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The Volume Weighted Average Price (VWAP) is one of the indicators most used by traders to analyse price behaviour in relation to volume, offering a balanced view of supply and demand over time. However, a lesser-known but increasingly popular variant of it for its operational effectiveness is the Anchored VWAP (AVWAP), which allows the volume-weighted average price calculation to be anchored to a specific point in time such as a high, low, breakout or fundamental event.
This feature makes AVWAP particularly useful for interpreting institutional behaviour, identifying areas of strategic interest and constructing robust strategies in both mean-reverting and directional momentum contexts. Unlike the standard VWAP, which resets every day and is therefore better suited to the intraday context, the AVWAP can accompany the trader over longer time horizons, maintaining its validity as long as the anchor point remains relevant.
However, like any other indicator, AVWAP is not a magic wand. Its effectiveness depends on the trader's ability to contextualise it, test it and integrate it into a strategy consistent with his own trading style. There is no such thing as an infallible tool: what matters is being able to recognise when a configuration has real statistical value and when it is appropriate to stay out of the market.
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