Simple Anchored VWAP – Institutional Volume Benchmark

Indicators MetaTrader 5 Free

Simple Anchored VWAP for MetaTrader 5

Anchored VWAP (AVWAP) calculates the volume-weighted average price (fair value benchmark) starting from a specific, user-defined point in time rather than an arbitrary midnight session reset.

Popularized by Brian Shannon, Anchored VWAP enables traders to track the true break-even benchmark price of institutional participants from key market catalysts:

  • Major economic news releases (CPI, Non-Farm Payrolls, Rate Decisions)
  • Key swing highs and swing lows
  • Session opens (London, New York, Tokyo)
  • Weekly and Monthly opens

Features

  • Custom Anchor Date/Time: Anchor calculation to any historical date/time.
  • Auto Volume Detection: Automatically detects whether your broker provides Tick Volume (Forex) or Real Volume (Futures, Indices, Stocks, Crypto).
  • Applied Price Flexibility: Calculate based on Typical Price (H+L+C)/3, Close, Median, or Weighted price.
  • Standard Deviation Bands: Optional Upper and Lower volatility bands (+/- 1 SD or custom multiplier) to identify statistical overbought/oversold extremes.
  • Zero Memory Leaks: Fully optimized OnCalculate routine suitable for backtesting and multi-timeframe analysis.

Input Parameters

  • InpAnchorTime: Anchor Date and Time (e.g. 2026.10.01 00:00).
  • InpAppliedPrice: Price source (Default: PRICE_TYPICAL).
  • InpVolumeType: VOL_AUTO (auto-detect), VOL_TICK, or VOL_REAL.
  • InpShowBands: Enable/Disable volatility standard deviation bands.
  • InpBandMultiplier: Standard deviation multiplier (Default: 1.0).

Simple Anchored VWAP Indicator


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