VWAP Scanner

Stocks crossing VWAP, stocks stretched far from it, and stocks sitting right on it. Each is a different setup, and the scanner can show all three.

A reclaim is price climbing back above VWAP after trading under it. Crossed Above VWAP (CAVC) fires on that cross. Add Relative Volume (RV) so you only hear about reclaims with volume behind them.

A VWAP bounce, in Trade Ideas terms, is a reclaim after a dip. There is no "touch and hold" alert, so treat a bounce as a cross back above after trading below.

Crossed Below VWAP (CBVC) marks the loss of VWAP. Positive VWAP Divergence (VDU) and Negative VWAP Divergence (VDD) show how far the move has run, one alert at each whole percent.

Stretched moves, 3% or more from VWAP, are where some traders look to fade and others look to press. The alert just tells you it happened.

The DVWAP filters show distance to additional VWAP levels, and VWAP Stop (VWAPStop) places a stop outside near-term anchored VWAP. For how anchored VWAP works, see the anchored VWAP guide.

1. In TI Pro, open a Streaming Alerts window with Crossed Above VWAP and Crossed Below VWAP.
2. Add Relative Volume, Price and Spread filters.
3. Add Positive VWAP Divergence if you want to see how far the move runs.
4. Save and turn on sound.

VWAP is the volume-weighted average price since the open. Every trade counts, and bigger trades count more. By the end of the day it is the average price everyone paid.

Big buyers often use VWAP as a benchmark for their own fills, which is part of why so many traders watch it.

Crossed Above VWAP (CAVC) and Crossed Below VWAP (CBVC) use statistical confirmation, so a stock flickering across VWAP on a few trades does not fire again and again. That makes them cleaner than a raw cross.

Set Distance From VWAP 1 (VWAP) to a min of -0.3 and a max of 0.3 for stocks within 0.3% of VWAP. That is a list of stocks sitting right on the line, before they pick a side.

Positive VWAP Divergence (VDU) fires at each whole percent above VWAP: 1%, 2%, 3% and beyond. A stock 4% above VWAP on a quiet market day is stretched. Some traders fade it; others ride it. The alert just shows where it is.

VWAP has only a few trades behind it right after the open, so it moves a lot in the first minutes. Many traders give it 15 to 30 minutes before reading crosses.

Daily VWAP resets each day. For longer views, traders use anchored VWAP from a key date, like an earnings day. The DVWAP filters and VWAP Stop help with that.

The filter capture at the top shows the Distance From VWAP filter. On a chart, a reclaim looks like price climbing back over the VWAP line after trading below it, and CAVC marks the bar where it happens.

1. A stock opens strong, then slips under VWAP by 10:00 a.m.
2. It holds a level and buyers return.
3. Price crosses back above VWAP with confirmation, and CAVC fires.
4. A trader using this setup might buy with a stop back under VWAP.

VWAP reclaim (long)

VWAP loss (short)

Stretching above VWAP

Distance From VWAP 1 (VWAP) gives the distance from VWAP in percent. Near zero means price is sitting on it. Plus 3% or more on a slow large cap is stretched. On a small cap, 3% is a normal swing. Many traders set the range by the stock’s own volatility: Volatility (%) (VWVP) shows how far a stock normally moves in 15 minutes, in percent. A stock sitting several of those moves away from VWAP is stretched for that name.

• Scalpers trade the first test of VWAP after a strong open.
• Momentum traders want stocks holding above VWAP all morning and use a break under it as the exit.
• Mean reversion traders fade stocks far from VWAP and target a move back to it.
• Swing traders look at the anchored VWAP levels in VWAP 2 (VWAP2) through VWAP 5 (VWAP5) to find where buyers from a past day are breaking even.

Example numbers, not a real trade

1. A stock opens up 5% and runs to 4.2% above VWAP by 9:50 a.m. ET.
2. A 5 minute topping tail prints at the high.
3. A trader shorts with a stop over the high and a target at VWAP, about 3.5% lower.
4. If price reaches VWAP and CAVC fires on a bounce, the short is covered.

VWAP resets every morning, so in the first minutes it moves with every print. Many traders ignore VWAP signals before 9:45 a.m. ET. On thin stocks, a few big trades can drag it around. A Dollar Volume floor helps.

Regular VWAP starts at today’s open. Trade Ideas also tracks VWAP from earlier starting points: VWAP 2 (VWAP2) starts at the previous day’s open, and VWAP 3 through 5 start further back. Distance From VWAP 2 (DVWAP2) shows how far price is from VWAP 2 in percent: a min of 0.001 means above it, a max of -0.001 means below it.

Two-day VWAP hold (long)

Read it this way: buyers from yesterday and today are both in profit, and price just came back to where today’s buyers broke even. Many traders treat that as the cleaner VWAP long.

VWAP Stop (VWAPStop) gives a stop level placed outside near-term anchored VWAP, built from the stock’s high and low. Use it as the stop instead of guessing a round number.

• Price spent real time under VWAP first, not one or two bars.
• The cross back above came on rising volume.
• The first pullback after the cross held above VWAP.
• The stock is green on the day, or the market is turning up with it.
• The stop goes back under VWAP, or at the VWAP Stop level.

• Price rallied up into VWAP from below.
• It stalled there: small bars, a topping tail, or a red bar reversal.
• Crossed Below VWAP (CBVC) fired again after a brief poke above, or price never closed above it.
• Volume dried up on the push into VWAP.
• The short stop goes just above VWAP; the first target is the day’s low.

VWAP 1 (VWAP1) is the dollar value of today’s VWAP itself. Paired with Price (Price), it lets you see the gap in dollars as well as percent, which is easier to use when setting a stop.

VWAP crosses happen often on choppy stocks. Volume and spread filters matter.

VWAP resets each day. Early in the session it moves a lot.

Test your rules in a simulated account first.