Unlike the standard VWAP, which resets every day and is primarily for day traders, the Anchored VWAP stays attached to a significant catalyst—like an earnings report, a multi-year low, or an IPO—offering a continuous look at supply and demand.
The story of the began when Brian Shannon popularized the idea of "anchoring" the calculation to a specific, significant point in time rather than just the start of the day. The Core Strategy: The Market’s "Psychological Mean" maximum trading gains with anchored vwap pdf
: Using the AVWAP line as a dynamic stop-loss, ensuring you only stay in trades where the volume-weighted trend is in your favor. Visualizing the Strategy Unlike the standard VWAP, which resets every day
$$Anchored VWAP = \frac\sum (Price \times Volume)\sum Volume$$ Unlike the standard VWAP