VWAP bands indicator for Ninjatrader (FREE)

The VWAP Bands indicator that we developed for Ninjatrader 8 can display 9 lines :

  • The VWAP line in green in the middle stands for “Volume Weighted Average Price” (see more about why this line is so important below)
  • A standard deviation line below and above the VWAP (noted -1 and +1 in the screenshot below)
  • A double standard deviation line below and above the previous lines (noted -2 and +2 in the screenshot below)
  • version from Aug the 24th 2021 : the indicator can now display 4 additional lines : -3, -4 and +3, +4 lines.

Need more configurable parameters and automatic strategies usage? Check the PRO version

Click on the download button to download VWAP bands indicator for Ninjatrader for FREE.

Why is the VWAP line important ?

The Volume Weighted Average Price is very useful because this average price is considered as a good price by trading institutions. When they have a big order to split, a good way to do this is to wait for the price to retrace back to VWAP to add to their position.

And because it is so much used, this line often acts as support/resistance.

What are the standard deviation lines for ?

The standard deviation lines 1 and 2 represent a mathematical standard deviation calculation from VWAP. Theses lines can help you to :

  • see when the price is contracting or expanding because the lines will contract or expand too
  • have a visual guide to where the price is. For instance, if the price is near the standard deviation +2 line, you will have to be careful while buying because you know the price is overextended already.

How to show the VWAP line only and disable the standard deviation lines?

The standard deviation lines are configurable in the indicator’s properties. You can enable and disable the standard deviation 2 lines, or the standard deviation 1 lines, or even all of them to show the VWAP line only.

Why are my chart candles contracted at the top or bottom of my window?

Ninjatrader will try to keep all the candles + all the indicator lines displayed in the same window, but when the price is overextended (ie heavily bought or sold) the candles will not be centered in the window anymore.
To solve this, you will need to uncheck the “Auto scale” parameter from the indicator properties (see previous screenshot).

Click on the download button to download VWAP bands indicator for Ninjatrader for Free.

Want more? We have a pro version

FeatureFREE versionPRO version
Display VWAP lineXX
Display/hide 4 band lines above and below VWAPXX
Can use Standard deviation for bands calculationXX
Can use static points number for bands deviationX
Can use a average true range value for bands deviationX
Standard deviation and ATR period are configurable X
All 9 lines can be used in Strategy builder (or manual coding)X

You will receive the PRO version file with the documentation in your Paypal email within 24 hours after the payment (65 euros).
All futures updates and bug fixes are included lifetime, you will receive it by email at no extra cost.

10 Comments

  1. Hello, thanks for the VWAP indicator! It’s a pain that this isn’t default with NT8. What timeframe works best for this? I tend to use a tick chart and was wondering if it will still be accurate on a 2000 tick chart. Thanks!

    • Hi, thank you! The vwap is calculated starting from the first bar of every day. In others words, it is reset at every new day. It means the value should be almost the same on every timeframe, tick or range chart. That is a part of its power, every trader in the world can get a similar vwap value at a given time (in reality we could see some minor differences depending on the data feed/broker you use).

    • Bonjour,
      A ma connaissance, l’indicateur VWAP n’existe que dans le pack Order flow de Ninjatrader. Il faut donc payer la license $1099 pour l’avoir.
      Ceci dit, notre version gratuite n’offre rien de plus que celle dans le pack Order Flow. Et la version payante offre plus de réglages sur les bandes (standard deviation, ATR, valeur de points fixe) que celle du pack Order Flow (standard deviation seulement si j’en crois la doc).

  2. I want to work on the 3 min chart (for several reasons implicit to my method), but display the inf/sup bands of the 5 min chart (they seem more useful as support/resistance). Can this, at least approximately, be configured by choosing a factor in the setup? Or in some other way? Thx.

    • Hi Hans,
      Yes it is possible to do this but in the Pro version only. In the pro version, you can customize the bands calculation using standard deviations, fixed points or ATR.
      For instance: the default bands calculation mode on a 5 min chart uses a 256 period std deviation. You can configure the std deviation period in the Pro version settings, and this is equivalent to a 427 period setting on a 3 min chart.

  3. Hi,
    how will I access the various std dev value with in script? That is how should i define the Vwap indicator and access these values?

    • Hi,
      Do you mean you would like to access the indicator values from a custom strategy? This is possible in the Pro version only. This version comes with a PDF documentation file that explains how to use all the indicator values in the strategy builder or custom script. Feel free to email me if you need more info about it.

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