Anchored VWAP explained

Volume

What Anchored VWAP measures

The average price paid since a chosen moment, with each trade weighted by its volume. Where the plain VWAP runs from the first candle loaded, Anchored VWAP restarts at an anchor: the market open, midnight, a time of day, or the first candle of each week or month. Bands sit a set number of standard deviations above and below it, measuring how far trading has spread around that average since the anchor.

How Anchored VWAP readings are interpreted

Anchored at the open, it is the session VWAP: the average price of the day's trading so far, and a common intraday reference. Anchored to the week or the month, it shows whether buyers since the start of that period are, on average, in profit (price above the line) or at a loss (price below). The bands mark how stretched price is from that average: near the upper band, trading since the anchor has rarely been higher; near the lower band, rarely lower.

Conventional Anchored VWAP levels

Close above Anchored VWAP: price is above the average paid since the anchor
Close below it: below the average paid since the anchor
Close crossing it: a change of side, often used as a trend filter or an entry trigger
Close beyond the upper or lower band: stretched from the average by more than the band width
Settings: Anchor is the market open (09:30 New York for US stocks), midnight, a time of day, or the start of each week or month; Band width is the number of standard deviations (default 1)

Where Anchored VWAP works, and where it does not

From the open, midnight or a time of day it is an intraday indicator, for 5-minute and hourly charts; on daily bars each day is one candle, so these anchors have nothing to average and the line stays empty. From the start of a week or month it works on every timeframe, and it is the default on daily charts. The first week, month or session in the data is left empty, because it may have started before the data did and its average would change with the range loaded.

Indicators commonly read alongside Anchored VWAP

Opening Range: a breakout above ORB High that also holds above the session VWAP is a common confirmation
Several anchors at once: add it as a custom signal as many times as you like — for example from the open and from the start of the week — and compare them in one rule
Volume indicators: a move away from VWAP on rising volume is usually read as stronger
Time exits: pair an intraday VWAP entry with an end-of-session exit

Known limitations of Anchored VWAP

It is only as good as the volume behind it: on 5-minute and hourly bars from a Tiingo key the volume is one exchange's (IEX), not the whole market's
Early in a cycle it rests on a handful of candles and moves a lot; it settles as the cycle fills
In a strong trend price can stay on one side of it, and beyond a band, for a long time

Anchored VWAP in practice

For intraday work, start with the market-open anchor on a 5-minute chart
For swing work on daily charts, use the start of the month, or of the week for a shorter view
Write the entry as Close crosses above Anchored VWAP, and pair it with an exit
Use the bands as targets or as a filter against buying when price is already stretched

Other volume indicators

Elder Force Index
Price Volume Trend
Negative Volume Index
Positive Volume Index

On the test bench

VWAP Trading Strategy Backtest: Does the QQQ Result Generalise?
The long side of a published VWAP rule rebuilt on QQQ, then tested after the study’s years, on 149 large US stocks and against trading costs.

Does the VWAP Strategy Beat Buy and Hold After Trading Costs?
How much each trade can cost before the long-only VWAP rule falls behind buying and holding QQQ, and where spreads, fees and currency conversion sit against that.

VWAP and Anchored VWAP Studies
VWAP and Anchored VWAP explained: the calculation, the anchors and a published VWAP trading rule, with our tests of that rule on QQQ, on large US stocks and after trading costs.

Testing ideas built on Anchored VWAP

A reading of Anchored VWAP can be written as an exact rule and checked against historical data — as a full strategy with entries, exits and costs, or as a single condition and what followed it:

How to backtest a trading strategy without code
Event analysis: what follows a market event

Plot it yourself. Add this indicator to a chart, change every parameter and watch the line move, then backtest how the rule would have behaved on historical data — free on the S&P 500 ETF, no card.

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This is reference material, not advice. It describes what each indicator measures and how its readings are conventionally interpreted. Nothing here is a recommendation to buy or sell anything, and no indicator predicts future prices. GU Analyser is an analytical tool — no money is ever traded here.