OPEN-SOURCE SCRIPT
Anchored VWAP (Auto High & Low)
Updated
OVERVIEW
This script plots, and auto-updates, 3 separate VWAPs: a traditional VWAP, a VWAP anchored to a trends high, and another anchored to a trends low.
VWAP and Anchored VWAPs are commonly used by institutions responsible for the majority of market volume on a given day. Citadel Trading, for example, accounts for approximately 35% of all U.S. listed retail volume, largely executed through program trades over the course of a day, week, or month.
Because VWAP is a prominent market maker tool for executing large trades, day traders can use it to better anticipate trends, mean reversion, and breakouts.
This is most useful on charts with intraday time frames (1 minute, 5 minute etc.) commonly used for day trading. This is not ideal for larger time frames (1 hour or greater) commonly used for swing trading or identifying larger trends.
INPUTS
You can configure:
INSPIRATION
1. "How To Measure Anything" by Douglas W. Hubbard
2. "Maximum Trading Gains With Anchored VWAP" by Brian Shannon
Better understanding probability and how to analyze risk (first book), as well as the tools market makers use (second book), has completely reframed how I approach day trading.
This script plots, and auto-updates, 3 separate VWAPs: a traditional VWAP, a VWAP anchored to a trends high, and another anchored to a trends low.
VWAP and Anchored VWAPs are commonly used by institutions responsible for the majority of market volume on a given day. Citadel Trading, for example, accounts for approximately 35% of all U.S. listed retail volume, largely executed through program trades over the course of a day, week, or month.
Because VWAP is a prominent market maker tool for executing large trades, day traders can use it to better anticipate trends, mean reversion, and breakouts.
This is most useful on charts with intraday time frames (1 minute, 5 minute etc.) commonly used for day trading. This is not ideal for larger time frames (1 hour or greater) commonly used for swing trading or identifying larger trends.
INPUTS
You can configure:
- The size, color, and visibility of 6 different plots (VWAP, High Anchor, Low Anchor, Average of Anchors, Quarter Values, Interim Bands)
- How smooth the average displays
INSPIRATION
1. "How To Measure Anything" by Douglas W. Hubbard
2. "Maximum Trading Gains With Anchored VWAP" by Brian Shannon
Better understanding probability and how to analyze risk (first book), as well as the tools market makers use (second book), has completely reframed how I approach day trading.
Release Notes
Minor cleanup.Release Notes
Updated chart.Release Notes
• Improved the scripts color management.• Minor logic iteration to the "moveCont" function.
Release Notes
• Separated the band visibility from the anchor visibility for more control over what displays.Release Notes
• Removed the 1/8 plot prices from displaying to declutter the timescale. Release Notes
• Inputs were set to not display in the status line, minimizing chart clutter.Release Notes
Visual cleanup of settings panel.Release Notes
• Added option to specify when a given anchor should be reset if its VWAP has not been broken, measured in sessions. Disabling this feature allows anchors to run indefinitely if they are not broken. Anchors are reset independently of each other. The feature is enabled and set to "1" by default (aka. the way it used to exclusively work).• Added option to limit anchor resets to only regular trading hours and new sessions, effectively ignoring AVWAP price breaks during the after hours, overnight, and premarket.
Release Notes
• Tooltip corrections.Release Notes
• Removed unnecessary var declarations to reduce performance penalties.• Added ability to have VWAP continuation for up to 3 days.
Release Notes
• Updated script to have the new 2 and 3 day VWAPs turned off by default.Release Notes
• Updated VWAP continuation logic.Release Notes
• Fixed anchor continuation bug.Release Notes
Bug Fix: After a TradingView update, the plots did not work as expected. This release patches the indicator to reinstate the intended functionality of plots.Release Notes
Updating indicator preview. No code changes.Release Notes
- Improved 2nd and 3rd day VWAP accuracy
- Added VWAP color cycling
- Added ability to select high / low anchor source
- Added TWAP
- Fixed bug with quarter value line not displaying
- Fixed potential issue with marketHours bool
Open-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.