Anchored VWAP: How to Calculate and Use It on Stock Charts

What the anchored VWAP is

VWAP, the volume-weighted average price, is the average price paid per share over a period, with every trade counted in proportion to its size. The standard version starts fresh at each session’s open. An anchored VWAP starts at a bar you choose, the anchor, and keeps accumulating every share traded from there to the latest bar. The result is one line on the price chart that answers one question: what was the average price paid by everyone who traded since that event?

The line is measured in dollars per share, like price. Technical analyst Brian Shannon is closely associated with the anchored version and wrote a 2023 book devoted to it.

How to calculate the anchored VWAP

From the anchor onward, multiply each price by the volume traded at that price, add up the products and divide by the total volume. Every new bar adds to both running sums, so with similar volume each additional bar moves the line a little less than the one before.

Anchored VWAP(t) = Σ (Price(i) × Volume(i)) / Σ Volume(i), for every i from the anchor to t
Daily-bar approximation: Price(i) = Typical price = (High + Low + Close) / 3

The anchor bar itself is included. With intraday data you can anchor at a specific minute; with daily bars the whole anchor session counts, including any trading before the event that made it notable.

What it needs: intraday trades or daily bars

An exact anchored VWAP needs the price and size of every trade, or of fine intraday bars, from the anchor forward. A daily bar records only four prices and a total volume, so it cannot say at which prices the session’s shares changed hands. A daily chart can therefore only approximate the line, by treating each session’s volume as if it traded at one representative price, usually the typical price.

The approximation and the exact value drift apart when a session’s volume is concentrated at one end of its range, for example a heavy open after news followed by a quiet afternoon, because the typical price no longer represents where most shares traded. Label daily-bar values as an approximation when you record them.

Worked example: an anchored VWAP from daily bars

The tables follow a hypothetical stock for eight sessions, anchored at session 1. The first table turns each session into a typical price; the second carries the two running sums and divides them. Every value uses the daily-bar approximation.

The line starts at the anchor session’s typical price of $60.40. By session 8 the anchor session still accounts for 23% of the cumulative volume, one reason the line moves slowly: the typical prices of the eight sessions range from $59.90 to $61.60, while the line stays between $60.40 and $60.65.

How to use the anchored VWAP on stock charts

Choose the anchor first and write down why: the line only means something relative to the event that defines it. Common anchors include a major swing high or low, a large gap, the session of an earnings release, the first session of a year or quarter, and a stock’s first trading day.

• Price above the line means the average share bought since the anchor shows a gain at the current price; below it, a loss. That is arithmetic about past trades, not a forecast.
• Watch what happens when price returns to the line. Some traders treat it as a reference level where buyers or sellers may react; whether they do is something to observe on each chart.
• Compare anchors. Lines from a swing high and from a swing low show the average cost of two different groups of traders.
• Re-anchor only for a reason. Moving the anchor until the line fits the chart turns the tool into hindsight.

Anchored VWAP stock chart example

The illustration in this guide anchors the line at a hypothetical swing low that came with heavy volume. During the advance that follows, price holds above the line. When price pulls back, it returns toward the line, and the sideways stretch that follows crosses it several times.

The worked example shows the same behavior on a small scale. The close finished below the line in sessions 3 to 6, by as little as $0.03 in session 6, and above it again in sessions 7 and 8. In a market that moves sideways like this, the side of the line changes often, which is why a single cross says little.

Anchored VWAP limitations in sideways markets

In a sideways market, price oscillates around the anchored VWAP and crosses it repeatedly, so any single cross carries little information. At the same time, the line flattens as cumulative volume grows: after many sessions, one more day of trading barely moves it, and the line responds slowly to a new trend.

• Anchor choice is subjective, and anchors picked after the fact tend to look more meaningful than they were.
• Several anchored lines on one chart can make almost any price look like it is near support or resistance.
• On daily bars the line approximates the true volume-weighted price rather than measuring it.
• Prices and volumes must be adjusted consistently for stock splits, or the sums mix two share counts.
• Like any average of past trades, it does not predict where price goes next.

Data cadence and what TradeClever shows

Session VWAP is an intraday measure that resets every day. Anchored VWAP can be computed on intraday or daily bars; on daily bars it updates once per session. TradeClever does not plot VWAP or anchored VWAP. Its Stock Charts show daily candles, volume and moving averages, which you can use to find candidate anchors, such as a gap session or a swing low, and to read price and volume around them.

For the session-based measure, see the guide to volume-weighted average price. For where volume concentrates by price level rather than by time, see volume profile.