VWAP@Time Z-score

VWAP@Time Z-score

In this indicator, the Z-Score distance is the current standard deviation from the intraday VWAP of the price.

If it exceed a certain deviation (for example 2 standard deviations), the indicator highlights an oversold or overbought area from which the price could tend to return to its mean, the VWAP.

The VWAP is the Volume Weighted Average Price, in this indicator it is computed only for intraday trading and it resets at the defined startTime time value.

So the indicator has four inputs:

  • startTime“: the time at which the VWAP is reset and the Z-Score starts to be drawn
  • endTime“: the time at which the Z-Score iterrupts its drawing
  • smoothZscore“: whether to smooth the Z-Score curve or not
  • stdDev“: the Z-Score oversold/overbought level

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Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

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  1. Daniele Maddaluno • 193 days ago #

    If you need to use it in PRT v11 take a look at this topic:


  2. Monobrow • 173 days ago #

    Hi Daniele
    Thank you for the indicator, it looks very good.

    However, I have a problem sometimes that it produces a very very large score for WAP – up to 200,000G!!!
    I am using your standard settings, any idea?


  3. samsampop • 167 days ago #

    Thanks very much for sharing, look forward to testing this idea out.

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