VWAP (Volume-Weighted Average Price)

VWAP, the volume-weighted average price, is the average price at which an instrument has traded over a period, with each price weighted by the volume executed there. It is the running benchmark for the “average” price paid during a session, which is why institutions use it to judge whether their own fills beat or lagged the day.

As a chart line, VWAP typically resets each session and is read as a dynamic mean: price above it suggests buyers are in control on the day, price below it suggests sellers, and reversion back to VWAP is a common reference for entries and targets. It differs from a moving average by weighting with volume and by being anchored to a fixed start, so it carries information a simple price average does not.

VWAP is fully mechanical and available as a primitive in Secuora’s AI backtester. As a baseline, a 12-month run of a simple VWAP-trend rule on BTC in Secuora’s published research at /strategy lost money once the 0.05%-per-side commission was applied — a reminder that a clean, popular line is not an edge by itself.