Anchored VWAP

Anchored VWAP is a volume-weighted average price whose calculation starts at an event the trader chooses, such as a swing high, a swing low or the first bar of a move, instead of the session open. It shows the average price paid by everyone who traded since that event, and it does not reset when a new session begins.

Senzoukria · Glossary · Updated September 2026

What changes compared with session VWAP

The formula is identical: sum of typical price times volume over sum of volume. What changes is the first bar included. A session VWAP begins at the session open and restarts the next day. An anchored VWAP begins at the anchor bar and keeps accumulating across sessions until you move the anchor. Before the anchor there is no value, because the anchor is the start of the calculation, not a point from which to extrapolate backwards.

Choosing an anchor

  • A swing high or swing low: the average price of everyone positioned since the extreme. When several bars share the same extreme, using the most recent one tracks the latest retest.
  • A calendar boundary: the start of the day, of the last three or seven days, of the week or of the month. These produce an average that longer-horizon participants may also be watching.
  • A fixed number of bars back, or a range from N bars ago to M bars ago, when the event of interest is a specific leg rather than a date.
  • The anchor should be chosen for a reason that can be written down. An anchor moved until the line fits the chart is curve fitting.

In Senzoukria

The indicator panel offers Anchored VWAP in the VWAP & bands group with an Anchor selector: Session open, Day (UTC), Last 3 days (UTC), Last 7 days (UTC), Week (Monday UTC), Month, Highest high of N bars, Lowest low of N bars, N bars ago and Relative range (N → M bars ago), with a Price selector whose default is the typical price (H+L+C)/3. A second overlay, Anchored VWAP (swing high), anchors to the highest high of the last N bars and runs through session boundaries without resetting. If fewer than N bars are loaded, nothing is drawn: the extreme of the bars that happen to be loaded is not the extreme of the last N bars.

Reading the line

  • Price returning to an anchored VWAP from a swing low meets the average long entered since that low; whether it holds is visible in the footprint at the touch.
  • The line flattens as volume accumulates, so an anchor placed far back moves very little on any single bar.
  • Two anchors from opposite swings framing the current price describe a range of average positions, not a prediction.

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Frequently asked questions

Does anchored VWAP reset at the session open?
No. That is the defining difference with a session VWAP. An anchored VWAP keeps accumulating from its anchor bar across as many sessions as are loaded. If you need a line that restarts each day, use the session VWAP.
Why is there no line before my anchor?
Because nothing has been averaged yet. The anchor is the first bar of the calculation, so the line begins there and grows to the right. Drawing a value before the anchor would require trades that are, by definition, excluded from it.
What happens when the anchored window has no volume?
The division has no meaning, so no value is produced. Senzoukria leaves the line empty until the first traded volume after the anchor, rather than showing a zero or a price carried from elsewhere.

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