Anchored Exponential VWAP & Deviations

The Anchored Exponential VWAP & Deviations indicator provides a dynamic volume-weighted average price calculation that uses exponential weighting starting from a user-defined anchor point. This tool helps traders identify key support and resistance levels based on volume and price action from significant historical events or trend starts.

Usage

The tool is primarily used to identify the "average price" of an asset since a specific event, such as a swing high, swing low, or earnings release. By using exponential weighting rather than a standard cumulative sum, the indicator places more emphasis on recent data within the anchored period.

Traders can utilize the eight configurable deviation levels to identify overextended price conditions. For example, if the price consistently rejects the +2.0 deviation band, it may indicate a local top relative to the volume transacted since the anchor point. Conversely, the bands can act as dynamic targets or trailing stop-loss levels during a trend.

Details

The script implements a custom exponential calculation for both the VWAP and its associated deviations. Unlike standard Anchored VWAP, which uses a simple cumulative sum of Price * Volume divided by Cumulative Volume, this version applies an EMA-style alpha. The alpha is dynamically calculated based on the distance from the anchor point (the bar count), ensuring the exponential smoothing is relevant to the selected period.

The deviation bands are calculated using an exponential moving absolute deviation, providing a smoother and more reactive alternative to standard deviation bands.

Settings

• Source: The price source used for calculations (default is HLC3).
• Start Year/Month/Day/Hour/Minute: Defines the specific timestamp where the calculation begins.
• Display Labels?: Toggles the visibility of price labels at the end of the lines.
• Add Anchor's Start Time To Label?: Appends the anchor date/time to the price labels for easier reference.
• Label Offset: Adjusts the horizontal spacing of the labels from the last bar.
• AVWAP/Up/Down Color: Customizes the visual appearance of the baseline and deviation bands.
• Multipliers 1-8: Allows users to set specific standard deviation levels for the upper and lower bands.

FAQ

How do I use the Anchored Exponential VWAP & Deviations?

To use the indicator, enter the specific date and time of a significant market event in the settings; the indicator will then project the exponential volume-weighted average from that moment forward.

Can I change the sensitivity of the bands?

Yes, you can adjust the eight different multiplier settings to fit the volatility of the specific asset you are trading.

How can I access this indicator?

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