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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! 🙌