Auto AVWAP (Anchored-VWAP)

The Auto AVWAP (Anchored-VWAP) indicator automatically identifies significant high and low points using a Stochastic RSI to dynamically anchor Volume Weighted Average Price levels as potential support and resistance. It streamlines the process of manual anchoring by progressively updating levels as market conditions evolve, providing real-time visual cues for trend reversals and breakouts.

Usage

The indicator is used to identify key price levels where institutional volume is concentrated. By anchoring to peaks and troughs identified by the internal Stochastic RSI, the script plots two primary AVWAP lines: one for resistance (anchored at highs) and one for support (anchored at lows).

• Support/Resistance Identification: Users can look for price reactions at the plotted circle lines. If the price sustains a breakout above the resistance AVWAP or below the support AVWAP, it may indicate a trend shift.
• Dynamic Updating: The tool displays "Next" potential AVWAP values in a lighter shade. When a new significant high or low is confirmed by the reversal logic, the main AVWAP value is automatically replaced by this "Next" value, ensuring the levels remain relevant to recent price action.
• Breakout Alerts: The indicator includes built-in alerts that trigger when the price breaks through these dynamic levels. By default, it uses the 'Open' price for alerts to filter out transient intraday volatility.

Details

The script uses a Stochastic RSI to detect momentum shifts and exhaustion. When the Stochastic %K crosses specific thresholds (Upper/Lower bands and Reversal levels), the script determines that a pivot has occurred.

Unlike standard VWAP which typically uses the HLC3 (Average) price, this tool defaults to using High and Low values for its calculations. This modification is intended to make the levels act more strictly as horizontal-like support and resistance barriers rather than a simple average price. The calculation involves accumulating the product of price and volume, divided by the total accumulated volume from the point of the identified anchor.

Settings

Anchored VWAP

• Use High/Low instead of HLC3: When enabled, the script uses high prices for the resistance AVWAP and low prices for the support AVWAP. Disabling this reverts to the standard HLC3 calculation.
• Use open instead of close for alerts: Determines which price source triggers the breakout alerts. Using the open price can provide more conservative confirmation.

Stochastic RSI

• K Mode: The moving average type used for the %K line (SMA, EMA, WMA, VWMA, VAWMA).
• Source: The price data used for the RSI calculation (default is HLC3).
• K/D: The smoothing periods for the Stochastic %K and %D lines.

Lengths

• RSI: The lookback period for the RSI component.
• Stochastic: The lookback period for the Stochastic component.

Band & Reversal

• Lower/Upper Band: Defines the extreme zones for pivot detection.
• Lower/Upper Reversal: The specific levels that must be crossed to signify a reversal has occurred and a new anchor point should be finalized.

FAQ

How do I interpret the "Next" AVWAP lines?

The "Next" lines represent the volume-weighted average price starting from the most recent local high or low that hasn't yet met the full criteria to become the "Main" anchor. They show where the new support or resistance will likely be once the current trend settles.

Why does the indicator use circles instead of lines?

The circular plot style is used to clearly visualize the discrete price-volume data points as they accumulate from the anchor point, distinguishing them from standard moving averages.

How can I access this tool?

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