GlossaryAnchored VWAP

Anchored VWAP

The Anchored VWAP is a volume-weighted average price that starts not at a fixed period but at a candle of your choice, such as a notable high, low or news event. It shows the average price of everyone who has traded since that point and, with its bands, how far the price has moved away from it.

Calculation

Each candle $i$ enters with its typical price and its volume $V_i$ . $H_i$ is the high, $L_i$ the low, $C_i$ the close:

\mathrm{TP}_i = \frac{H_i + L_i + C_i}{3}

From the anchor candle $a$ onward, both sums are built up, and the anchor candle itself counts:

\mathrm{AVWAP}_t = \frac{\sum_{i=a}^{t} \mathrm{TP}_i\,V_i}{\sum_{i=a}^{t} V_i}

The bands sit a multiple of the volume-weighted standard deviation of the typical price away:

\sigma_t = \sqrt{\frac{\sum_{i=a}^{t} \mathrm{TP}_i^{2}\,V_i}{\sum_{i=a}^{t} V_i} - \mathrm{AVWAP}_t^{2}}, \qquad \text{Band}_{\pm k} = \mathrm{AVWAP}_t \pm k\,\sigma_t, \quad k \in \{1, 2, 3\}

As long as no volume has traded since the anchor, the value is the candle's typical price and $\sigma_t = 0$ .

Setting anchors

When you add the Anchored VWAP from the menu, the chart switches to pick mode: “Click a candle to anchor the VWAP”. Clicking a candle in the main chart sets the anchor; clicking a pane below it or an axis cancels.
To set more anchors, use Right-click the chart → Anchored VWAP from here. Each anchor gets its own line, and the legend numbers them #1, #2 and so on.
Clicking to the right of the last candle anchors on the last candle.
The anchor is a point in time, the candle's open time. If you change the symbol or interval, the VWAP starts at the first candle that opens at or after that time.

Appearance

The line itself is solid and the bands are dashed; the area between $\pm 1\sigma$ is lightly filled.
A diamond marks the anchor, and to the right of the last candle “AVWAP” appears with the current value.

How to read it

Above the AVWAP, everyone who has bought since the anchor is in profit on average; below it, at a loss. An AVWAP from an important low therefore shows whether buyers have kept control since that low.
Return to the line: In a trend, the price often tests the AVWAP from the start of the trend as support or resistance.
Bands: Prices at $\pm 2\sigma$ or $\pm 3\sigma$ are far from the average; moves often run out or swing back there.
Shortly after the anchor the line moves a lot; later it becomes sluggish because the volume adds up.

Settings

Setting	Default	Effect
Anchor	none	Set new starts pick mode and closes the dialog, Remove all deletes all anchors; the number shows how many are set
Band ±1σ	on	Bands at one standard deviation, with fill
Band ±2σ	on	Bands at two standard deviations
Band ±3σ	off	Bands at three standard deviations

Limitations

The typical price is an approximation: an exact VWAP would weight every trade at its own price, while a candle only knows its high, low, close and total volume. On short intervals the difference is small.
If the anchor lies before the first loaded candle, the sums start at the first loaded candle.
Without volume, as with some indexes, the line follows each candle's typical price and the bands collapse onto the line.