VWAP Max- Settings and Anchors | Simpler Trading Help Center (2024)

FAQs

What is anchored VWAP setting? ›

Anchored VWAP allows you to pick whatever starting point you want. If you want to look at the volume-weighted average price on the S&P 500 E-mini Futures for the last month, set the starting point for the Anchored VWAP to the open of the first day of the current month.

The Volume Max indicator analyzes price and volume to help traders clarify market sentiment. This custom version compares short term and long term VWAP as well as an 'anchored' VWAP, moving VWAP, and intraday VWAP, and combines price, time, and volume. It's designed to reveal continuation setups in up or down markets.

Unlike the traditional Volume Weighted Average Price (VWAP), which resets daily and provides the average price of a security within a single trading day, the Anchored VWAP provides a more flexible view by allowing traders to set an anchor point from which the calculation begins.

Anchored VWAP can be used on any timeframe but works well on the following for each type of use. Daily – Use for major trend and support/resistance analysis. 4-Hour – Good for swing trading and refining levels from the daily.

For intraday trading, the best way to use VWAP is by initiating a buy order when the price falls below it and executing a sell order when the price rises above. Given that prices are subject to fluctuation during the day, vigilant monitoring of these changes is crucial for successful trading.

End of Day Settings:

Standard Deviations- Enter the number of standard deviations used in calculating the max VWAP envelope. The default is 3.0 and should generally be left alone.

It looks similar to a moving average line but smoother. VWAP represents a view of price action throughout a single day's trading session. Retail and professional traders may use the VWAP to help them determine intraday price trends. VWAP typically is most useful to short-term traders.

There are many ways to trade with the VWAP. Again, it works best when combined with other complementary indicators including momentum indicators like MACD or stochastic.

Here, is the best way to use it: Set time frame to 5 minutes and see whether the stock price has crossed the VWAP. Now if our answer to previous step is Yes, than we can buy at the moment the next 5 minute candle crosses the previous candle. Important point to note that the previous candle must close above VWAP.

VWAP Backtesting Results

I conducted a VWAP test on the Dow Jones Industrial Average's 30 stocks across 68 days with 400 trades. The Volume Weighted Average Price (VWAP) indicator didn't yield profits for day traders using standard candlestick/OHLC charts, resulting in a 30% win rate.

What is the VWAP rule? ›

VWAP is the average price of a stock weighted by volume. By monitoring VWAP, a trader might get an idea of a stock's liquidity and the price buyers and sellers agree is fair at a specific time. The VWAP indicator can be used by day traders to monitor intraday price movement.

General Strategies

If the price is above VWAP, it is a good intraday price to sell. If the price is below VWAP, it is a good intraday price to buy. However, there is a caveat to using this intraday. Prices are dynamic and what appears to be a good price at one point in the day may not be by day's end.

The Anchored VWAP line is charted using price and volume data from that significant event onward to encompass all the data within the calculation, until the end of the chart.

The Anchored VWAP (aVWAP) indicator ties VWAP calculations to a specific price bar chosen by the trader. Anchored VWAP allows you to specify the price bar where calculations begin, making it easy to see whether the bulls or bears have been in charge since a very specific point in time.

General Strategies

If the price is above VWAP, it is a good intraday price to sell. If the price is below VWAP, it is a good intraday price to buy. However, there is a caveat to using this intraday. Prices are dynamic and what appears to be a good price at one point in the day may not be by day's end.