Volume Weighted Average Price (VWAP)

Volume-Weighted Average Price (VWAP) is a technical indicator that calculates the average price a security has traded at throughout a period, weighted by both volume and price. It serves as a benchmark for traders and institutions to determine trend direction, liquidity, and fair value.

Key Aspects

  • Bullish Sentiment: Price > VWAP indicates an upward trend.
  • Bearish Sentiment: Price < VWAP indicates a downward trend.
  • Usage: Frequently used for identifying dynamic support/resistance and assessing execution quality.

VWAP

=VWAP(data, [period])

Example Usage

=VWAP(A2:F500) // Cumulative (Anchored) from start

=VWAP(A2:F500, 20) // Rolling 20-period VWAP

Parameters

Parameter Type Description Status
data
Range
The input range of columns containing the Date, Open, High, Low, Close, and Volume data.
 Required
period
Number
Optional. The number of periods for a **Rolling VWAP** (e.g., 20). If omitted, calculates **Cumulative (Anchored) VWAP** from the start of the data.
 Optional

Return Value

A two-column array of dates and their corresponding VWAP values.

VWAP Formula Result in Google Sheets

💡 Anchored vs. Rolling VWAP

Anchored VWAP (Default): When you omit the period, the formula calculates a cumulative average starting from the first row of your data range. This is equivalent to an Anchored VWAP tied to the start of your dataset. It does not reset daily like an intraday Session VWAP.

Rolling VWAP: When you provide a period (e.g., 20), the formula uses a sliding window (e.g., last 20 days). This eliminates the long-term “drift” of the cumulative calculation and makes the indicator responsive to recent price action, similar to a Moving Average but volume-weighted.