VWAP cross and VWAP touch: what they are, and how to test them
VWAP is the session's volume-weighted average price. Many day traders use it as the day's fair price: some buy above it, some sell below it, some fade moves back to it. Here is how QuantLogic defines a cross and a touch, and how to test them.
What it is
VWAP adds up price times volume for every bar since the open and divides by the volume, so prices where more contracts traded weigh more. It starts again every session.
A cross is price moving from one side of VWAP to the other. A touch is price coming back to it.
The exact rule QuantLogic uses
Crossed above VWAP (the long side). Crossed below is the mirror image.
- VWAP is computed from the open at 09:30 New York time, with each bar's typical price (high + low + close) / 3 weighted by its volume.
- Crossed above: price is above VWAP at this bar and was below it at the bar before.
- Touched VWAP: the bar's range comes within a small tolerance of VWAP (10 points on NQ, 2.5 on ES).
When is it known? VWAP at a bar uses only the bars up to and including it, so it is known when the bar closes. It never uses the rest of the day.
Versions you can build
- Crossed above VWAP. Below at the bar before, above now.
- Crossed below VWAP. Above at the bar before, below now.
- Touched VWAP. The bar's range reaches VWAP, within the tolerance.
What to look at around it
In QuantLogic, every time the idea happened is laid out with the data points around it, so you can see where it held and where it didn't:
Traps when you test it
- Using a VWAP that includes the overnight session when you trade the day session, or the other way round. QuantLogic's is the regular session's.
- Counting every cross on a flat, choppy morning. Price can cross VWAP many times in an hour; the time of day and the distance from it usually matter.
- Comparing with a chart whose VWAP resets at a different hour.
Build it and test it yourself
Open Crossed above VWAP in Build with QuantLogic. See every time it happened on NQ, ES, Gold or Crude since September 2025, check the long and the short side, add your own filters and run the luck test.
Nothing is proven until it holds live. We give no trading signals and no advice, we never hold your money or your accounts, and we never trade for you.
Questions
- Which VWAP does QuantLogic use?
- The regular session's, from 09:30 New York time, on one-minute bars.
- Is trading above VWAP better?
- There is no general answer. Split your own trades or the idea's history by side of VWAP and distance from it, and see.
- Can I combine VWAP with another idea?
- Yes. In Build with QuantLogic, VWAP distance is one of the data points around every idea, so you can filter any setup by it.
Related setups
Setup library
Liquidity sweeps, break of structure, VWAP, the opening range and more, drawn and explained with the exact rule.
Volume profile: POC and value area
Crossing yesterday's busiest price, its value area, or today's busiest price so far.
Opening range
A close above or below the first 15 minutes' high or low, or a failed break.
Yesterday's high and low
At, through or back from the prior session's high, low and close.
Break of structure
A close past the last swing high in an uptrend, or the last swing low in a downtrend.
Educational content, not investment advice. Futures trading involves substantial risk of loss. See the risk disclosure.