Anchored VWAP

An anchored volume-weighted average price starts the average at a chosen event, such as a swing high, an earnings day, or a policy announcement, and carries it forward. It is the average price paid since that event, weighted by volume. Unlike the session VWAP, it does not reset at the open. Traders use it as a dynamic mean for pullbacks after the anchor.

Not investment advice. Nothing here is a recommendation to buy or sell anything. Backtests and historical studies are not guarantees, and a rule that worked in one sample can fail in the next. Trading can lose money. Links are for education, not endorsements. Do your own research.

Rules

Pick the anchor rule before looking at the trade, for example the session of the last earnings release or the bar of a 20-day high. Compute cumulative price times volume from that bar. In an uptrend, a long is a pullback that holds the anchored average and closes back above it, with a stop under the pullback. If price lives below a falling anchored average, do not buy the first touch.

Where AI fits

AI can anchor from a calendar of events so the start point is not chosen after the bounce. It can test one anchor type at a time. Letting a system search all possible anchor dates and keep the best one will always find a flattering line.

Markets

Stocks and futures with volume. The anchor has to be a real event or a mechanical swing, not a feeling.

Timeframes

From the anchor forward, often days to weeks. Intraday anchors are a separate rule.

Risks

Anchor shopping is the entire failure mode. A line from a well-chosen low looks like genius and was not knowable. Earnings anchors gap. Volume from the wrong session tilts the average. It will resemble a moving average often enough to be a duplicate if you are not careful.

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