Anchored VWAP: How to Choose the Anchor and Read It
An anchored VWAP is a volume-weighted average price that starts from a point you choose — a swing low, a gap, a news release — instead of the session open. It shows the average price paid by everyone who traded since that event.
Intermediate · 8 min read · Updated
What you will learn
Anchor a VWAP to a meaningful event and use it to measure the average position of traders since then.
Read first: VWAP Explained: Formula, Calculation and How Traders Use It
Same formula, different start
The calculation is the one from the lesson on VWAP: Σ(price × volume) ÷ Σ(volume), but the sums start at the anchor bar and never reset at the session open. An anchored VWAP can therefore cover hours, days or weeks.
Hypothetical example · Anchored at a swing low
A swing low forms at 99.20. Anchored there, the VWAP starts near the typical price of that bar, about 99.87, then rises to about 101.71 as price rallies and volume accumulates. Buyers since the low are, on average, in profit as long as price stays above that line.
Choosing the anchor
- Swing highs and lows that started a move, such as the low after a liquidity sweep.
- Gaps and session opens after a large overnight move.
- Scheduled events: an important data release or a central bank decision.
- Earnings or contract roll dates for the relevant markets.
The rule is the same for all: the anchor must be an event that changed who was positioned, chosen before you look at how price behaved around the line afterwards.
Reading it
Compare price with the anchored line: above it, the average participant since the event is in profit; below, at a loss. Returns to the line are moments when that average position is at break-even, which some traders watch for reactions. Several anchored VWAPs from different events can be drawn together; where they converge, many participants share a similar average price.
Limits
- Anchors chosen after the fact make any line look relevant: decide the anchor rules first.
- Far from the anchor, the line moves slowly and lags the market.
- Like any average, it describes past trading; it does not force price to react.
The free TEVO VWAP includes an anchored mode for NinjaTrader 8.
Writing an anchor rule
A rule makes anchored VWAP testable instead of decorative. Examples of rules that can be applied without hindsight:
- Anchor at the lowest low and the highest high of the last 20 sessions.
- Anchor at the first bar after each scheduled central bank decision.
- Anchor at the session open after an overnight move larger than one daily average true range.
Hypothetical example · Two anchors converging
A VWAP anchored at last month’s low sits at 18,310 and a VWAP anchored at last week’s high sits at 18,320. When price returns to 18,310–18,320, two groups of participants are near their average price at the same time. Whether that zone produces a reaction is what your journal will tell you over many cases.
Common mistakes
- Anchoring to random bars until a line fits the chart.
- Drawing too many anchored VWAPs at once.
- Ignoring the volume behind the anchor: an event with little volume says little about positioning.
Practice exercise
Choose three events from last month on the contract you follow: a swing low, a gap and a major release. Anchor a VWAP to each, then note how price behaved at its first return to each line. Write down the anchor rule you used before looking at the results.
Check your understanding
1. What is the difference between session VWAP and anchored VWAP?
- The formula
- The starting point of the calculation
- The use of volume
Show the answer
Answer: The starting point of the calculation. Both use the same formula; only the start changes.
2. Which is a good anchor?
- Any bar where the line fits nicely
- A swing low that started a move, chosen by rule
- The last bar of the chart
Show the answer
Answer: A swing low that started a move, chosen by rule. The anchor should be an event that changed positioning, chosen in advance.
3. Price is above a VWAP anchored at a swing low. What does it mean?
- Buyers since the low are on average in profit
- The trend must continue
- Sellers control the market
Show the answer
Answer: Buyers since the low are on average in profit. The line is their average price.
Practise with the free tools
Frequently asked questions
Does anchored VWAP reset each day?
No. It keeps accumulating from the anchor until you remove it.
Can I add bands to an anchored VWAP?
Yes. Volume-weighted standard deviation bands can be calculated from the anchor, as for session VWAP.
Which timeframe is best?
Anchored VWAP is independent of the chart timeframe; the anchor and the volume data matter. Tick-based calculation is the most precise.
Related lessons
References and further reading
- Order Flow Volumetric Bars (NinjaTrader 8 Help Guide) — NinjaTrader
- Time & Sales (NinjaTrader 8 Help Guide) — NinjaTrader
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