EncyclopediaVWAP
Not tested by us Not tested by us yet. No verdict stamp.
In one line: The average price of the day, weighted by how much traded at each price.
Evidence
Strength: strong as a benchmark, none found as a signal. Berkowitz, Logue and Noser (1988) introduced the daily VWAP as a way to measure trading costs. In more than 14,000 NYSE trades, commissions averaged 18 basis points and market impact 5 basis points (1 basis pointOne hundredth of a percent (0.01%). = 0.01%). We found no peer-reviewed evidence that price crossing the VWAP works as a trading signal.
Strength: strong as a benchmark, none found as a signal. Berkowitz, Logue and Noser (1988) introduced the daily VWAP as a way to measure trading costs. In more than 14,000 NYSE trades, commissions averaged 18 basis points and market impact 5 basis points (1 basis pointOne hundredth of a percent (0.01%). = 0.01%). We found no peer-reviewed evidence that price crossing the VWAP works as a trading signal.
VWAP stands for Volume-Weighted Average Price. Big trades count more than small ones. It usually restarts every trading day.
Large tradersTraders big enough to be reported to the CFTC. use it as a benchmark: 'did I get a fair price today?'. That use has research behind it (see the Evidence box).
Related
Sources & studies
- Investopedia (secondary): VWAP
- Berkowitz, Logue & Noser (1988), The Total Cost of Transactions on the NYSE, Journal of Finance 43(1)
Last checked: 2026-11-04 · Educational, not financial advice.
Education only, not financial advice. No signals. Backtests are hypothetical: real trading can be worse. Past results don't predict future results.