Anchored VWAP Event Map

The Anchored VWAP Event Map indicator provides a dynamic visual framework for organizing price action around a volume-weighted average price (VWAP) after a significant market event. Instead of a static reference, this tool automatically identifies and relocates anchors based on session opens, confirmed price swings, or expansion-driven market events, allowing traders to observe how the market interacts with volume-weighted support and resistance over time.

Usage

The Usage section describes how the script can be used to interpret market structure through three primary anchoring methods:

• Open Mode: Automatically resets the anchor based on the Daily, Weekly, or Monthly session opens. This is ideal for intraday or swing traders tracking the session's volume-weighted mean.
• Swing Mode: Places the anchor at the most recent confirmed pivot high or low. This helps in analyzing the volume profile following a major structural turning point.
• Event Mode: Uses internal logic to identify "expansion" events like range breakouts or volume spikes. This mode is designed for momentum traders who want to see how price responds after a significant impulse.

Once an anchor is established, the script monitors for "Reclaim" (price crossing back over the VWAP) and "Reject" (price failing at the distance bands) signals, providing real-time feedback on price acceptance or rejection.

Details

The script calculates the Anchored VWAP by tracking the cumulative price-volume product divided by the cumulative volume starting from the selected anchor point. It enhances the standard VWAP line with "Distance Bands" (calculated via ATR or Percentage) to create a volatility-adjusted zone. The indicator also features a "Bias Ribbon" and a summary panel that evaluates the current market state (Bullish, Bearish, or Neutral) based on price position relative to the VWAP, the slope of the VWAP line, and interactions with the distance bands.

Settings

Anchor Engine

• Anchor Source: Choose between "Open", "Swing", or "Event" to determine how the VWAP starting point is selected.
• Event Type: Select the trigger for Event Mode, including Range Expansion, Volume Spike, or Breakout Impulse.
• Event Lookback: The number of bars used to calculate historical extremes and average volume for event detection.

Distance Band

• Band Mode: Toggle between ATR (volatility-based) or Percent (fixed) distance for the bands.
• ATR Band Multiplier / Percent Band: Adjust the width of the distance zone surrounding the AVWAP.

Signals & Style

• Signal Density: Select "Strict", "Selective", or "All" to filter the frequency of Reclaim and Reject labels.
• Color Bars by Bias: When enabled, the chart bars are tinted based on the current calculated trend bias.
• Show Anchor Level: Displays a horizontal reference line from the anchor point for visual clarity.

FAQ

How do I change the sensitivity of the event detection?

You can adjust the "Event Lookback" and "Range / ATR Multiplier" settings. Higher values will require more significant price movement to trigger a new anchor, while lower values will make the tool more sensitive to smaller impulses.

What is the difference between a Reclaim and a Reject signal?

A Reclaim occurs when price moves back across the AVWAP, signaling a return to the mean or a shift in control. A Reject occurs when price approaches the outer bands and fails to break through, suggesting exhaustion.

How can I access the Anchored VWAP Event Map?

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