Day Trading Setups
VWAP Standard Deviation Bands
The session's volume-weighted average price with real statistical bands wrapped around it. The bands answer one question: how far is this move from normal for today, in real units, not a guess.
Pick a band, watch every touch get scored
VWAP and every band below are computed bar by bar from the actual generated candles and their volume, nothing is faked to look tidy. Choose which band to trade against, then step or play the session forward. Every time a close reaches that band, it gets logged as either a fade (price closed back toward VWAP within the next 3 bars) or a break (price kept going). The table updates live as the session plays and again the instant you switch bands.
Press play or step to build the session and watch VWAP and its bands form.
| Band | Touches | Faded | Broke | Fade rate |
|---|
How it works
- VWAP is a running average, weighted by volume, reset every session. VWAP = cumulative(typical price × volume) ÷ cumulative(volume), where typical price is (high + low + close) ÷ 3. It only uses bars that have already printed, so it's a fair, no-lookahead line the whole session watches together.
- The bands are a real standard deviation of price around that same VWAP. At every bar, the tool computes the volume-weighted standard deviation of typical price from VWAP using every bar so far, then plots it at 1, 2, and 3 multiples above and below the VWAP line.
- Early in the session the bands are wide and noisy. With only a few bars of data, one outlier print swings the whole calculation. The bands visibly tighten and stabilize as more bars accumulate, which is real, not a rendering quirk.
- A touch of the 1σ band is common, a touch of the 3σ band is rare. That's what standard deviation means by construction, and it's why day traders treat a 1σ poke as noise but a clean 2σ or 3σ extension as something worth reacting to.
Where this breaks
A trending day turns "extreme" bands into the new normal
Standard deviation bands are built on the same assumption every mean-reversion tool leans on: that price wants to come back to its average. On a real trend day, it doesn't. Price can walk out to the 2σ band, hold there, and grind out to 3σ without ever faltering, because the VWAP itself is climbing right alongside it and the band that looked "stretched" an hour ago is now just where price lives. Fading a 2σ touch on a genuine trend day means selling strength over and over into a market that keeps proving you wrong, one small loss at a time. The bands describe distance from average, they don't know whether today is a trend day or a range day, that judgment still has to come from somewhere else on the chart.