Anchored VWAP

Indicators · Volume

VWAP anchored to the highest-high / lowest-low bar within a lookback.

Anchored VWAP is VWAP that starts counting from a specific, meaningful bar rather than resetting on a fixed schedule. Instead of "average price this session," it answers "what's the volume-weighted average price of everyone who's traded since that swing high (or low, or event)?" That makes it one of the sharpest tools for finding levels that actually matter — the fair value relative to a significant turning point, which the market often respects on the retest.

How it works

The block finds an anchor bar according to Anchor on — the highest_high or lowest_low within the Lookback window (0 = the whole range), or the first_bar — and accumulates VWAP from that bar forward: the running sum of typical price × volume divided by the running sum of volume, starting at the anchor. The result is a single line on the price pane. Anchoring at a major high or low produces a level that represents the average cost basis of everyone who traded the move from that extreme.

When to use it

Use Anchored VWAP to find significant levels from significant events. Anchoring at a major swing high gives the average price of sellers from the top — a level that often acts as resistance on a bounce; anchoring at a swing low gives buyers' cost basis and likely support. It's a favourite for judging whether a move is "fairly valued" relative to a key pivot, and for spotting where trapped traders sit. Unlike session VWAP, it persists across days, so it's well suited to swing trading.

Example

Anchored VWAP on EURUSD · H1

Resistance from a top: set Anchor on to highest_high and wire bars into Anchored VWAP to draw the average cost basis from the recent peak; when price rallies back to it, look for rejection — combine the level touch with a bearish trigger into a Sell Signal. Backtest in the Tester.

Tips & gotchas

• Anchor to something meaningful — a major high/low or event, not an arbitrary bar.
• Persists across sessions — unlike session VWAP, good for swing horizons.
• It's a cost-basis level — the average price of everyone since the anchor; that's why it's defended.
• Volume quality matters — most meaningful where volume is real (less so on thin spot forex).

Related blocks

• VWAP
• VWAP Bands
• Volume Profile
• Swings

Inputs

Socket	Type	What to wire in
Bars	bars	Price bars

Outputs

Output	Type	Plots as	Description
Anchored VWAP	series	Line	Anchored VWAP line (price scale)

Parameters

Parameter	Type	Default	What it does
Anchor on	choice (highest_high, lowest_low, first_bar)	highest_high	Which bar to anchor the cumulative VWAP at
Lookback	number · 0–5000	0	Bars to search for the anchor (0 = whole range)
Line color	colour	#26c6da

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Reference auto-generated from the block catalog · category Indicators.