Anchored VWAP Bands v3.3 [JopAlgo]

Anchored VWAP [JopAlgo] — a fair-value compass you can trust on any timeframe

If Volume Profile shows where business concentrated, Anchored VWAP (AVWAP) shows what the crowd has paid on average since a moment that matters. It’s a running average of price weighted by traded volume, reset at a point you choose (the “anchor”). That makes AVWAP a reliable fair-value line: above it, the average participant since the anchor is in profit; below it, they’re under water. Markets naturally react around that line.

This [JopAlgo] version focuses on the parts that make AVWAP practical for real trading:

Clear, event-anchored VWAP so you can ask “since this moment, where is fair value?”

Optional higher-timeframe anchors (e.g., Weekly AVWAP) to define regime

Simple visuals so newer traders can read it instantly, and advanced traders can layer multiple anchors without clutter

(When you add screenshots: image #1 should point to the main AVWAP line with a label “fair value since anchor”, and show a bounce/reject. Image #2 can show confluence: AVWAP kissing VAL/VAH from Volume Profile v3.2 or a clean reclaim through AVWAP.)

What you’re seeing (and why price cares)

The AVWAP line: the volume-weighted average price since your anchor time.

Price above AVWAP → average long (since anchor) is in profit → pullbacks to AVWAP tend to support.

Price below AVWAP → average long is losing → rallies to AVWAP tend to resist.

Multiple anchors (optional): you can plot more than one AVWAP (e.g., Weekly AVWAP and an Event AVWAP) to separate regime (weekly) from tactical timing (event/session).

AVWAP works because it ties “fair value” to time and participation, not just price. When price departs far from AVWAP and then returns, participants frequently defend the line. When price accepts on the other side (closes and holds), that’s often a regime change relative to the anchor.

Anchors: how to pick them (and what changes when you do)

An anchor is simply the timestamp where you start the calculation. Changing it changes both context and expectations:

Session anchors (intraday) — e.g., session open, London/NY open.

Use: scalps/intraday plays.

Behavior: frequent tests; strong for fade-to-mean trades and quick reclaims.

Event anchors — listing, major news, ETF approval, earnings, a swing high/low.

Use: track how price behaves since the catalyst.

Behavior: excellent for measured pullbacks and “is the market digesting this event yet?”

Weekly/Monthly anchors — the Weekly AVWAP is a regime line.

Use: swing/position bias.

Behavior: clean “reclaim” and “rejection” signals; great with Volume Profile’s VAH/VAL.

Rule of thumb:
Choose the slowest anchor that defines your bias (e.g., Weekly AVWAP for swings) and one faster anchor for timing (e.g., Session/Event AVWAP). Too many lines → hesitation.

How to use AVWAP on any timeframe

The framework doesn’t change—only your anchor choices and expectations do.

Scalping (1–5m charts)

Anchors: Session open, London/NY open, or the prior swing low/high.

Setup: If price trends away from the session AVWAP, fade back to AVWAP only when flow isn’t showing absorption against you (pair with CVDv1). If price reclaims AVWAP after a push below, look for inside-back retests at the line.

Intraday (15m–1H)

Anchors: Session open + important event AVWAP (FOMC-like news, ETF day, etc.).

Setup: Use pullbacks to AVWAP to join trend; require acceptance above/below (close and hold) before flipping bias. Confluence of AVWAP with VP v3.2’s VAH/VAL = high-quality location.

Swing (2H–4H)

Anchors: Weekly AVWAP for regime + event AVWAP for timing.

Setup: Reclaim of Weekly AVWAP → prefer longs on pullbacks to that line; rejection → fade rallies into Weekly AVWAP (target POC/HVNs from VP). The best entries are AVWAP + VP edge with CVDv1 not flashing Absorption.

Position (1D–1W)

Anchors: Monthly/Quarterly/Cycle AVWAP.

Setup: Treat the higher-timeframe AVWAP as the mean. Acceptance through it (and hold) often marks cycle transitions. Add on pullbacks to the line that hold.

Reading reclaims, rejections, and “acceptance”

Reclaim: price trades below AVWAP, then closes back above and holds on a retest → bullish signal since the anchor.

Rejection: price pops above AVWAP, prints rejection wick and closes back under → bearish.

Acceptance: multiple bars closing and holding beyond AVWAP, ideally with CVDv1 Alignment OK and no Absorption → higher odds the move persists.

With Volume Profile v3.2, treat AVWAP at VAL/VAH as A-tier locations:

VAL + AVWAP reclaim → mean-reversion long to POC is common.

VAH + AVWAP rejection → fade back to POC or to the next HVN.

Settings that matter (and simple defaults)

Names may vary by version, but these are the ideas you’ll see.

Anchor Time — pick a timestamp (session open, event, week start). Newer traders: start with Session AVWAP intraday; add Weekly AVWAP for swings.

Multiple anchors — if enabled, you can show Weekly AVWAP alongside your custom anchor. Keep it to two lines to stay decisive.

Smoothing / Display — most traders use raw AVWAP (no smoothing). Make sure the line is visible across zoom levels.

Theme & Colors — use distinct colors for each anchor (e.g., white for Weekly, aqua for Session/Event) so you don’t mix them up.

How AVWAP pairs with other [JopAlgo] tools

Cumulative Volume Delta v1 [JopAlgo] (CVDv1) — confirms flow quality at AVWAP.

Don’t chase a tag through AVWAP if CVD Absorption is red (typical failed break conditions).

Do prefer reclaims when Alignment = OK and Imbalance % is strong for your anchor.

Volume Profile v3.2 [JopAlgo] — gives you objective levels (POC/VAH/VAL/HVNs).

AVWAP + VAH/VAL confluence is where you plan trades.

Passing through an LVN toward AVWAP often travels fast; use that to manage risk.

(Add a screenshot that highlights AVWAP touching VAL with CVDv1 “Efficient” → clean bounce to POC.)

A simple, durable playbook

Pick one slow anchor (e.g., Weekly) for bias and one fast anchor (Session/Event) for timing.

Trade at the line, not mid-air: reclaims and rejections at AVWAP are your signals.

Require confirmation from flow: CVDv1 Alignment OK, Imbalance strong, Absorption ≠ red on the trigger bar.

Add Volume Profile v3.2 for targets (POC/HVNs) and edges (VAH/VAL).

If price accepts beyond AVWAP (closes and holds), stop fading and instead join pullbacks to the line.

Common mistakes AVWAP solves

“Mean keeps moving, my MA lies.” AVWAP weights actual traded volume, so fair value adapts to where business was done, not just where price wandered.

“It broke the line and reversed.” That’s no acceptance (or CVDv1 flagged Absorption). Wait for the retest/hold.

“Too many lines, can’t decide.” Keep two anchors max: one for bias, one for timing.

Practical defaults to start with

Intraday: Session AVWAP only. Add an Event AVWAP on special days.

Swing: Weekly AVWAP + one Event AVWAP (start of move or weekly open).

Colors: Distinct but readable (e.g., white for Weekly, aqua for Session/Event).

No smoothing. Let the line be honest—your eyes adjust quickly.

Open source & disclaimer

This indicator is provided open source so you can learn, test, and adapt it to your workflow. Trading involves risk; tools guide decisions but don’t remove uncertainty.

Disclaimer — Not Financial Advice.
The “Anchored VWAP [JopAlgo]” indicator and this description are for educational purposes only and do not constitute financial or investment advice. Markets involve risk, including possible loss of capital. [JopAlgo] makes no warranties and assumes no responsibility for any trading decisions or outcomes resulting from the use of this script. Past performance is not indicative of future results.

Use Anchored VWAP for the where and when around fair value; let CVDv1 judge who’s pushing, and let Volume Profile v3.2 define targets and edges. That trio stays reliable across any timeframe.