Adaptive Swing-Anchored VWAP for Trend and Pullback Analysis
Summary
This indicator restarts a volume-weighted price reference when its swing-direction logic changes at a new high or low. It identifies swings using a configurable lookback and marks pivot structure with higher-high, lower-high, higher-low, or lower-low labels. From each anchor, it updates a smoothed ratio of price-times-volume to volume, weighting recent observations according to an exponential decay model.
An adaptive tracking setting can adjust that decay using current ATR relative to its smoothed average: higher volatility shortens the effective tracking period, while quieter conditions lengthen it. The author suggests using the resulting line as a dynamic fair-value guide for trend pullbacks, retests, and possible mean reversion. These are proposed chart-reading applications rather than tested signals; no performance evidence or comparison is supplied. Swing detection and volatility settings influence lag and noise, and the indicator should be evaluated in context before use.
Key ideas
- The indicator anchors a new smoothed volume-weighted price path when its swing direction changes.
- A configurable lookback controls swing detection and the frequency and size of identified pivots.
- The decay-based calculation gives recent price-volume observations more influence than older ones.
- Optional ATR-based adaptation makes tracking faster in high volatility and smoother in low volatility.
- Suggested retest and mean-reversion uses are not supported by reported backtests or performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.