Donchian Anchored VWAP

The Donchian Anchored VWAP indicator dynamically resets Volume Weighted Average Price (VWAP) calculations based on price breakouts beyond historical Donchian Channel extremes, providing traders with institutional-grade support and resistance levels.

Usage

The indicator can be used to identify trend direction and potential reversal zones by observing where the current price sits relative to various anchored VWAPs.

• Green Lines: These represent VWAPs anchored to local/historical highs (upper Donchian points).
• Red Lines: These represent VWAPs anchored to local/historical lows (lower Donchian points).
• Line Thickness: The visual weight of the line increases with the lookback period. Thinner lines represent shorter-term anchors (e.g., 1 day on a 1H chart), while the thickest lines represent long-term anchors (e.g., 4 weeks).

Traders can look for price "sandwiched" between different anchors or use the breakout of a long-term anchored VWAP as a signal for a significant trend shift.

Details

The Donchian Anchored VWAP (DAVWAP) improves upon standard fixed-interval VWAPs by automating the anchoring process. Instead of resetting at a fixed time (like daily or weekly), it resets whenever the price exceeds the highest high or lowest low of a specified lookback period.

The script calculates five distinct pairs of anchored VWAPs simultaneously. This multi-timeframe approach allows users to see how volume is distributed across both short-term scalping ranges and long-term investment horizons. By default, the lookback lengths are optimized for 1-hour charts to represent common trading cycles (1 day, 2 days, 1 week, 2 weeks, and 4 weeks).

Settings

• Lookback Length 1-5: Sets the period for the Donchian Channel calculation for each of the five levels.
• Use High/Low or Close: Determines the trigger for a new anchor point. If set to true, a new high or low exceeding the lookback extreme resets the VWAP. If set to false, only a closing price exceeding the extreme triggers a reset.

FAQ

How do I access Donchian Anchored VWAP?

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

What do the different line thicknesses mean?

Thinner lines respond to recent price extremes (shorter lookbacks), while thicker lines represent anchors established during major historical price peaks or troughs (longer lookbacks).

Can I use this on any timeframe?

Yes, however, you may need to adjust the "Lookback Length" inputs to better reflect the specific cycles of the timeframe you are trading.