Anchored VWAP (Volume Weighted Average Price)

Anchored Volume Weighted Average Price, or AVWAP, is a technical indicator developed by Brian Shannon from AlphaTrends. Since markets tend to have an anchoring bias after significant events, such as earnings, FDA announcements or Federal Reserve interest rate changes, traders often find themselves needing to adjust their strategies. The AVWAP indicator makes it easy to adjust to these events by anchoring the volume-weighted average price to these events.

You can use the indicator in a few easy steps:

  1. Click on the ... next to Indicators.
  2. Search for Anchored VWAP and add the indicator.
  3. Adjust any settings, as needed.

TrendSpider's AVWAP indicator automatically anchors to special points that you can configure including:

  • Highest volume candle in a candle range.
  • Highest high in a candle range.
  • Lowest low in a candle range.
  • Most recent Blue Doji Raindrop.
  • Recent gaps.
  • Day to date (since open, today).
  • Week to date (since open at start of week).
  • Month to date (since the monthly open).
  • Quarter to date (since the start of each quarter).
  • Year to date (since January 1).

Continuous mode is possible for each of these configurations, except for the highest volume, highest price or lowest price conditions. Edit the property of any AVWAP that's one of the prohibited conditions and check the "continuous" checkbox. These continuous AVWAPs can be included in backtests as well.

In addition to automated anchors, TrendSpider makes it easy to create bands including:

  • Standard deviation bands with four default settings inspired by Fibonacci levels.
  • Percentage bands with four default settings inspired by Fibonacci levels.
  • AlphaTrends VbP Ribbons with variable line thickness based on the amount of volume.

TrendSpider alerts and backtesting capabilities also support AVWAP. If you create a dynamic price alert, it will automatically update when re-anchoring, enabling you to take full advantage of sensitivity buffer zones without the legwork.

Apr 30, 2021

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