Anchored VWAP (Auto High & Low)

21. Juni 2023

OVERVIEW
This script plots, and auto-updates, 3 separate VWAPs: a traditional VWAP, a VWAP anchored to a trends high, and another anchored to a trends low.

VWAP and Anchored VWAPs are commonly used by institutions responsible for the majority of market volume on a given day. Citadel Trading, for example, accounts for approximately 35% of all U.S. listed retail volume, largely executed through program trades over the course of a day, week, or month.

Because VWAP is a prominent market maker tool for executing large trades, day traders can use it to better anticipate trends, mean reversion, and breakouts.

This is most useful on charts with intraday time frames (1 minute, 5 minute etc.) commonly used for day trading. This is not ideal for larger time frames (1 hour or greater) commonly used for swing trading or identifying larger trends.

INPUTS
You can configure:

• The size, color, and visibility of 6 different plots (VWAP, High Anchor, Low Anchor, Average of Anchors, Quarter Values, Interim Bands)
  
• How smooth the average displays
  

INSPIRATION
1. "How To Measure Anything" by Douglas W. Hubbard
2. "Maximum Trading Gains With Anchored VWAP" by Brian Shannon

Better understanding probability and how to analyze risk (first book), as well as the tools market makers use (second book), has completely reframed how I approach day trading.

21. Juni 2023

Versionshinweise

Minor cleanup.

21. Juni 2023

Versionshinweise

Updated chart.

3. Juli 2023

Versionshinweise

• Improved the scripts color management.
• Minor logic iteration to the "moveCont" function.

3. Juli 2023

Versionshinweise

• Separated the band visibility from the anchor visibility for more control over what displays.

3. Juli 2023

Versionshinweise

• Removed the 1/8 plot prices from displaying to declutter the timescale.

7. Juli 2023

Versionshinweise

• Inputs were set to not display in the status line, minimizing chart clutter.

6. Aug. 2023

Versionshinweise

Visual cleanup of settings panel.

19. Aug. 2023

Versionshinweise

• Added option to specify when a given anchor should be reset if its VWAP has not been broken, measured in sessions. Disabling this feature allows anchors to run indefinitely if they are not broken. Anchors are reset independently of each other. The feature is enabled and set to "1" by default (aka. the way it used to exclusively work).
• Added option to limit anchor resets to only regular trading hours and new sessions, effectively ignoring AVWAP price breaks during the after hours, overnight, and premarket.

19. Aug. 2023

Versionshinweise

• Tooltip corrections.

23. Aug. 2023

Versionshinweise

• Removed unnecessary var declarations to reduce performance penalties.
• Added ability to have VWAP continuation for up to 3 days.

23. Aug. 2023

Versionshinweise

• Updated script to have the new 2 and 3 day VWAPs turned off by default.

24. Aug. 2023

Versionshinweise

• Updated VWAP continuation logic.

24. Aug. 2023

Versionshinweise

• Fixed anchor continuation bug.

10. Jan. 2024

Versionshinweise

Bug Fix: After a TradingView update, the plots did not work as expected. This release patches the indicator to reinstate the intended functionality of plots.

18. Jan. 2024

Versionshinweise

Updating indicator preview. No code changes.

27. Okt. 2024

Versionshinweise

• Improved 2nd and 3rd day VWAP accuracy
  
• Added VWAP color cycling
  
• Added ability to select high / low anchor source
  
• Added TWAP
  
• Fixed bug with quarter value line not displaying
  
• Fixed potential issue with marketHours bool
  

12. Jan.

Versionshinweise

• TWAP enhancements
  
• Converted to Pine Script v6

6. Feb.

Versionshinweise

• Incorporated Utility Library for shared logic across scripts.
  

1. März

Versionshinweise

• Minor script enhancements. Core logic is the same.