XZ VWAP

The XZ VWAP Indicator is a multi-framework Volume-Weighted Average Price system designed to map institutional pricing levels, liquidity zones, and volatility ranges across multiple time structures. It combines Time-Segmented VWAP, Previous-Period VWAP, and Rolling VWAP with fully customizable standard deviation bands to highlight market equilibrium, displacement, mean-reversion, and trend continuation behavior.

1. Core Concepts

The indicator implements two VWAP methodologies:

A. Time-Segmented VWAP

This VWAP resets at the start of higher-timeframe periods such as:

Daily

Weekly

Monthly

Quarterly (custom periods supported)

This imitates how institutional models “anchor” VWAP to key sessions or major market cycles.

B. Rolling VWAP

Instead of resetting, the VWAP rolls continuously over a fixed number of bars (e.g., last 100 candles).
This behaves like a smoothed moving VWAP that adapts to shorter-term flow.

2. Standard Deviation Bands (Volatility Framework)

Both Time-Segmented and Rolling VWAPs include four tiers of STD bands:

Band 1 = ~fair volatility

Band 2 = moderate expansion

Band 3 = heavy expansion

Band 4 = extreme displacement

These levels are commonly used for:

Mean reversion setups

Detecting liquidity sweeps

Identifying exhaustion zones

Plotting dynamic support/resistance

Each band is optional and individually toggle controlled.



The XZ VWAP script is a professional-grade multi-timeframe VWAP engine that combines:

Time-segmented VWAP

Previous-period VWAP

Rolling VWAP

Four standard deviation bands per VWAP

Full visual customization

Accurate volatility modeling

This makes it a complete VWAP-based market structure system suitable for both intraday and high-timeframe traders.