volume indicator
VWAP backtesting — VWAP (Daily)
VWAP (Volume-Weighted Average Price) is the average price a market has traded at over a session, weighted by how much volume traded at each price — it is widely treated as a fair-value reference that institutional flow tends to respect. It resets each day, which makes it a same-session benchmark rather than a long-running trend line.
How VWAP works
For each candle, VWAP accumulates typical price (the average of high, low, and close) multiplied by volume, then divides the running total by cumulative volume since the start of the session — so heavier-volume candles pull the line toward their price more than light-volume candles do. Because the running totals reset at the start of each new day, VWAP always starts the session at the first candle’s price and gradually stabilizes as volume accumulates. CandleTest computes daily-reset VWAP with TradingView-parity math. The standard no-code rule is price relative to VWAP — above it is often read as bullish for the session, below as bearish — or price crossing VWAP as a signal.
Example VWAP strategies to backtest
Enter long when the close crosses above VWAP. Exit when the close crosses back below it.
Enter long when the close crosses above VWAP while VWAP itself is still falling — a reversion entry against a still-declining session average rather than a breakout with the trend. Exit when the close crosses back below VWAP.
Every rule above is buildable in the no-code strategy builder — pick conditions, press run, and get win rate, drawdown and equity curve on real exchange data with fees and leverage modeled.
VWAP FAQ
Why does VWAP reset every day?
It is designed to answer "what is the fair average price for this session," which only makes sense measured from the session’s start — carrying the calculation across days would blend unrelated trading sessions into one misleading average.
Is VWAP more useful on higher-volume markets?
Generally yes — VWAP’s premise relies on volume being a meaningful signal of where real trading interest sits, so it tends to behave more reliably on liquid pairs than on thin ones where a few large trades can skew the line. Backtesting on your specific pair shows whether that holds up.
Does a VWAP crossing work as a standalone entry signal?
It can, but like any single-line price-vs-indicator rule it tends to whipsaw when price oscillates around the line in quiet conditions. Testing it against a period with both trending and choppy stretches shows how much that costs.
Is CandleTest’s VWAP the same as TradingView’s daily VWAP?
Yes — the typical-price, volume-weighting, and daily-reset logic follow TradingView conventions and are unit-tested for parity.