Double AVWAP for Pinch Strategies

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The AVWAP is commonly used as an objective reference for interpreting price trends starting from a specific event. When anchored to a single point, it provides a clear and consistent context, which explains its frequent use in discretionary and semi-systematic analysis.

Over time, however, its application has often expanded to include a wide range of additional criteria: the number of preceding days, the selection of relevant highs or lows, volume-based events, turning points, absorption areas, and other contextual elements. While all of these components are legitimate and can be informative, they significantly increase the number of degrees of freedom available to the trader. This expansion, if not consciously controlled, introduces subjectivity and makes the transition from an idea to a systematic approach increasingly fragile. The problem is not the use of such elements per se, but the difficulty of measuring, reproducing and validating them quantitatively.

This article proposes a different approach. The focus is on the use of two AVWAPs, each anchored to a specific, well-defined moment determined solely by price movements. The anchoring process is rule-based and deliberately limited: no auxiliary variables, contextual filters or discretionary adjustments are allowed.

The purpose of doubling the AVWAP is not to add complexity, but to impose structure. By fixing where and when each AVWAP is anchored, the concept of pinch is redefined as an observable market condition rather than a subjective interpretation.

It is important to clarify that this is not a ready-to-use strategy, nor is it intended to be. No definitive or optimal solution is presented here. Instead, the article provides a systematic basis on which to build further research. The discussion will cover three fundamental aspects:

• the identification of daily highs and lows through the violation of predefined conditions;
• the anchoring of the two AVWAPs;
• the types of entry models that can be consistently integrated as a complement.

Throughout the article, only Open, High, Low and Close (OHLC) data is used, in line with a pure price action framework, ensuring that the entire process remains measurable, replicable, and suitable for quantitative analysis.

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