Anchored VWAP (Auto High & Low)

The Anchored VWAP (Auto High & Low) indicator plots and automatically updates three separate VWAPs: a traditional daily VWAP, a VWAP anchored to trend highs, and another anchored to trend lows. It is designed to help day traders anticipate trends, mean reversion, and breakouts by identifying key volume-weighted price levels used by institutional participants.

Usage

This tool is most effective on intraday time frames (e.g., 1-minute or 5-minute charts) commonly used for day trading. Users can monitor the high and low anchors to identify support and resistance zones based on trend extremes. The "Average of Anchors" provides a mean value between the two trend-based VWAPs, while optional quarter and interim bands offer additional granularity for price action analysis.

Details

The script uses a dynamic anchoring mechanism that resets based on price breakouts or session transitions.

• High/Low Anchoring: Automatically resets the anchor point when a new trend high or low is established, ensuring the VWAP remains relevant to current market structure.
• Color Cycling: Allows for consistent coloring across sessions (Day 1, Day 2, etc.) or across specific anchors to maintain visual clarity during multi-day analysis.
• TWAP Integration: Includes an optional Time Weighted Average Price (TWAP) calculation (using Linear Regression or moving averages) to compare volume-weighted vs. time-weighted price distributions.

Settings

High / Low Anchored VWAP

• High/Low Anchor: Toggle visibility, color, width, and price source (Open, High, Low, Close, etc.) for trend-based VWAPs.
• Avg. of Anchors: Displays the mean value between the high and low anchored VWAPs.
• Quarter Values / Interim Bands: Toggle visibility for median values and filled bands between the mean and the anchors.
• Smooth Average: Applies a moving average (SMA, EMA, SMMA, etc.) to the mean anchor line.
• Anchor Reset Settings: Define session-based limits or market hour restrictions for when anchors should reset.

Daily VWAP

• Day 1/2/3: Toggle visibility for up to three previous sessions of standard VWAP.
• Color Cycling: Choose between "Session" (consistent color per day) or "Anchor" (consistent color per reset) modes.

Time Weighted Average Price

• TWAP Type: Select the calculation method (e.g., Linear Regression, SMA, WMA).
• Max Length: Set the lookback period for the TWAP calculation.

Market Hours

• Start / End Time: Define the specific session hours for anchor resets.
• Time Zone: Set the IANA time zone for session alignment.

FAQ

How do I access Anchored VWAP (Auto High & Low)?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.

What timeframes are best for this tool?

The indicator is optimized for intraday timeframes like the 1m, 5m, and 15m. It is not recommended for high timeframes like the 1H or Daily.

How does the "Auto" reset work?

The script monitors for price breaks above previous highs or below previous lows. When a significant breakout occurs (or a new session begins based on your settings), the anchor point automatically shifts to the new extreme.