VWAP bands indicator for Ninjatrader (FREE)

The VWAP Bands indicator that we developed for Ninjatrader 8 can display 5 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)

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

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

2 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).

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