RollingVWAP — Rolling VWAP

The volume-weighted average of typical price over the last N bars. This is not session VWAP: it has no anchor and never resets at the open — session-anchored VWAP needs session-reset state the language does not have. The difference is large intraday; do not assume otherwise.

Signature

RollingVWAP(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Sliding window. Default 20, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high, low, close, volume.

Formula

$$ \text{RollingVWAP} = \frac{\sum_n TP_i \cdot V_i}{\sum_n V_i}, \quad TP = \tfrac{H+L+C}{3} $$

Warmup

period bars to a full window (partial before). A zero-volume window returns the current typical price.

Reading the value

rv.value
self.trade.close < rv.value

Example

class VwapFade(Strategy):
    """Fade a stretch below the rolling VWAP."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        rv = RollingVWAP(20, on=self.trade)
        if self.trade.close < rv.value * 0.98 and self.trade.is_flat:
            self.buy(self.trade, reason="2% under rolling VWAP")
        if self.trade.close > rv.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Back at VWAP")

Notes

• The expressible cousin of session VWAP; weights typical price (not the close — that is VWMA).