35

VWAP Trading Strategy Excel Sheet

Posted on by admin

VWAP or Volume weighted average price is an indispensable tool for intraday traders to forecast the price move of stocks. It does not necessarily give trading signals but it helps in buying low and selling high. When used with other trading indicators it can definitely help in increasing the accuracy of your trading strategy. It is also used by large institutional investors or hedge funds to buy/sell at a point which would not cause sudden movement is stock prices. VWAP factors in the volume of stock and hence indicates the current momentum as well as true average price. In this post, we would go through a VWAP Trading Strategy Excel sheet. This is an automated excel sheet which would calculate absolute VWAP value for various intraday timeframe.

You can also refer some of our very popular Excel based trading systems in the below link:

Excel Based Trading Systems

VWAP Calculation

As the name suggests, VWAP is the weighted average of stock price over a specified time period. The stock price is weighted based on the volume for that specified price candle. Below is the formula used to calculate VWAP:

∑ Number of Shares Purchased x Price of the Shares ÷ Total Shares Bought During the Period

As you can see, by multiplying the number of shares by the price, then dividing it by the total number of shares, you can easily find out the volume weighted average price of the stock. Since VWAP takes volume into consideration, you can rely on this more than the simple moving average.

Below are the steps in calculating VWAP:-

  1. Calculate the average or typical price movement of stock in specified time period. (H+L+C)/3
  2. Multiply Volume of the period with typical price computed in Step 1 above.
  3. Calculate the cumulative total of values computed in Step 2.
  4. Calculate the cumulative total of Volume.
  5. Find the ratio of values calculated in Step 3 and Step 4. This ratio is termed as VWAP.

VWAP Applications

VWAP has numerous application in the trading world. It is helpful for both institutional investors and retail intraday traders. Below are some well known applications of VWAP:-

  • It helps in Buying low and Selling High. If the price is below VWAP, it is considered as undervalued, while price above VWAP is considered as overvalued.
  • Crossing of prices above/below VWAP line in chart indicates momentum shift or change of trend.
  • VWAP is also used as a trading benchmark by institutional investors who are not worried about the timing of the trade, but who are concerned about the adverse impact of their trades on the price of the security.
  • VWAP serves as a reference point for prices for one day. As such, it is best suited for intraday analysis. Chartists can compare current prices with the VWAP values to determine the intraday trend.
  • VWAP indicator can be used as a dynamic support/resistance line during sideways market.

VWAP Trading Strategy Excel Sheet

VWAP Trading Strategy Excel Sheet

Below are the steps to use VWAP Trading Strategy Excel Sheet:

Step 1: Download the Excel file from the end of this post.

Step 2: Open this Excel file and make sure you are connected to internet. Please accept if it asks to enable Macros and Data connections.

Step 3: Input the Symbol Name, Exchange Name, Interval and Number of Days.

Step 4: Click on Get Data button. The data would be automatically downloaded and chart would be refreshed. The last columns indicates VWAP value.

Step 5: Green cell indicates VWAP is below closing price (undervalued), Red cell indicates VWAP is above closing price (overvalued).

Download link for VWAP Trading Strategy Excel Sheet

Please see the below link to download VWAP Trading Strategy Excel Sheet. Please let us know if you have any queries. Also, send us your feedback on how to improve this sheet.

VWAP Trading Strategy

Spreadsheets for Success

Related Posts

35 Comments

    • Please check again, the sheet has been corrected. And thanks a lot for letting us know!

    • Hi Bhaavin,

      Check at right side of the sheet, there you can enter scrip name and timeframe.

    • Hi Surajit,

      VWAP alone should not be used for buy/sell decisions. It should be combined with other indicators/price patterns.

  8. Hi admin
    I am getting data of stocks but data of Nifty & Bank Nifty is not coming..
    can u plz help

  11. Hi Nayan,
    The data we fetch in the excel sheet is from Google finance and unfortunately there is no symbol in Google Finance for Nifty and Banknifty futures. You can still fetch the data for their respective spots but volume would not be available (as they are pure derivatives). We thought a lot about it but there is no workaround available

  12. can we have time frame more than60 mins ?? for example 1 day,1week or 1 month??

  13. Sir, First of all thanks for such a marvelous work,
    I would like to know if this sheet can get auo updated say in a duration of 1 or 5 minutes rather than pressing the Get data button again and again…

  14. Hi

    How can i download all the symbols from the hong kong stock exchange? thanks

  15. Hi Sir,

    This sheet is showing data for Feb expiry when we fetch the data.
    Thanks a ton for the good work that you’re doing.

    Regards,
    Kamal Pardeshi

  16. If the price is below VWAP, it is considered as undervalued, while price above VWAP is considered as overvalued.
    Green cell indicates VWAP is below closing price (undervalued), Red cell indicates VWAP is above closing price (overvalued).

  17. If the price is below VWAP, it is considered as undervalued, while price above VWAP is considered as overvalued.
    Green cell indicates VWAP is below closing price (undervalued), Red cell indicates VWAP is above closing price (overvalued).
    PLEASE I DONT UNDERSTAND EXPLAIN PLEASE

  19. Sir, how can we get some more data like average volume, 52 wk high etc.

  20. Dear friend XL sheet is for cash stock, will you provide for F&O items, it would be great help as more people are using F&O for day tread. Pl reply.
    Interstate in FO NIFTY.

  21. Hi Sir,
    Excellent work trying to download excell sheet the moment you hit the button to download it takes you to Google ad.
    Can we get data in this sheet from nest or upstox or kite Platform s.
    Thanks
    Best Regards
    Raja

  22. hi sir, volume column in interchanged with close price column,seems some codes messed, please advise with correct excel , many thanks.

  23. Sir, it’s giving an error and not able to pull data from gogle finance API, can you please help ?

  24. Hi Sir,

    I am facing the same problem of not able to pull data from google finance API. Request you to please help.

Leave a Reply

Your email address will not be published.