Anchored VWAP Channels Built from Donchian Highs and Lows

Summary

This indicator replaces the flat boundaries of a Donchian channel with boundaries that track anchored VWAP changes. It detects rolling-window highs and lows, anchors a separate VWAP to each, and updates the channel from the VWAP’s change. When a boundary would move farther from price than the corresponding Donchian level, the update is adjusted to that closer level. The midpoint is the average of the two boundaries.

The author presents the display as a possible trailing stop and trend aid: new highs or lows set a simple direction state, while the opposite boundary may suggest continuation breakout levels. The document provides implementation details and a conceptual explanation, but no backtest, performance statistics, or entry and exit rules establishing a trading edge. The creator describes it as an experiment rather than a ready-made strategy. Higher-timeframe values can also differ between live and historical calculations, so users should assess that behavior before relying on the plotted levels.

Key ideas

• The channel anchors VWAP calculations to rolling-window highs and lows.
• Its boundaries use VWAP changes while being constrained by Donchian levels.
• New highs and lows determine a simple direction state for the display.
• The author suggests possible trailing-stop and continuation uses but supplies no performance evidence.
• Higher-timeframe live values may differ from historical calculations.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.