💡 Auto-Timeframe Logic: The HTF automatically selects the optimal higher timeframe based on your current chart. For example: 5m chart → 30m HTF, 1H chart → 4H HTF, Daily chart → Weekly HTF.

Signal Analysis

VWAP Trading Signals

Signal Type	Condition	Interpretation	Action
VWAP Cross Up	Price crosses above VWAP	Bullish momentum shift	Consider long entry
VWAP Cross Down	Price crosses below VWAP	Bearish momentum shift	Consider short entry
Multi-VWAP Test	Price tests multiple VWAPs	Major support/resistance	High probability reversal
Band Extreme	Price at ±3σ or ±4σ	Overextended move	Prepare for mean reversion

Bollinger Band Signals

🐂 Bullish Reversal

Price crosses above HTF lower band
LTF lower band starts rising
Volume expansion preferred

Signal: BUY

🐻 Bearish Reversal

Price crosses below HTF upper band
LTF upper band starts falling
Volume expansion preferred

Signal: SELL

⚠️ Important: The volume gradient fill between bands shows buying/selling pressure. Darker colors indicate stronger volume participation in the move.

Sigma Distance Analysis

The indicator displays your current distance from VWAP in standard deviations:

Sigma Distance	Market State	Probability of Reversion	Suggested Action
0σ to ±1σ	Normal	Low	Follow trend
±1σ to ±2σ	Extended	Moderate	Reduce position size
±2σ to ±3σ	Overextended	High	Consider reversal
Beyond ±3σ	Extreme	Very High	High probability reversal

Professional Trading Strategies

Strategy 1: VWAP Mean Reversion

Setup Requirements:

Price reaches ±2σ or beyond from selected VWAP
Sigma distance indicator shows extreme reading
Price action shows rejection (pin bar, engulfing)
Volume spike at extreme

Entry & Exit:

Entry: When price starts moving back toward VWAP
Stop Loss: Beyond the ±3σ band
Target 1: VWAP level (50% position)
Target 2: Opposite ±1σ band (remaining position)

✅ Best Market Conditions: Range-bound markets, low volatility environments, established trading ranges.

Strategy 2: Multi-Timeframe VWAP Confluence

The Power of Confluence:

When multiple VWAPs converge at similar price levels, they create powerful support/resistance zones.

Example Setup:
- Daily VWAP: $100.50
- Weekly VWAP: $100.75  
- Monthly VWAP: $100.25
→ Strong support zone: $100.25 - $100.75
                

Trading Rules:

Identify zones where 2+ VWAPs cluster (within 0.5% of each other)
Wait for price to approach the confluence zone
Look for rejection candles or volume spikes
Enter on confirmation with tight stop below/above zone

Strategy 3: BB Squeeze Breakout

Identifying the Squeeze:

LTF BB inside HTF BB (bands contracting)
Low volatility period (narrow bands)
Price consolidating near VWAP

Trading the Breakout:

Bullish Breakout

Price closes above HTF upper band
Volume expansion confirmation
Stop: Below LTF middle band
Target: Next VWAP resistance

Bearish Breakout

Price closes below HTF lower band
Volume expansion confirmation
Stop: Above LTF middle band
Target: Next VWAP support

Strategy 4: Institutional VWAP Trading

Large institutions often use VWAP as a benchmark. Understanding their behavior can improve your trading:

Time Period	Institutional Behavior	Your Strategy
9:30-10:30 AM	Establishing positions	Wait for initial range
10:30 AM-2:00 PM	VWAP tracking	Trade VWAP bounces
2:00-3:30 PM	Position adjustment	Watch for trends
3:30-4:00 PM	MOC orders	Avoid false moves

Settings Optimization Guide

VWAP Configuration

Trading Style	Recommended VWAPs	Band Settings	Label Display
Scalping	Daily only	Bands on Daily	Enabled
Day Trading	Daily + Weekly	Bands on Daily	Enabled
Swing Trading	Weekly + Monthly	Bands on Weekly	Optional
Position Trading	Monthly + Quarterly	Bands on Monthly	Disabled

💡 Pro Tip: Use "Previous VWAP Levels" to see where old VWAPs are. These often act as hidden support/resistance levels.

Bollinger Bands Fine-Tuning

LTF (Lower Timeframe) Settings:

Length: 20 (default) - Standard setting, works well for most markets
Multiplier: 2.0 - Increase to 2.5 for volatile markets, decrease to 1.5 for stable markets
Kalman Filter: Process Noise (0.2) and Measurement Error (2.0) - Advanced users only

HTF (Higher Timeframe) Settings:

Auto-Select: Recommended for most users
Manual Override: Use when you want specific timeframe analysis
Auto-Multiplier: Adjusts based on timeframe ratio automatically

Visual Customization

🌙 Dark Theme Users

Keep "Dark Theme Optimization" ON
Info table uses appropriate contrast
Labels have dark backgrounds
Default colors optimized

☀️ Light Theme Users

Turn "Dark Theme Optimization" OFF
Consider adjusting colors
Reduce band transparency
Increase line thickness

Frequently Asked Questions

Q: Why does the indicator show "NO VOLUME DATA"?

A: VWAP calculations require volume data. Some symbols (like certain forex pairs or indices) don't provide volume. Solutions:

Switch to symbols with volume (stocks, futures, crypto)
Disable VWAP features and use only Bollinger Bands
Use tick volume if available (less accurate but functional)

Q: Which VWAP timeframe should I prioritize?

A: It depends on your trading timeframe:

Intraday: Daily VWAP is most important
Multi-day: Weekly VWAP takes precedence
Long-term: Monthly and Quarterly VWAPs
Best practice: Monitor the VWAP that matches your holding period

Q: How do I interpret the volume gradient fill?

A: The gradient between Bollinger Bands shows volume-weighted buying/selling pressure:

Dark green fill: Strong buying volume
Light green fill: Weak buying volume
Dark red fill: Strong selling volume
Light red fill: Weak selling volume
No fill: Bands are aligned (no gap)

Q: Why do HTF Bollinger Bands sometimes lag?

A: HTF bands use EMA smoothing to reduce noise from higher timeframe data. This creates slight lag but provides:

Smoother trend identification
Fewer false signals
Better alignment with larger timeframe trends
More reliable support/resistance levels

Q: Can I use this indicator for automated trading?

A: Yes! The indicator provides several alert conditions:

VWAP crosses (daily and weekly)
Bollinger Band reversals
Combined bullish/bearish signals
Set alerts via TradingView's alert menu

⚠️ Important: Always test any automated strategy thoroughly before live trading. Consider using multiple confirmation signals.

Advanced Tips & Tricks

🎯 Pro Trading Tips

Tip 1: VWAP Anchoring

Major news events reset market psychology. Note VWAP levels from:

Earnings releases
Economic data
Fed announcements

Tip 2: Band Walking

In strong trends, price can "walk" along Bollinger Bands:

Uptrend: Along upper band
Downtrend: Along lower band
Don't fight the trend!

Tip 3: Time Zones

VWAP behavior changes by session:

Asian: Often ranging
European: Directional
US: Most volume