PrecisionVWAPZones

PrecisionVWAPZones — Adaptive 3-Layer VWAP Zone Engine

The main image is TESLA on 2.09.26. The indicator is best used along side your favorite signal generator.

Full Description
PrecisionVWAPZones (PVWZ) is a context-first VWAP zone indicator built for intraday traders who need to understand where price sits relative to fair value — and how that context changes based on what they're trading and when.
Unlike standard VWAP band indicators that apply fixed standard deviation multipliers, PVWZ uses a three-layer adaptive engine to calculate zone widths that respond to real market conditions:

How It Works
Layer 1 — Deviation Baseline
The foundation of each zone is built from historical VWAP deviation, not fixed standard deviations. An EMA of the absolute distance between price and VWAP establishes how far price typically strays on the current instrument. This produces bands that are proportional to actual trading behavior rather than theoretical statistics. Alternative modes (StDev and ATR-only) are available for traders who prefer different calculation methods.
Layer 2 — Volatility Factor
A ratio of current ATR to its longer-term average measures whether today's volatility is above or below normal. This factor scales the zone widths wider during volatile sessions and tighter during quiet ones. Instrument-specific clamps prevent the bands from expanding or contracting beyond reasonable bounds — a micro cap won't see the same volatility scaling as an ETF.
Layer 3 — Time-of-Day Weighting
Configurable weights for the open (9:30–10:15), midday (11:00–2:00), late session (3:00–4:00), and all other periods allow the zones to reflect the well-documented intraday volatility pattern. Bands widen during the opening range when moves are larger and compress during the midday lull.
Zone Structure
The three layers combine to produce a single adaptive width, which is then scaled into three zone pairs:

Value Zone (gray) — The area around VWAP where price spends most of its time. Trading within this zone suggests fair value and balanced conditions.
Stretch Zone (orange above / green below) — Price has moved meaningfully away from VWAP. These levels often act as support/resistance and represent areas where mean reversion becomes more probable.
Extreme Zone (red) — Statistically unusual extension from VWAP. Price reaching these levels suggests overextension and higher probability of a pullback, though strong trends can sustain extreme readings.

How Traders Use PVWZ
PVWZ provides context for three common intraday setups:
Discount Zone Mean Reversion — When price drops into the stretch or extreme discount zones (green/red below VWAP), it signals that price has moved significantly below fair value. Traders who favor mean reversion watch for signs of stabilization in these zones as potential long entries, targeting a move back toward VWAP. The deeper into the discount zones price travels, the more statistically stretched the move — but confirmation from price action or other indicators is important, as strong downtrends can sustain extreme readings.

📸 UUUU 2/10/26 — Price sells off into the extreme discount zone. The label reads EXTREME DISCOUNT with MKT: DOWNTREND and LOW VOL, confirming the extended move during a quiet session:

VWAP Retest After Breakout — When price breaks above VWAP and enters the upper stretch zone, then pulls back to retest VWAP or the upper value zone boundary, traders look for VWAP to act as support. A successful hold at VWAP after previously trading above it can indicate that buyers are defending fair value, offering a potential continuation entry with a defined risk level (failure of the VWAP hold).

📸 UUUU 2/9/26 — Price breaks above VWAP into the value zone after a premarket discount. The label shifts to ZONE: VALUE with MKT: UPTREND as buyers take control:

Breakout Through Upper Zones — When price moves through the value zone into the stretch zone with momentum, particularly when Shock Mode activates and widens the bands, it can indicate a legitimate breakout rather than a mean reversion setup. In these cases, the expanding zones help frame the move — if price sustains in the stretch zone rather than immediately reverting to value, it suggests the breakout has legs. The extreme zone then becomes the next reference level to watch.

📸 UUUU 2/9/26 — Price pushes through value into stretch premium. The label reads STRETCH PREMIUM with MKT: UPTREND and HIGH VOL as the breakout extends:


📸 UUUU 2/9/26 — Continuation into mild premium. Price holds above VWAP in the upper zones, confirming the breakout. Zones adapt and widen as the move develops:


In all three cases, the Market Type label provides additional context. Discount zone entries tend to work better in BALANCE or MIXED environments where mean reversion is dominant. Breakout continuation setups tend to work better when the market type reads UPTREND. Traders should consider the zone reading alongside the broader market context rather than treating any single zone level as an automatic entry or exit.

Full Session Example — UUUU (Energy Fuels Inc)
The following sequence shows PVWZ tracking a full session across two days on a 5-minute chart, demonstrating how the zones, market type, and volatility labels adapt in real time:
Monday 2/9/26 — Long Side

Premarket: Price opens in a mild discount with MKT: DOWNTREND and HIGH VOL. Zones are wide from prior session carry-forward.


Breakout: Price pushes above VWAP. Label flips to ZONE: VALUE, MKT: UPTREND. Zones begin adapting to the new session's deviation.


Extension: Price enters STRETCH PREMIUM as the move accelerates. HIGH VOL label confirms elevated activity.


Holding: Price sustains in MILD PREMIUM above VWAP. Zones stabilize as the move matures.


Tuesday 2/10/26 — Short Side

New session opens with a gap. MKT: MIXED, HIGH VOL. Zones reset around the new VWAP level.


Selloff begins: Price drops through value into the lower zones. MKT: DOWNTREND, HIGH VOL.


Deepening: Price pushes into MILD DISCOUNT. Zones track the declining VWAP.


Further extension: STRETCH DISCOUNT as selling continues. MKT: DOWNTREND persists.


Extreme: Price reaches EXTREME DISCOUNT with LOW VOL — the selling has exhausted into a quiet market. This is the deepest discount reading of the session.


Recovery: Price stabilizes and works back to ZONE: VALUE by mid-afternoon. MKT: MIXED, LOW VOL. Zones have compressed as the session's volatility normalized.


Auto Instrument Detection
PVWZ automatically classifies the instrument being charted using market cap data (via shares outstanding) with a dollar volume fallback:

Micro Cap (< $300M market cap)
Small Cap ($300M – $2B)
Mid Cap ($2B – $10B)
Large Cap ($10B+)
ETF (detected via syminfo.type)
Crypto (detected via syminfo.type)

Each classification applies tuned presets for volatility clamps, slope detection thresholds, and cross-count lookback periods. The goal is for the indicator to work well out of the box regardless of whether it's applied to a $2 micro cap or SPY. Manual override is available for cases where auto-detection doesn't match the desired behavior.
Market Type Detection
A VWAP slope analysis combined with cross-frequency counting classifies the current market environment:

UPTREND — VWAP is sloping up with few price crossings
DOWNTREND — VWAP is sloping down with few price crossings
BALANCE — Frequent VWAP crossings with flat slope
MIXED — Does not clearly fit the other categories

This classification is displayed as a label and helps traders quickly assess whether the current environment favors trend-following or mean reversion approaches.
Breakout Shock Mode (v1.5)
When a rapid ATR expansion is detected (short ATR vs. baseline ATR exceeds a configurable threshold), Shock Mode temporarily widens the zones and bypasses smoothing. This allows the bands to instantly react to breakout moves rather than lagging behind due to EMA smoothing. After a configurable hold period, the zones return to normal adaptive behavior.
Additional Features

Volatility Label — Displays "HIGH VOL" or "LOW VOL" when the volatility factor exceeds configurable thresholds, providing at-a-glance volatility context.
Cloud Fills — Four intensity levels (Subtle, Normal, Medium, Bold) control zone visibility without cluttering the chart.
Bar Coloring — Optional color-coding of candles based on their current zone position.
Session Continuity — Bands draw continuously across session boundaries using a carried-forward deviation baseline, eliminating visual gaps at the open.
Configurable Label Position and Size — All status labels can be repositioned and resized to fit any chart layout.

Recommended Use
PVWZ is designed as a context layer, not a signal generator. It answers the question "where is price relative to fair value right now?" so that traders can make better decisions with their existing strategy. It pairs well with momentum indicators, breakout tools, and volume analysis.
Recommended timeframe: 5-minute for most instruments. Works on all intraday timeframes.
Inputs Summary
All parameters are configurable. Key inputs include zone multipliers (Value, Stretch, Extreme), deviation calculation method, ATR lengths, time-of-day weights, shock mode thresholds, cloud intensity, and instrument type override.