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Anchored VWAP — VWAP & bands, on the price chart.
What Anchored VWAP measures
From the anchor bar onward, the indicator accumulates the selected price multiplied by bar volume, divided by accumulated volume. The price source is configurable: typical price by default, or close, HL2, or OHLC4 — changing it changes what the line means, not only its smoothness. The bands are either volume-weighted standard deviations around the line, or a fixed percentage of the line's value. In the relative-range anchor the accumulation stops at the chosen end bar and, with Extend on, the last computed value continues flat to the right, turning a running average into a frozen reference level.
How to read it
- Decide what the anchor represents before reading the line. Anchored to a session open, it is today's average traded price; anchored to a swing high, it is the average entry of everyone who traded since that high.
- Price above the line means the anchored population is, on average, holding at a better price than the current quote — a statement about average cost, not about intent.
- With the range anchor and Extend on, the flat segment on the right is a fixed price computed over a past window. Do not read it as a live average; it stopped updating at the end bar.
- Standard deviation bands widen and narrow with the dispersion of trade since the anchor. Percent bands do not: they stay at a constant proportional distance whatever the market does.
- When the anchor is a swing extreme, remember the anchor itself can move: a new extreme inside the lookback re-anchors the line and rewrites the whole series.
Parameters and defaults
Anchor defaults to Session open. The calendar options are labelled in UTC — day, last 3 days, last 7 days, and week starting Monday — while Session open follows the futures session boundary, so the two families cut the history at different hours. N bars defaults to 100 and drives the highest, lowest, N-bars-ago and range-start modes, with M bars ago defaulting to 0, meaning the last bar. Band 1 (×1) and Band 2 (×2) are on by default, Band 3 (×3) is off, fill opacity is 0.06, line width is 2, and Smoothing at 1 means the raw line is drawn.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Anchor | choice | Session open | 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, Relative range (N → M bars ago) |
| N bars (highest / lowest / bars / range start) | number | 100 | 1 – 5000 |
| M bars ago (range end, 0 = last bar) | number | 0 | 0 – 5000 |
| Extend the range value to the right | toggle | true | — |
| Price | choice | Typical (H+L+C)/3 | Typical (H+L+C)/3, Close, HL2, OHLC4 |
| Line width | number | 2 | 1 – 5 |
| Bands | choice | Standard deviation (volume-weighted) | Standard deviation (volume-weighted), Percent of VWAP |
| Band 1 | toggle | true | — |
| Band 1 multiplier (σ or %) | number | 1 | 0.05 – 20 |
| Band 2 | toggle | true | — |
| Band 2 multiplier (σ or %) | number | 2 | 0.05 – 20 |
| Band 3 | toggle | false | — |
| Band 3 multiplier (σ or %) | number | 3 | 0.05 – 20 |
| Fill bands | toggle | true | — |
| Fill opacity | number | 0.06 | 0 – 0.5 |
| Smoothing | number | 1 | 1 – 200 |
What it does not show
Everything this indicator says depends on an anchor you selected, so two traders looking at the same instrument can reach opposite conclusions with the same tool. Percent bands are a geometric construction and carry no information about volatility. The line needs per-bar volume from your market data feed, which the provider bills separately, and a history that actually reaches back to the anchor: if the anchor bar is not loaded, the accumulation silently starts later than you think. Like every VWAP here, it aggregates total volume and never separates buyer-initiated from seller-initiated trade.
Related indicators
- Rolling VWAP — VWAP & bands
- Session VWAP + σ bands — VWAP & bands
- Anchored VWAP (session open) — VWAP & bands
- Fibonacci Pivots — VWAP & bands
- Woodie Pivots — VWAP & bands
- DeMark Pivots — VWAP & bands
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Frequently asked questions
- Which anchor should I use for anchored VWAP?
- Choose the anchor that matches the question you are asking. A session or calendar anchor answers 'what have participants paid on average over this period'; a swing high or low anchor answers 'where is the average cost of those who traded since that extreme'; the relative range anchor produces a fixed level computed over a closed past window. There is no anchor that is correct in general, only one that matches your reference point.
- What is the difference between standard deviation bands and percent bands on VWAP?
- Standard deviation bands are computed from the volume-weighted dispersion of traded price around the line, so they widen when trade spreads out and narrow when it clusters. Percent bands sit at a fixed percentage of the VWAP value — with the default multipliers, 1% and 2% — regardless of how the market is behaving. The first describes the market, the second describes a constant distance.
- Can anchored VWAP be locked to a past range instead of updating?
- Yes. The relative range anchor accumulates between the start offset and the end offset you specify, and stops there. With the Extend option left on, the final value is carried flat to the right edge so you can use it as a static reference price, which is not the same as a VWAP that keeps updating.