VWAPBands

Session VWAP with +/-1 and +/-2 standard-deviation bands that restart each day, drawn over the candles.

VWAP is the volume-weighted average of each bar's typical price, (high + low + close) / 3, and it starts over at the first bar of each new calendar date. The two pairs of lines above and below it are one and two volume-weighted standard deviations of those typical prices around that average, so they widen when trading spreads out and narrow when it clusters. The indicator only draws these five lines and takes no parameters.

How to read it

All five lines sit on the price scale, drawn over the candles, so compare them to the candles directly.
The middle line is VWAP: price above it means it is trading above the day's volume-weighted average so far, below means under it.
Inner lines are one standard deviation from VWAP, outer lines two. On SPY one-minute bars for September 2026 the median inner band sat about 5 points from VWAP and the outer about 10.
The lines restart each date and start on a single price, so the first bars of a session show no band width; read them after volume has built up.

What it outputs

VWAP: Session volume-weighted average price. Each bar counts at its typical price, (high + low + close) / 3, weighted by its volume, and the average restarts each calendar date.
+1 sigma band: VWAP plus one volume-weighted standard deviation of typical prices. On SPY one-minute bars for September 2026 it sat about 5 points above VWAP at the median.
-1 sigma band: VWAP minus one volume-weighted standard deviation of typical prices. On the same sample it sat about 5 points below VWAP at the median.
+2 sigma band: VWAP plus two volume-weighted standard deviations of typical prices. On the same sample it sat about 10 points above VWAP at the median.
-2 sigma band: VWAP minus two volume-weighted standard deviations of typical prices. The lowest of the five lines. On the same sample it sat about 10 points below VWAP at the median.

Pitfalls

The class docstring describes a mean-reversion signal at plus or minus 2 sigma, but the indicator only outputs the five lines and marks nothing on the chart. A strategy has to compare price with the outer band itself.
The bands are built from only a few bars at the start of each date, so early-session width and position are unstable and rest on very little volume.
The line is a session average, not a trend. On SPY for September 2026 VWAP stayed between about 762 and 767 while the close ran from 750 to 775, so it does not follow multi-day moves.