Definition
#Measures the percentage deviation of the current price from the volume-clock EWMA VWAP. The EWMA carries history from prior sessions, so the reading is valid immediately after midnight UTC when Session VWAP is still accumulating its first trades.
Formula & calculation
#price_vs_ewma_vwap = (current_price − ewma_vwap) / ewma_vwap × 100Units & range
%. Positive = above EWMA VWAP. Negative = below. Liquid assets rarely sustain deviations beyond ±2%; volatile altcoins can reach ±5% or more.
Interpretation
#Positive values: price sits above the volume-weighted reference. A volume anomaly alongside this reading points to momentum. Without one, the extension may revert.
Negative values: price sits below the reference. A large negative reading during a sell-side volume surge suggests selling has pushed price away from prior participation levels.
High-volume moves pull the EWMA toward the new price faster than thin-volume moves. A deviation that formed on thin volume has not been tested by real flow. The same gap during a volume surge has been actively resisted and held.
Negative values: price sits below the reference. A large negative reading during a sell-side volume surge suggests selling has pushed price away from prior participation levels.
High-volume moves pull the EWMA toward the new price faster than thin-volume moves. A deviation that formed on thin volume has not been tested by real flow. The same gap during a volume surge has been actively resisted and held.
Practical usage
#Pair with volume z-scores and taker imbalance:
For cross-symbol rules, use Price vs EWMA VWAP Z-Score instead. A +1% floor means something on BTC. On a volatile altcoin, it is background noise.
anomaly_5m.buy_vol_z > 2.5 AND anomaly_5m.net_taker_imbalance > 20 AND price_vs_ewma_vwap > 0.5For cross-symbol rules, use Price vs EWMA VWAP Z-Score instead. A +1% floor means something on BTC. On a volatile altcoin, it is background noise.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Using the same percentage floor across all instruments. Altcoins sustain ±3% deviations routinely; BTC rarely exceeds ±1%.
- Reading any positive value as bullish. Price stays above EWMA VWAP during reversals too. Confirm direction with taker imbalance and volume.