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Anchored VWAP

An anchored VWAP is the volume-weighted average price from a bar you choose (an earnings day, a breakout, a major high or low) to now. It is the average cost of everything traded since that event, which makes it a level that buyers and sellers who acted after the event defend.

What it's for
  • Find the average price paid by everyone who traded since a chosen event.
  • Use it as a level that buyers (or sellers) since that event tend to defend.
Plus and Pro toolTry it in Analyze
Points
1: the anchor bar
Plan
Plus and Pro
Price used
Typical price (high + low + close) / 3
Bands
±1σ and ±2σ, volume-weighted

Calculation

typical price  tp = (high + low + close) / 3
AVWAP          = Σ(tp × volume) / Σ(volume)          from the anchor bar to the current bar
σ              = √( Σ(tp² × volume) / Σ(volume) − AVWAP² )
bands          = AVWAP ± 1σ, AVWAP ± 2σ

Sums start on the anchor bar itself. The σ bands are the volume-weighted standard deviation of the typical price around the AVWAP.

Unlike the session VWAP, which restarts every day, an anchored VWAP never resets: it accumulates every bar since the anchor. The idea, popularized by Brian Shannon, is that the anchor should be a moment that changed the market's mind.

How to read it

VWAP anchored on an earnings gap day; the later pullback stops exactly on it
Anchored on an earnings gap day (simulated example), the AVWAP rises with the advance. The pullback stops exactly on it: on average, everyone who bought since the event is still in profit, and many defend that cost.
  • Above the AVWAP: the average participant since the anchor is in profit; pullbacks to it are watched as support.
  • Below it: the average participant is losing; rallies to it often meet selling from those who want to exit at breakeven.
  • Several anchors (the last earnings, the yearly high, the last major low) show who is in control over different horizons.
VWAP anchored on a swing high acting as resistance on the following rally
Anchored on a top, the AVWAP falls as the decline accumulates volume at lower prices. The next rally stops on it: buyers since the top are, on average, back to breakeven there.

How to draw it

  1. Choose Volume-based → Anchored VWAP.
  2. Click the anchor bar. The handle sits on the AVWAP's first value (the anchor bar's typical price); drag it to another bar to re-anchor.
  3. Untick σ bands in the options to show only the AVWAP.

Limits

  • The result depends on the volume data: on the 1D view, recent stock minutes may come from a real-time feed that does not include every venue (a note says so when it applies).
  • Bars without volume are ignored; an AVWAP over very illiquid data is not meaningful.
  • The anchor must be justified by an event; anchoring on random bars finds random levels.

Charts in this guide use simulated prices generated for illustration; levels and outcomes shown are examples, not observations of a real market. Educational content only, not investment advice.

Related guides

VWAPHow the VWAP is calculated, why institutions use it as a benchmark, how its session to year anchors work, and how to read its standard deviation bands.Fixed range volume profilePlusHow the fixed range volume profile distributes volume by price over a chosen range, how the point of control and the 70% value area are computed, and how to trade around them.VolumeHow to read traded volume with its moving average: breakouts on expanding volume, pullbacks on light volume, selling climaxes and what volume cannot tell you.