Every factual claim this video makes about what VWAP is, how it is calculated, when it resets and who uses it, chased to a source and cited. The trade management ideas built on top of those facts (what a pullback, a reclaim or a rejection is, where a stop belongs) are method rather than fact, and are presented as method.
Every chart in this video is an illustrative price series built to show a mechanism. No chart carries a ticker or a date and nothing here claims that a particular market did a particular thing on a particular day.
Claim. VWAP means volume weighted average price: the average price the session has transacted at, with every price weighted by the size that went through it, so a price where a large amount traded pulls the line and a price where almost nothing traded barely moves it.
Source. TradingView’s indicator documentation gives the calculation as
VWAP = Cumulative(Typical Price x Volume) / Cumulative(Volume), with the typical price
for each period taken as (High + Low + Close) / 3.
Claim. That weighting is what makes it different from a moving average, which gives every bar in its window the same influence regardless of how much traded.
Source. Follows directly from the two formulas: the moving average divides by a count of periods, VWAP divides by the total volume across them. Same source as above.
Claim. Standard VWAP resets at the session open, which is what makes it a reading about today rather than a longer average, and why it is jumpy at the open and stubborn near the close.
Source. TradingView’s documentation describes an Anchor Period setting that specifies “how frequently the VWAP calculation will be reset”, with Session as one of the available anchors alongside Week, Month, Quarter and Year.
The behaviour at each end of the session follows from the calculation being cumulative: early in the session the running totals are small, so one more trade moves the ratio a long way; late in the session most of the day’s volume is already inside the sums, so the same trade moves it very little.
Claim. Institutions use VWAP as an execution benchmark, and a large buyer filled below VWAP has achieved a better average fill than one filled above it. A large seller filled above it has done the same in reverse.
Source. The measure was introduced in the academic literature by Berkowitz, Logue and Noser, who used the volume weighted average price over the trading day to measure the execution cost of institutional transactions on the NYSE, applied to a set of more than fourteen thousand actual trades.
The CFA Institute’s curriculum on trade strategy and execution describes VWAP as one of the two common intraday benchmarks used to measure trade execution, alongside time weighted average price, and as the benchmark of choice for managers participating with volume over an execution horizon rather than acting on a short term view.
Not claimed. The video is explicit that this does not mean an institution is defending the line. Being measured against a benchmark is a reason to care where price is relative to it; it is not a commitment to hold it.
Claim. The charts are labelled 09:30 through 16:00 on five minute bars, which is a regular United States equity session.
Source. The NYSE publishes its core trading session for equities as 9:30 a.m. to 4:00 p.m. Eastern Time, with the opening auction at 9:30 and the closing auction at 4:00.
Every number the video prints is computed at render time from the series it is drawn over rather than typed into a shot: reward multiples from the entry, stop and target prices in the bracket; the count of VWAP crossings and the count of bars spent on one side from the series itself; the weighted price under the beam from the weights loaded onto it. There are no stated performance figures, win rates or backtest results anywhere in this video, and none are claimed.