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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/channels/vwapbands/vwapbands.md
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| **PineScript** | [vwapbands.pine](vwapbands.pine) |
- VWAP Bands extend the Volume Weighted Average Price with dual standard deviation bands at $\pm 1\sigma$ and $\pm 2\sigma$ levels, creating a five-l...
- Parameterized by `multiplier` (default defaultmultiplier).
- Output range: Tracks input.
- Requires `2` bars of warmup before first valid output (IsHot = true).
- **Similar:** [VwapSD](../vwapsd/vwapsd.md), [BBands](../bbands/bbands.md) | **Complementary:** Volume profile | **Trading note:** VWAP with deviation bands; institutional benchmark for intraday fair value.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
VWAP Bands extend the Volume Weighted Average Price with dual standard deviation bands at $\pm 1\sigma$ and $\pm 2\sigma$ levels, creating a five-line channel system anchored to volume-weighted fair value. Three running sums (cumulative price×volume, cumulative volume, cumulative price²×volume) enable O(1) streaming updates per bar. A session reset mechanism clears accumulations at configurable intervals, keeping the indicator anchored to current market structure.