Tool
VWAP Position
interpretor.vwap_position
Inputs
The VWAP bundle from market.vwap, carrying the VWAP line plus its +/-1 and +/-2 sigma bands.
Outputs
A boolean that is true on each bar the chosen VWAP position holds, ready to wire into a filter or signal.
VWAP Position turns a VWAP bundle into a simple yes/no answer about where price sits relative to the volume-weighted average price and its bands — above or below VWAP, tucked inside the +/-1 or +/-2 sigma band, or just reclaimed by crossing back through it.
How it works
It reads the bundle from market.vwap and evaluates one predicate per bar based on the mode you pick, producing a BOOL. above and below check which side of VWAP price is on; inside_band_1 and inside_band_2 check if price is within the +/-1 or +/-2 sigma band; reclaim_above and reclaim_below fire on the bar where close crosses back through VWAP.
Modes
True while price (close) is above the VWAP line — the bullish side of intraday fair value.
When to use: Gate longs to only trade with the VWAP bias, the way many intraday desks lean.
True while price (close) is below the VWAP line — the bearish side of intraday fair value.
When to use: Gate shorts to only trade with the downside VWAP bias.
True when price is within the inner +/-1 standard-deviation band around VWAP — close to fair value.
When to use: Gate mean-reversion or scratch trades while price hugs VWAP inside the tight band.
True when price is within the wider +/-2 standard-deviation band around VWAP — still inside the normal range.
When to use: Gate entries while price is anywhere inside the wide band, before a real outlier move pushes it past +/-2 sigma.
Fires on the single bar close crosses back up through VWAP from below — a bullish reclaim.
When to use: Trigger a mean-reversion long the moment price recaptures VWAP after dipping under it.
Fires on the single bar close crosses back down through VWAP from above — a bearish loss of VWAP.
When to use: Trigger a short the moment price loses VWAP after trading above it.
Configuration
Picks which VWAP test to run: above or below VWAP, inside_band_1 or inside_band_2 (the +/-1 or +/-2 sigma band), or reclaim_above / reclaim_below (close crossed back through VWAP).
Connects to
Examples
- Filter: only take longs when the above gate is true, trading with the VWAP bias.
- Trigger a mean-reversion entry when reclaim_above fires after price dipped below VWAP.
Common mistakes
- Mixing up the band modes — inside_band_2 is the wider +/-2 sigma band, so it stays true more often than inside_band_1.
- Expecting reclaim_above or reclaim_below to fire continuously; they only flag the single bar where the cross-back happens.