VWAP Market Flow

VWAP Flow Model

VWAP Flow Model is a VWAP-anchored market context indicator designed to help traders understand how price is behaving relative to fair value.

It evaluates the interaction between price, VWAP (Volume-Weighted Average Price), volatility, and momentum to classify prevailing market conditions such as trend continuation, expansion, mean reversion, and momentum decay.

Rather than issuing trade signals, the indicator focuses on identifying market state and execution quality.


Core framework:

-Adaptive VWAP with slope-based colouring

-VWAP acts as the central fair-value reference.
The VWAP line dynamically changes colour based on its slope:

-Rising VWAP → bullish pressure

-Falling VWAP → bearish pressure

-Flattening VWAP → balance, compression, or rotation

This allows traders to quickly assess directional bias and determine whether price movement is supported by underlying flow or occurring in a lower-quality environment.


Signal labels:

The indicator annotates key behavioural transitions to support visual interpretation of market state:

-IGN (Ignition) — Momentum expansion emerging from compression or balance, often marking the start of a directional move.

-CON (Continuation) — Price sustaining directional behaviour in alignment with VWAP slope.

-REV (Reversion) — Mean-reversion behaviour as price returns toward VWAP after extension.

-EXH (Exhaustion) — Loss of momentum or absorption after an extended move, often preceding rotation or regime change.

-MON (Displacement) — High-energy expansion bars indicating strong participation and structural shift.

These labels describe market behaviour, not trade instructions, and should be interpreted within the broader VWAP context.


Market behaviour classification:

The model continuously evaluates how price interacts with VWAP to determine whether the market is:

-directional and trending

-rotating around fair value

-accelerating away from value (expansion)

-losing momentum or showing signs of exhaustion

Classifications are derived from price displacement, volatility conditions, and momentum quality, rather than simple crossovers.


Filtering and control logic:

-Trend / Volatility Filter

Conditions market-state classification on the prevailing volatility and structural regime, helping prevent unstable or low-quality environments from producing misleading context shifts.

-Cooldown Filter

Enforces a minimum number of bars between classification updates to reduce rapid state-flipping in choppy conditions and keep context stable.

-Minimum Bars Between Signals

Controls the strictness of the cooldown logic.
Lower values increase responsiveness; higher values favour cleaner, more stable context changes.

-Tape Dominance Requirement (IGN)

Optional confirmation that requires directional signed-volume pressure to align with price behaviour before ignition-style classifications are allowed, helping distinguish genuine impulsive moves from weak or mechanically driven spikes.

-Tape Dominance Lookback

Defines the evaluation window used by the tape dominance filter.
Shorter lookbacks react faster; longer lookbacks require sustained participation.


Sensitivity and session controls:

Sensitivity modes adjust how responsive the model is to changing conditions:

-Aggressive — faster, more reactive (lower timeframes)

-Balanced — default intraday calibration

-Sniper — stricter thresholds, fewer but higher-quality classifications

Optional session filters allow the model to operate only during selected trading sessions, helping traders focus on higher-liquidity periods and avoid low-efficiency hours.


How to use it:

VWAP Flow Model is used as a context and confirmation layer, not a signal generator:

-Trade in the direction of VWAP slope during directional phases

-Expect mean reversion when price extends far from VWAP in balanced conditions

-Treat strong acceleration away from VWAP as expansion rather than chop

-Use flattening VWAP as an early warning of rotation or momentum loss

It integrates naturally with price action, structure-based analysis, and volume-aware workflows.


Indicator scope:

VWAP Flow Model provides objective market context and behavioural classification.
It does not generate direct trade signals and is designed to support discretionary decision-making.


Important notes:

Market classifications are probabilistic, not guarantees

Past behaviour does not imply future results

This indicator is a decision-support tool, not an automated trading system