CompanyGraph
Weights price by volume over 20 periods, exposing the average cost basis of participants during that window and where the volume-adjusted fair value sits.
VWAP 20 (Volume-Weighted Average Price) uses price and volume over 20 periods. It gives a fair-value style average price.
VWAP 20 (Volume-Weighted Average Price) uses price and volume over 20 periods. It gives a fair-value style average price.
The calculation:
VWAP = Cumulative (Typical Price × Volume) / Cumulative Volume Typical Price = (High + Low + Close) / 3
Why VWAP matters:
- Volume integration: Weights prices by trading activity
- Fair value benchmark: Shows average price paid by market participants
- Institutional reference: Widely used by institutions to assess execution quality
- Support/resistance: Acts as dynamic support in uptrends, resistance in downtrends
Trading applications:
- Trend bias: Price above VWAP indicates bullish intraday bias
- Entry/exit timing: Institutions often aim to execute at or below VWAP
- Pullback entries: Pullbacks to VWAP in trends can offer entry points
- Reversal levels: Strong reactions from VWAP may indicate reversals
20-period VWAP considerations:
- Multi-day view: Extends traditional single-session VWAP concept
- Trend filter: Useful for identifying medium-term direction
- Less noise: Longer period smooths out intraday fluctuations
VWAP is particularly valuable because it combines price and volume, providing a more complete picture of where the market has truly transacted.