VWAP, bands, ATR and price levels (chart tools)

VWAP: the average price people actually paid

VWAP (volume-weighted average price) is the average price of the day's trades, where big trades count more than small ones.

Illustrative: 100 shares at $10, 100 at $11, 300 at $12.

• Plain average of the prices: (10 + 11 + 12) / 3 = $11.00.
• VWAP: (100×10 + 100×11 + 300×12) / 500 shares = 5,700 / 500 = $11.40. Most shares changed hands at $12, so VWAP leans there.

Big funds often judge their own buying against VWAP: "did I pay more or less than the average buyer today?"

In Gloom, VWAP uses each bar's typical price, (high + low + close) / 3, weighted by the bar's volume, and restarts at each session open: 9:30 am New York for US listings. So it needs intraday bars (use GIP). Anchored VWAP runs the same average from a bar you pick, say an earnings day, and never restarts.

Bollinger Bands: a normal range

Take the 20-bar SMA. Measure how far closes usually stray from it: that typical distance is the standard deviation. Draw a line 2 standard deviations above the average and one 2 below. Those are Bollinger Bands.

Calm market: narrow bands. Wild market: wide bands. A close outside a band is unusual for that stock's recent behaviour, not a signal by itself.

ATR: how far a bar usually travels

A bar's true range is the largest of three distances: high minus low, high minus the previous close, and the previous close minus the low. It counts overnight gaps.

Illustrative: previous close $100, today high $104, low $101. High minus low is $3, but the jump from $100 to $104 is $4. True range = $4.

ATR (average true range) averages that over 14 bars. "ATR is $4" means a typical bar covers about $4.

Volume profile: where the shares traded

Turn the volume bars sideways: instead of "how many shares per day", it shows "how many shares at each price" across the bars in view. The busiest price row is the point of control, drawn as a dotted level. The value area is the band around it holding 70% of the volume.

1. 1VWAP: pick it, then b sets the number of bands (whole standard deviations, volume-weighted, above and below).
2. 2Anchored VWAP: turn it on, then click the bar to start from (or press Enter at the keyboard cursor). Press a for its anchors; you can also type a date like 2026-09-30. Up to eight anchors per chart.
3. 3Bollinger Bands: 20 bars, 2 standard deviations by default; p changes the period.
4. 4ATR: 14 bars by default, in its own panel below the price.
5. 5Volume profile: n sets how many price rows.
6. 6Price levels: press Shift+H (or ═ in the toolbar). Click to add a level, drag to move it, Backspace deletes the picked one.

The dialog also has realized volatility (how much the price actually moved, annualized). Chapter 6 teaches it.