VWAPDeviation — VWAP Deviation

The close’s distance from the rolling VWAP, in standard deviations of that distance. A z-score against a volume-weighted reference rather than a plain average — the mean-reversion read for anyone who thinks the volume-weighted price is the fairer anchor.

Signature

VWAPDeviation(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	VWAP and deviation window. Default 20, bounds 2–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high, low, close, volume.

Formula

$$ d_t = C_t - \text{RollingVWAP}_t, \quad \text{VWAPDev} = \frac{d_t}{\sigma(d, n)} $$

Warmup

period bars; 0 when the deviations have no spread.

Reading the value

vd.value
vd < -2
vd.crossed_above(0)

Example

class VwapReversion(Strategy):
    """Fade a two-sigma stretch from the volume-weighted price."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        vd = VWAPDeviation(20, on=self.trade)
        if vd.value < -2 and self.trade.is_flat:
            self.buy(self.trade, reason=f"VWAP dev {vd.value:.2f}")
        if vd.value > 0 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Back at VWAP")

Notes

• Built on RollingVWAP, so the same caveat applies: this is not session VWAP and never resets at the open.