Anchoring Multi-Horizon VWAP Bands to Rolling Swing Highs and Lows

Summary

This ProRealTime indicator applies the MIDAS anchored VWAP idea to rolling swing highs and lows. It uses four lookback horizons—17, 72, 305, and 1292 bars—and calculates a top VWAP from the highest high and a bottom VWAP from the lowest low in each horizon. The resulting bands are presented as potential resistance and support zones, with red and green fills whose visibility changes according to price interaction. Users can show every level or restrict the display to active levels.

The description proposes several possible uses: treating the longest lower band as trend context, watching for price extension from short-term bands, and viewing intermediate bands as possible pullback areas. These are interpretations, not tested results. The calculation uses loops over historical bars, which may increase processing load, especially at the longest horizon; shortening that horizon is suggested if the platform slows. Performance, asset suitability, volume-data quality, and parameter selection are not evaluated in the document.

Key ideas

• The indicator calculates top and bottom anchored VWAPs from rolling highs and lows across four lookback horizons.
• The resulting bands are displayed as potential resistance and support zones, with visibility tied to price interaction.
• The document suggests using long-term bands for trend context and shorter bands to observe extensions or pullbacks.
• The longest lookback requires more computation because the implementation loops over historical bars.
• The described applications are hypotheses, and the document provides no backtest or performance evidence.

Tags

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