Anchored VWAP vs session VWAP: what resets, what anchors, when to use
Anchored VWAP vs session VWAP explained: what resets the session line, how an anchor works, the bands, and the VWAP line tools in SuperCharting charts.
Anchored VWAP vs session VWAP comes down to one question: where does the running total start? A session VWAP starts again from zero on the first bar of every trading day, so it is the average price paid today. An anchored VWAP starts at a bar you choose, such as a swing low or a results day, and keeps running without a reset. Both draw a VWAP line on the chart, the average price since the starting bar with every bar weighted by its volume. The basics of the line itself are on the VWAP indicator page; this page is about choosing between the two kinds.
What resets session VWAP
The standard Volume-weighted average price indicator has an Anchor Period input, and Session is the default. On every bar the script asks whether the calendar day has changed. If it has, the running totals of price × volume and of volume are set to zero, and the line starts again from that bar's price. Nothing else resets it, not a new hour, a gap or a news candle.
That has four practical results:
- The line restarts each morning, so it only describes today. On NSE:RELIANCE 15m, yesterday's average is gone from the 09:15 bar onwards.
- On 24-hour symbols such as XAUUSD or BTCUSD the "day" is the calendar day on the feed's clock. The restart can therefore fall in the middle of the Indian trading day. Check where the line restarts on your own chart before you rely on it.
- If the loaded history begins in the middle of a day, the first line starts from the first loaded bar, not from the open.
- On daily and longer charts the Session anchor restarts on every bar. Use the Week or Month anchor there.
A small worked example
These numbers are made up to show the arithmetic. Suppose the first three 15-minute bars of NSE:RELIANCE have typical prices (hlc3) of 1,420, 1,424 and 1,418, with volumes of 200,000, 100,000 and 300,000 shares.
- Simple average of the three prices: 1,420.67
- VWAP after three bars: (1,420 × 200,000 + 1,424 × 100,000 + 1,418 × 300,000) / 600,000 = 1,419.67
The third bar traded the most, so it pulls the VWAP towards 1,418.
What an anchor is
An anchor is the bar where the totals start. A VWAP anchored at bar X answers a specific question: what is the average price paid by everyone who has traded since X? You pick X because something changed there, such as a results announcement, a breakout bar or a major low. SuperCharting gives you four ways to get an anchored line:
| Tool | Where it is | Where it starts | Bands |
|---|---|---|---|
| VWAP, Anchor Period Session | Indicators, search "vwap" | First bar of every day | Three, optional |
| VWAP, Anchor Period Week, Month, Quarter, Year, Decade or Century | Same indicator | First bar of every such period | Three, optional |
| VWAP Auto Anchored | Indicators | Start of the latest period, or the highest high, lowest low or highest volume in the last Length bars | Three, optional |
| Anchored VWAP drawing | Drawing toolbar, Forecasting and measurement tools, Volume-based | Any bar you click | None, one line |
The periodic anchors restart the line for every day or week. VWAP Auto Anchored draws only the latest one. The Anchored VWAP drawing runs from the bar you click to the latest bar, with a dashed vertical line at the anchor. The anchor stays put until you drag it.
When each one is used
- Session VWAP is the intraday tool. Many day traders read price above it as a session where the average buyer is in profit, and below it as the opposite. On NSE:NIFTY1! 5m, a morning that holds above VWAP and pulls back to it without closing under it is read differently from one that crosses it six times.
- Weekly and monthly anchors suit swing traders who want the average price of this week's or this month's trade as a reference.
- A hand-placed anchor suits event studies. Anchor at the day NSE:RELIANCE reported results and see whether later pullbacks stop at that average. Anchor at a BTCUSD swing low and watch whether price keeps holding above the average cost of buyers since that low.
- Auto Anchored with Lowest Low or Highest Volume is a quicker route when you do not want to pick the bar by hand.
To see where volume traded by price rather than one average, add a volume profile next to it.
Bands: how far from the average
The VWAP indicator and VWAP Auto Anchored share the same Bands Calculation Mode setting.
- Standard Deviation draws bands at multiples of the volume-weighted standard deviation of the source around the VWAP.
- Percentage draws them at a fixed percentage, where a multiplier of 1 means 1%. On a stock at 1,420, one unit is about 14.2.
Band #1 (multiplier 1) is on by default. Bands #2 and #3, at 2 and 3, are off until you tick them. Because the sums start from zero, the standard deviation bands are narrow early in a session and widen as the day's range builds. A touch of band 1 at 09:30 therefore means much less than the same touch at 14:00. The Anchored VWAP drawing has no bands.
How to add each kind of VWAP in SuperCharting
Session VWAP
- Open an intraday chart, for example NSE:BANKNIFTY1! on 5m.
- Click Indicators, type "vwap" and click Volume-weighted average price.
- Open Settings from the legend gear and leave Anchor Period on Session.
- Tick the second band if you want it, then click Ok.
An anchored VWAP you place yourself
- Open the chart, for example NSE:RELIANCE on 1h, and scroll to the bar you care about.
- Open the drawing toolbar's Forecasting and measurement tools group and pick Anchored VWAP under Volume-based.
- Click the anchor bar. The line is drawn from that bar to the latest bar.
- Drag the anchor to test a different starting bar. More on drawings is in drawing tools.
An anchor chosen for you
- Open XAUUSD on 1h and click Indicators.
- Add VWAP Auto Anchored and open Settings.
- Set Anchor Period to Lowest Low and Length to 100. The line starts at the lowest bar of the last 100.
- If a newer lower low appears, the anchor moves and the line is redrawn.
Limits to know
- The indicators need volume. If the feed sends none, they stop with the message "No volume is provided by the data vendor." The drawing behaves differently: a bar with no volume counts as 1, so on a symbol without volume the drawing becomes a plain average of the typical prices from the anchor. For forex and CFDs the volume is the broker's tick volume.
- The drawing has no alerts and a price alert compares price with a fixed number. For an alert on a close crossing the session VWAP, use the script on the VWAP indicator page.
- None of this is a trade signal, and past behaviour around a VWAP does not guarantee future results.
Frequently asked questions
Is a weekly VWAP the same as an anchored VWAP?
Almost, but not quite. The Week anchor starts at the first bar of each week and restarts every week. An anchored VWAP starts at a bar you choose and never restarts.
Which should I use for day trading?
Session VWAP. It is the line most intraday traders mean when they say "VWAP". Add an anchored line when a specific bar, such as the morning's low, looks important.
Can I have a session VWAP and an anchored VWAP on one chart?
Yes. One is an indicator and the other a drawing, so they do not get in each other's way. Give them different colours.
Why did my Auto Anchored line move?
With Highest High, Lowest Low or Highest Volume, the anchor is the extreme bar within the last Length bars. When a new extreme appears, the anchor jumps to it.