Description
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1. Anchored VWAP High & Low
- Tracks two separate anchored VWAP lines:
- High Anchor → VWAP starting from the most recent “high breakout” point.
- Low Anchor → VWAP starting from the most recent “low breakout” point.
- Anchors reset when:
- Price breaks above the previous anchored high (for the high anchor) or below the previous anchored low (for the low anchor).
- Or after a set number of sessions (e.g., 1 day) if SessionLimited is enabled.
- Optionally, resets only occur during specified market hours.
- Can also show a Midline = average of high and low anchored VWAP.
2. Session & Market Hours Controls
- SessionLimited: Limits how long an anchor can persist across sessions (trading days).
- AnchorMaxSessions: Max number of sessions before auto-reset.
- MarketHoursOnly: Prevents resets outside chosen start/end times (e.g., RTH for stocks).
- ExchangeUtcOffsetHours: Adjusts times for market hours to your chosen exchange.
3. Daily VWAP for the Last 3 Days
- Tracks daily VWAP for:
- Day 1 (today)
- Day 2 (yesterday)
- Day 3 (day before yesterday)
- These can all be displayed together to visualize short-term VWAP levels.
4. TWAP (Time-Weighted Average Price)
- Optional line showing TWAP based on different moving average methods:
- SMA, EMA, RMA, WMA, VWMA, or Linear Regression.
- Can reset each session (Session mode) or run continuously (Perpetual mode).
- Length is adjustable, and the source price type is selectable.
5. Visual Outputs
- Plots lines for:
- Anchored High VWAP
- Anchored Low VWAP
- Anchored Midline
- Day 1, 2, 3 VWAP
- TWAP
- Also draws labels at the last bar showing which line is which.
6. Volume Handling
- Uses tick volume by default (cTrader standard).
- Can prefer real volume if available.
💡 In trading terms:
This indicator is mainly for tracking anchored VWAP levels from key swing points (recent highs/lows), while also keeping track of short-term VWAP history and optionally overlaying a TWAP. It’s designed for traders who want precise session-based VWAP tracking with reset rules similar to the original Pine version, but with enhancements for market-hour gating and multiple VWAP/TWAP references.
If you have any questions or run into any issues, feel free to contact me. I'm happy to help You!
Disclaimer:
By using my algorithms, you acknowledge that trading involves inherent risks and that past performance does not guarantee future results. It is essential that you have a solid risk management strategy in place and, above all, that you remain disciplined in adhering to stop-loss levels. Failure to manage risk properly can lead to significant losses. I am not responsible for any financial outcomes resulting from the use of these algorithms. Trade responsibly and always follow proper risk management practices.
Bless up! 🙌
Summary
The indicator also displays a Midline, calculated as the average of the high and low anchored VWAPs, and tracks daily VWAP levels for the last three days to provide short-term VWAP history. Additionally, it offers an optional Time-Weighted Average Price (TWAP) line, which can be calculated using various moving average methods (SMA, EMA, RMA, WMA, VWMA, or Linear Regression) and configured to reset each session or run continuously.
Session and market hours controls include options to limit anchor duration across sessions, set maximum sessions before reset, restrict resets to market hours, and adjust for exchange time zones. The indicator uses tick volume by default but can be set to prefer real volume if available. Visual outputs include labeled lines for anchored high, low, midline VWAPs, daily VWAPs, and TWAP, aiding traders in precise session-based VWAP analysis with enhanced reset and market-hour features.
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