IndicatorsIntermediateJune 4, 2025· 7 min read
VWAP：机构真正使用的指标
VWAP（成交量加权平均价格）是机构交易者和算法用于衡量执行质量的基准。学习如何将VWAP用作动态支撑与阻力，以及如何交易VWAP回测。
VWAP weights each price by the volume traded there, giving a more accurate picture of where the average participant transacted today.
Why Institutions Care
VWAP Is a Fairness Benchmark
Institutional buy algorithms activate near VWAP. Real money defends this level, which is why it holds so reliably.
Price Above vs Below VWAP
| Location | Meaning | Bias |
|---|---|---|
| Above VWAP | Buyers paid above average | Bullish |
| At VWAP | Fair value contested | Neutral |
| Below VWAP | Sellers drove below average | Bearish |
The VWAP Retest Trade
VWAP Retest Long
Nifty breaks above VWAP at 23,950 with strong volume. Pulls back to 23,960. Entry here — stop below VWAP, target 24,200.
Limitations
Intraday Only
VWAP resets daily. On a daily chart the VWAP line has no analytical meaning. Use anchored VWAP for multi-day analysis.
Key Takeaways
- VWAP = 累计（价格×成交量）之和除以累计成交量——每个交易日重置。
- 价格高于VWAP = 买方掌控；低于VWAP = 卖方掌控。
- 机构将VWAP作为基准——他们力求在VWAP以下买入，在其上方卖出。
- 突破后第一次VWAP回测是最干净的日内入场机会之一。
- VWAP是日内工具——每日重置，在日线或周线图上无意义。