What is Anchored VWAP?
Anchored VWAP is a volume-weighted average price that starts from a chosen bar instead of from the start of the day. In Altrady Charts the anchor is the lowest low, or the highest high, of the last 200 bars, so the line answers the question what has the average buyer since that swing low actually paid. Bands are drawn above and below it at a multiple of the volume-weighted standard deviation.
Anchored VWAP shows the average cost of trading since one specific swing. It cannot be anchored to a date or a bar you pick, it moves its anchor when a new extreme forms, and it is not a support or resistance level by itself.
How to use Anchored VWAP
- Price above or below the line. With the anchor on a swing low, price above the line means those who bought since the low are, on average, in profit. A return to the line is where that average buyer is back at break-even.
- Tests of the line. In a trend, pullbacks often meet the anchored VWAP before continuing. A clean break through it suggests the move from the anchor has lost its footing.
- The bands. The bands mark one volume-weighted standard deviation either side by default. Price at the outer band is stretched relative to the volume traded since the anchor.
- Steps in the line. When a new lowest low or highest high forms, or the old one drops out of the lookback, the anchor jumps to the new bar and the line restarts from there.
These are ways to read the line, not entry signals on their own.
Settings
| Setting | Default | What it changes |
|---|---|---|
| Anchor | Lowest Low | Where the average starts. Lowest Low anchors to the lowest low in the lookback, for reading the average cost of buyers since a swing low. Highest High anchors to the highest high, for sellers since a swing high. |
| Anchor Lookback | 200 | How many bars back, including the current one, the indicator searches for the anchor. Shorter anchors to more recent swings and moves the anchor more often. Minimum 2. |
| Bands Multiplier | 1 | How many volume-weighted standard deviations the bands sit from the line. Higher widens them. 0.001 to 50. |
| Show Bands | On | Shows or hides the upper and lower bands. The VWAP line is drawn either way. |
Adjust the anchor, lookback and bands in the indicator settings.
Calculation
On each bar the indicator finds the bar with the lowest low (or highest high) in the lookback, then sums from that bar to the current one, using the typical price, (high + low + close) / 3:
anchor = bar with the lowest low in the last 200 bars
from the anchor to the current bar:
sumPV = sum(typical price * volume)
sumV = sum(volume)
sumP2V = sum(typical price^2 * volume)
VWAP = sumPV / sumV
variance = sumP2V / sumV - VWAP^2
bands = VWAP +/- 1 * sqrt(variance)The variance is the volume-weighted spread of typical price around the VWAP since the anchor, not a plain standard deviation of price. If rounding puts it a hair below zero on a very flat stretch, it is treated as zero, so the bands close onto the line.
The sum is recalculated from the anchor on every bar, because the anchor can move. When the current bar sets a new extreme it becomes the anchor, and the line starts again at that bar's typical price with the bands closed onto it. The line appears once the lookback has bars to search. A zero-volume bar contributes nothing, and a span with no volume at all has no value.
Limitations
- The anchor is a rolling swing, not a fixed point. The line steps whenever a new extreme forms or the old one leaves the lookback. That is the anchor moving, not an error, but it means the line is not one continuous average.
- You cannot pick the anchor bar. The anchor is always the extreme of the lookback. To anchor to a particular event, set the lookback so that event is the extreme in range.
- The bands start narrow. Just after the anchor moves, only a few bars are in the sum, so the bands are tight and the line moves easily.
- It depends on volume. The average is only as good as the volume the exchange reports for that market.
- It is not a strategy. On its own it carries no risk management, sizing or exit.
Frequently asked questions
Anchored VWAP is a volume-weighted average price measured from a specific bar rather than from the start of the day. In Altrady Charts it starts from the lowest low or highest high of a lookback, and draws bands at a multiple of the volume-weighted standard deviation.
The regular VWAP resets at midnight UTC every day and has no bands. Anchored VWAP starts from the latest swing low or high within its lookback, so it can span many days and tracks the average cost since that swing, with deviation bands around it.
Yes. The indicator declares four inputs: Anchor, default Lowest Low (or Highest High); Anchor Lookback, default 200 with a minimum of 2; Bands Multiplier, default 1, from 0.001 to 50; and Show Bands, on by default.
Closed bars keep the values they were calculated with, but the line is not one continuous average. Each bar uses the anchor as it stood on that bar, so when a new extreme forms, or the old one drops out of the lookback, the line steps to a new anchor. On the live candle this can happen mid-bar: if the current bar makes a new low, the anchor jumps to it and the value changes sharply until the bar closes.
The anchor is the lowest low or highest high of the last 200 bars by default. When a new extreme forms, or the bar holding the old one is more than the lookback away, the anchor moves and the average starts again from the new bar. A longer lookback moves the anchor less often.
Use the Add to chart button at the top of this page. It opens BTC/USDT on Binance in the Altrady Charts terminal with the built-in Anchored VWAP already applied. On any other market, open the indicator picker on the chart and choose Anchored VWAP from the Volume group.