Anchored VWAP w/ STD bands

The Anchored VWAP w/ STD bands indicator provides a comprehensive Volume Weighted Average Price (VWAP) solution that supports both specific time-anchoring and multi-timeframe analysis with integrated volatility bands.

Usage

This tool can be used to identify trend direction and potential support or resistance levels based on volume-weighted mean price. Users can toggle between two primary modes:

• Anchored Mode: By enabling the "Anchor VWAP?" setting, the calculation starts from a specific user-defined date (Year, Month, Day). This is particularly useful for tracking the average price since a major market event, earnings release, or trend reversal.
• Multi-Timeframe (MTF) Mode: When the anchor is disabled, the script automatically calculates VWAP based on a selected timeframe (e.g., Daily, Weekly, Monthly).

The indicator also features standard deviation bands (0.5, 1, 2, and 3 deviations) which act as dynamic overbought or oversold zones. Traders often look for price reactions at these bands or use the central VWAP line as a trend filter, where price holding above the line suggests bullish sentiment and vice versa.

Details

The script calculates VWAP by accumulating the product of price and volume and dividing it by the total accumulated volume from the starting point. To provide deeper volatility insights, it includes Standard Deviation bands calculated from the volume-weighted variance.

The "Show Previous VWAP close" feature allows users to see the final value of the VWAP from the prior session (based on the selected timeframe), offering a horizontal reference point for current price action.

Settings

• Change Color based on Above/Below VWAP?: When enabled, the VWAP line color changes dynamically based on whether the price is above (bullish) or below (bearish) the mean.
• VWAP Time Frame: Sets the period for the MTF calculation (1D, 1W, 1M, etc.).
• Anchor VWAP?: Toggles between a fixed date-based anchor and a rolling timeframe-based calculation.
• Source for VWAP: The price input used for calculations (default is OHLC4).
• Anchor Date Settings: Sets the Year, Month, and Day for the manual anchor point.
• Show Previous VWAP close?: Displays the closing VWAP value of the previous timeframe period.
• Deviation Bands (.5, 2, 3): Allows users to toggle specific standard deviation bands on or off to clean up the chart.

FAQ

How do I change the starting point of the anchored VWAP?

You can set the specific Year, Month, and Day in the settings menu under the Anchor section, ensuring the "Anchor VWAP?" checkbox is enabled.

Can I use this for intraday trading?

Yes, the indicator supports multiple timeframes and can be applied to any chart interval to track daily or session-based volume-weighted averages.

How can I access Anchored VWAP w/ STD bands?

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