Anchored VWAP Trade Planner

The Anchored VWAP Trade Planner indicator provides a complete, non-repainting trade framework featuring entry triggers, stop-loss levels, and Fibonacci-extension take-profit targets. It combines Anchored VWAP (AVWAP) logic with Z-score volatility analysis to identify high-probability entries and manages them via a state-aware dashboard that tracks progress through multiple target stages.

Usage

The indicator is designed to streamline the execution of AVWAP-based mean reversion or trend continuation strategies. Once an anchor point is defined, the tool monitors the price distance from the AVWAP using a Z-score. When the Z-score reaches the user-defined threshold (default 1.5 sigma) and the bar closes, a "snapshot" of the trade plan is generated.

Key usage scenarios include:

• Intraday Trading: Use the "Session" anchor to trade relative to the daily volume-weighted average price.
• Swing Trading: Use "Weekly" or "Manual" anchors to identify longer-term institutional value zones.
• Trend Following: Trade when price breaks away from the AVWAP with significant momentum (high Z-score).

The indicator includes a Stateful Dashboard that guides the trader through six stages:

1. INIT: Waiting for a signal.
2. ENTERED: Position active, looking for TP1.
3. TP1_HIT: First target reached; suggestions move to closing 1/3 and moving SL to entry.
4. TP2_HIT: Second target reached; suggestions move to closing another 1/3 and moving SL to TP1.
5. TP3_HIT/EXITED: Trade completion via targets or trailing stop.

Details

The script utilizes a specific mathematical approach to risk management:

• Z-score Trigger: It calculates the rolling standard deviation of the difference between price and AVWAP. This ensures entries only occur when price has deviated significantly from the average volume-weighted price.
• Fibonacci-Based Levels: Unlike traditional planners that use fixed integers, this tool calculates Take Profit (TP) levels using Fibonacci extensions (2.618, 4.236, and 5.236) of the distance between the AVWAP and the Entry.
• Hybrid Stop Loss: The Stop Loss (SL) is placed at a 0.618 Fibonacci retracement of the entry leg, further adjusted by a 0.25x ATR buffer to account for market noise and spread.
• Non-Repainting Architecture: By using barstate.isconfirmed and var float storage, all levels are locked at the close of the trigger bar. This ensures that historical performance matches real-time visual output.

Settings

Anchor

• Anchor Type: Selects the starting point for VWAP calculation (Session, Weekly, Manual, or Auto-detect pivots).
• Manual Anchor Time: The specific timestamp used when Anchor Type is set to "Manual".
• Auto Pivot Length: The lookback period used for detecting fractal pivots for the "Auto-detect" mode.

Signal

• Min |Z| for Signal: The standard deviation threshold required to trigger a trade.
• Cooldown Bars: The number of bars the script must wait before generating a new signal after an entry.
• Z-score Stdev Length: The lookback period used for the rolling standard deviation in Z-score calculation.

Risk Plan

• TP1/TP2/TP3 Fib Multiplier: Adjusts the Fibonacci extension levels for take-profit targets.
• SL Fib Multiplier: Sets the retracement level between AVWAP and Entry for the initial stop loss.
• SL ATR Buffer Multiplier: Adds a volatility-based margin to the stop loss to avoid premature exits.

Visuals & Dashboard

• Show Sigma Bands: Toggles visual shading for the +/- 1 sigma AVWAP area.
• Show Chandelier Trail: Enables a volatility-based trailing stop that activates after TP2 is hit.
• Dashboard Position/Size: Customizes the on-chart information panel’s location and scale.

FAQ

How do I interpret the Risk:Reward (R:R) numbers on the labels? The R:R numbers (e.g., 2.62, 5.24) are derived directly from Fibonacci math rather than rounded integers. They represent the ratio of potential profit at that specific target relative to the initial risk defined by the stop loss.

Why does the indicator stop showing signals for a while after a trade? The "Cooldown Bars" setting prevents the script from firing back-to-back signals in a choppy market. By default, it waits 20 bars after a trigger to ensure a new, distinct market context has developed.

How can I access the Anchored VWAP Trade Planner? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.