Anchored VWAP

The Anchored VWAP indicator provides a volume-weighted average price calculation that begins at a specific user-defined timestamp, allowing traders to identify significant support and resistance levels from key market events.

Usage

The Anchored VWAP is primarily used to track the average price of an asset starting from a significant point in time, such as a market low, a high, or a specific news event. By anchoring the calculation to a specific moment, traders can observe how the market has valued the asset since that event occurred.

• Trend Identification: If the price remains above the Anchored VWAP, it suggests a bullish sentiment relative to the anchor point. Conversely, if the price is below, it suggests a bearish sentiment.
• Support & Resistance: The AVWAP line often acts as dynamic support or resistance, as it represents the average price paid by all market participants since the chosen start time.

Details

The script calculates the Volume Weighted Average Price (VWAP) using the typical price (hlc3) as the default source. Unlike a standard VWAP that resets daily or weekly, this version accumulates price and volume data continuously starting exactly at the timestamp provided in the settings.

The calculation follows the standard formula: [ AVWAP = \frac{\sum (Price \times Volume)}{\sum Volume} ] The summation begins only when the chart time matches the user's input parameters. The script also includes built-in alert conditions for price crossovers and crossunders of the AVWAP line.

Settings

• Source: Determines the price data used for the calculation (default is hlc3).
• Year: The year to start the AVWAP calculation.
• Month: The month to start the AVWAP calculation.
• Day: The day to start the AVWAP calculation.
• Hour: The hour to start the AVWAP calculation.
• Minute: The minute to start the AVWAP calculation.

FAQ

How do I change the anchor point?

You can change the anchor point by accessing the indicator settings and adjusting the Year, Month, Day, Hour, and Minute inputs to match the specific candle where you want the calculation to begin.

Can I use this for intraday trading?

Yes, the Anchored VWAP is highly effective for intraday trading when anchored to the market open or a significant price move during the session.

How do I access the Anchored VWAP?

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