OPEN-SOURCE SCRIPT
Yearly VWAP with Z-Score V2
This script extends the traditional Volume Weighted Average Price (VWAP) by applying it to yearly sessions (with a customizable start month) and combining it with a Z-Score framework to standardize price deviations from VWAP.
Features
Yearly VWAP: Automatically resets at the selected month, making it possible to align VWAP with fiscal or seasonal cycles (e.g., June–May).
Volatility-Weighted Bands: Standard deviation is calculated using volume-weighted price variance, creating adaptive upper and lower bands around VWAP.
Z-Score Calculation: Converts price distance from VWAP into standardized scores, ranging from +2.5 to –2.5. This enables statistical interpretation of whether price is trading at fair value, extended, or oversold relative to VWAP.
Custom Session Control: Input allows users to change the yearly anchor month.
On-Chart Display: VWAP and bands are plotted, with a live Z-Score label shown on the latest bar.
How to Use
Fair Value Reference: VWAP reflects the average price weighted by volume over the yearly session — a natural equilibrium point.
Overbought / Oversold Detection: Extreme Z-Score readings (±2 or beyond) highlight when price is stretched relative to VWAP.
Cycle Analysis: Resetting VWAP by custom months allows studying market behavior over fiscal years, seasons, or custom trading cycles.
Part of a Broader Toolkit: This script is not a standalone trading system. It works best when aggregated with other indicators, confluence factors, or a structured strategy.
Originality
Unlike a standard VWAP, this version:
Uses yearly anchoring with custom start month instead of session/day anchoring.
Adds volume-weighted standard deviation bands for statistical context.
Translates distance into a Z-Score scale for objective overbought/oversold assessment.
Positive Z-Score values indicate zones where price is positioned favorably for accumulation or potential buys, while negative values highlight areas more suitable for distribution or profit-taking — always best used in confluence with other tools rather than as a standalone signal
Features
Yearly VWAP: Automatically resets at the selected month, making it possible to align VWAP with fiscal or seasonal cycles (e.g., June–May).
Volatility-Weighted Bands: Standard deviation is calculated using volume-weighted price variance, creating adaptive upper and lower bands around VWAP.
Z-Score Calculation: Converts price distance from VWAP into standardized scores, ranging from +2.5 to –2.5. This enables statistical interpretation of whether price is trading at fair value, extended, or oversold relative to VWAP.
Custom Session Control: Input allows users to change the yearly anchor month.
On-Chart Display: VWAP and bands are plotted, with a live Z-Score label shown on the latest bar.
How to Use
Fair Value Reference: VWAP reflects the average price weighted by volume over the yearly session — a natural equilibrium point.
Overbought / Oversold Detection: Extreme Z-Score readings (±2 or beyond) highlight when price is stretched relative to VWAP.
Cycle Analysis: Resetting VWAP by custom months allows studying market behavior over fiscal years, seasons, or custom trading cycles.
Part of a Broader Toolkit: This script is not a standalone trading system. It works best when aggregated with other indicators, confluence factors, or a structured strategy.
Originality
Unlike a standard VWAP, this version:
Uses yearly anchoring with custom start month instead of session/day anchoring.
Adds volume-weighted standard deviation bands for statistical context.
Translates distance into a Z-Score scale for objective overbought/oversold assessment.
Positive Z-Score values indicate zones where price is positioned favorably for accumulation or potential buys, while negative values highlight areas more suitable for distribution or profit-taking — always best used in confluence with other tools rather than as a standalone signal
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.