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Date/Time: Mon, 22 Apr 2024 15:30:33 +0000

The current state of Anchored VWAP (AVWAP) - Bringing awareness to Sierra Support

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[2022-10-03 15:20:29]
User995923 - Posts: 64

I have searched within the support board and found many posts suggesting to Sierra Support the development of a user friendly anchored VWAP toolkit but there was no positive response.

The rationale behind this post is to mainly try to bring more awareness of the current state of Anchored VWAP so that you can be at a well informed position to choose whether investing resources on this toolkit is in your benefit or not.


By just typing anchored vwap on Youtube, the following video "STOP Using Moving Averages! Anchored VWAP is the FUTURE in Day Trading" appears in the first results and has 309 000 views on an 8 month period. There are many other videos in the range of 40-100K views.

There are posts of anchored vwap in many well regarded trading forums like futures.io, traderslaboratory, forexfactory and elite trader. These are just the ones that I am aware of.

Also within Sierra Chart Support board there are more than 12500 combined views on the anchored vwap threads.

There is a clear demand for this. There must be a reason why Tradingview made it user friendly as a drawing tool in their kit.


The founder of this methodology, Paul Levine argues that where price finds subsequent support or resistance is directly associated with where there was a change in the underlying psychology or sentiment of the market participants.

Change of sentiment can be approximated by swing high and lows, high volume candles, or specific dates (e.g. earning dates).

So VWAP anchored at key points attempts to capture the fresh sentiment and present the average price of that specific section of market participants.

For example when price move downwards and meets the average price drawn from a key point and is rejected there is meaning behind this. If average price is not accepted, then it must be cheap, otherwise this specific subsection of buyers would respond to a lower price than average price. So if average price is not accepted then maybe average price is underpriced and thus a further expectation for upward continuation.

IMAGE 1 shows an example of the behavior of price when meets anchored VWAP.

IMAGE 2 also shows that when price moves very aggressively can also respond to the standard deviations of the anchored vwap from the critical point that signifies a change in sentiment.


Well, logically it would make sense to deduce that the superior calculation method would be with tick data or an approximation with HLC/3. However Levine states that the vwap calculation is after all a simple approximation to a more complex and less deterministic reality.

There are instances when a bounce from a support or resistance VWAP level is not "clean" in the sense that some relatively small penetration occurs before the expected trend reversal.

So in many instances, the fix for this, even illogical, is to calculate the vwap curve using the lows of the candles when the anchor point is used for support and the high of the candles when the anchor point is used for resistance.

The aim of this is to create a curve that is more "forgiving" than the original curve (lower if support and higher if resistance) and thus attempt to capture that penetration of price.

IMAGE 3 shows this.

Therefore since VWAP is just an approximation to a more complex reality, and the rejection point is not absolutely precise but vague, what is usually attempted is a form of a VWAP channel ( or standard deviation channel). The capability to initiate two VWAPs from the same point. One with underlying or HLC/3 data and another one with high or low data so effectively forming a VWAP channel area in which the potential rejection might occur. Something that IMAGE 3 illustrates.


Sierra has two custom studies for anchoring, UP_BAVWAP and ECIVWAP.

Both have the capability of showing standard deviation lines but the first limitation of ECIVWAP that I have experienced is that when Sierra is restarted the anchor points are not the same as the time they were placed. ECIVWAP also does not have the option to alter the calculation method.

UP_BAVWAP is also superior in the sense that it allows you not only to choose the source of data of the VWAP calculation but to also produce up to 3 simultaneous VWAPs from a single point thus creating the desired VWAP or STD "channel".

Even though it is clunky for traders applying many anchor VWAPs per chart in a day, it can still be done by creating several copies of the same study.

However, the major disadvantage Sierra has over the competition is the fact that for traders that scan through many symbols, charts and timeframes per day using the Quote board this is not possible.

Studies do not change per symbol so when several VWAPs are anchored and launched in symbol A, they will be at the same points in all other symbols, and if the anchor points are changed for symbol B, then if symbol A is visited again, the AVWAPs are then adjusted for symbol B.

Tradingview has done an amazing work by incorporating VWAP anchor, the calculation method and the deviation bands as a drawing tool which can be tweaked and applied effortlessly with a simple click in every symbol and remains as it is for each symbol separately.
Dear support, please look more deeply into the matter, at least make some estimations whether it would be indeed profitable for you to upgrade your anchor VWAP toolkit or not.

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[2022-10-06 05:03:42]
jmftattoo - Posts: 76
Great post, and I whole heartedly agree. With all of the tools and offerings SC has, I was EXTREMELY underwhelmed when looking for variations of Vwap tools. Spent some time and used both the Vwaps listed above to build my own saved custom versions, but they still lack a great deal of input choices, configurable options. Hopefully a admin will take it into account and we can get some more up to speed Vwap variations in the future.

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