New free code from MQL5: indicators, EAs, and scripts for traders.
From there, the indicator takes the raw deviation between the current close and the rolling VWAP and normalizes it into a Z-Score using the rolling standard deviation of that same deviation series. A Z-Score lets the same threshold mean the same thing across instruments and volatility regimes — a 1.5 reading is "1.5 standard deviations away from fair value" whether you're on EURUSD or a thinly traded index CFD. The indicator then watches for the Z-Score to stay beyond a configurable threshold for several consecutive bars before declaring a trend regime; isolated spikes that snap back immediately are treated as noise and left in the ranging regime bucket. This two-stage filter (threshold + persistence) is what separates it from a plain Bollinger-style mean-reversion band.
How to interpret it
- Z-Score line (blue) — the raw, continuously updating measure of how many standard deviations the close sits above or below the rolling VWAP. Values oscillate around zero; the further from zero, the more stretched price is relative to recent volume-weighted fair value.
- Regime histogram — mirrors the Z-Score value but is colored by the confirmed market state: green for a confirmed bull trend regime, silver/gray for a ranging/mean-reverting regime, and crimson for a confirmed bear trend regime. The color only flips once the consecutive-bar confirmation condition is met, which keeps it from flickering on every tick.
- Threshold confirmation logic — a regime is only confirmed once the Z-Score has closed beyond InpZThreshold for InpConsecutiveBars bars in a row. This dual condition (magnitude + persistence) is what filters out single-bar spikes that would otherwise generate false trend signals on a simple threshold-cross indicator.
- Practical usage — in trend-following setups, treat a fresh flip to the green or crimson histogram as a signal that the market has broken out of its recent fair-value band with enough conviction to follow; in mean-reversion setups, the gray/ranging state combined with a Z-Score approaching ±1.5 without confirming a trend can flag a stretched-but-not-trending condition worth fading back toward the VWAP.
External variables (inputs)
| Input | Default | Purpose |
|---|---|---|
| InpVWAPPeriod | 50 | Number of bars in the rolling, volume-weighted VWAP window. |
| InpStdDevPeriod | 50 | Lookback used to compute the rolling standard deviation that normalizes the deviation into a Z-Score. |
| InpZThreshold | 1.5 | Z-Score magnitude a bar must close beyond to count as a "breach" toward confirming a trend regime. |
| InpConsecutiveBars | 3 | Number of consecutive breaching bars (same direction) required before the regime flips to trending. |
| InpAppliedPrice | Typical (H+L+C)/3 | Price source used inside the VWAP calculation — Typical, Close, Median, or Weighted. |
| InpUseRealVolume | false | When true, uses real exchange volume in the VWAP weighting instead of tick volume (useful on instruments where real volume is reliably reported, such as futures). |
Recommended use
Attach the indicator to its own subwindow below the price chart and keep the rolling VWAP visible as context (the figure below shows a suggested layout, with the VWAP drawn as a dashed overlay on the price panel for reference). On lower timeframes such as M15, the defaults of a 50-bar VWAP and 50-bar standard-deviation window roughly track an intraday fair-value band; widen both periods on higher timeframes or less liquid instruments to avoid over-triggering the consecutive-bar confirmation. Combine a fresh trend-regime flip with simple price-action confirmation (a break of the prior swing high/low, or a close beyond a key level) before treating it as an entry trigger, and use the ranging/gray state as a filter to sit out or switch to a mean-reversion approach rather than trend-following.
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Fig. 1. Top panel: price candles with the rolling VWAP plotted as a dashed line. Bottom panel: the Z-Score oscillator (solid line) with the ±1.5 confirmation thresholds (dashed gray), and the regime histogram shaded white for a confirmed bull trend, gray for ranging, and black for a confirmed bear trend.
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