Glossary · A
What is Anchored VWAP?
A VWAP that starts its calculation at a chosen event (a major data release, a swing high or low, the start of a week) instead of at the session open.
In context
An Anchored VWAP (AVWAP) is an ordinary VWAP whose starting point you choose, instead of letting the calendar choose it. The formula is unchanged: Σ(TP × V) ÷ Σ V from the anchor candle up to now. Brian Shannon of Alphatrends popularised the approach (see his book Maximum Trading Gains with Anchored VWAP, 2023). His central idea is that the average traded price is most meaningful when measured from a significant event, not from an arbitrary clock time.
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Related terms
VWAP (Volume-Weighted Average Price)
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