Anchored and Periodic VWAPs for Price Context and Event Signals
Summary
This chart indicator combines anchored VWAPs, periodic VWAPs, and automatically selected VWAP anchors. Users can place anchors at chosen event times, including a high, a low, and a handoff point, then display the resulting volume-weighted average price with optional percentage or standard-deviation zones. Separate interval lines can represent daily, multi-day, weekly, monthly, quarterly, and yearly periods, as well as dividend, earnings, or split events.
The automatic anchors can be based on rolling price or volume extremes and pivot highs or lows. For each selected anchor, the script accumulates source price weighted by volume to draw the VWAP from the anchor forward. These lines can help visualize price relative to average traded value across different reference periods, but the document does not specify trading entry rules or provide evidence of predictive performance. Anchor selection, interval, source, and zone settings are discretionary, and the output is a contextual charting tool rather than a tested strategy.
Key ideas
- Anchored VWAPs measure volume-weighted price from user-selected event dates.
- Optional percentage and standard-deviation zones provide bands around anchored averages.
- Periodic VWAP lines can track daily through yearly intervals and corporate events.
- Automatic anchors can use price or volume extremes and pivot points.
- The indicator offers chart context but no defined trading rules or performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.