📊 TECHNICAL
Anchored VWAP
Volume Weighted Average Price calculated cumulatively from a chart point you choose, rather than the session open, revealing the true average cost basis since a key event.
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Live Demo — Anchored VWAP applied to NIFTY 50 (illustrative)
PriceEMA(9)EMA(21)SMA(20)
What is Anchored VWAP?
VWAP itself resets every session. Anchored VWAP (AVWAP), popularized by Brian Shannon, removes the daily reset and lets the trader pick any bar or date — an earnings gap, a swing high/low, a breakout day — as the starting point. From that anchor, VWAP is computed cumulatively forward, showing the volume-weighted average price paid by everyone who has traded since that event.
Formula
AVWAP = SUM(TypicalPrice(i) x Volume(i)) / SUM(Volume(i)) for i = anchor..current
TypicalPrice(i) = (High(i)+Low(i)+Close(i))/3Parameters
| Parameter | Default | Description |
|---|---|---|
| Anchor Point | User-selected | The candle from which cumulative calculation begins |
| Price Source | Typical Price | Some variants use Close only |
| Bands (optional) | Off | Standard-deviation bands can be plotted around the AVWAP line |
Signal Interpretation
- Price holding above an AVWAP anchored at a swing low suggests buyers since that low remain in profit, on average.
- A decisive close below a respected AVWAP flags a shift in control to sellers.
- Multiple AVWAPs converging in one price zone create a high-confluence support/resistance area.
- AVWAP anchored at a gap/news event shows whether the market has accepted or rejected that event's price.
- When price is far from AVWAP, mean-reversion back toward the line becomes more likely.
Tips & Best Practices
- Anchor to a meaningful structural point rather than an arbitrary bar for the line to carry real significance.
- Use multiple AVWAPs from different anchors to map layered support/resistance.
- Anchors on higher timeframes tend to be respected by a wider range of participants.