Point-and-Click Anchored VWAP for NinjaTrader

Scalp Radar is excited to introduce our first NinjaTrader indicator: Anchored VWAP. Recognizing the need for traders to quickly re-anchor VWAP alongside other indicators, we’ve designed this tool with point-and-click functionality for ease of use. Unlike a drawing tool, this is a fully functional indicator, meaning it integrates seamlessly with alerts, strategies, and other NinjaTrader features.

How Does Anchored VWAP Work?

Anchored VWAP (Volume Weighted Average Price) is a trading indicator that provides a clearer view of price movement by accounting for both volume and price levels.

Unlike standard VWAP, which resets daily, Anchored VWAP allows traders to set an anchor point at any key event, such as earnings, major news releases, or swing highs/lows. This provides a more relevant and customizable analysis tailored to different market conditions.

VWAP and AVWAP help traders understand the average break-even price for buyers over a specific period.

Here’s how Anchored VWAP is calculated:

Where:

• Volume represents the number of shares traded at each price level.
• Price is the price at which trades occurred.

The calculation starts from the anchor point and updates dynamically, providing real-time insights into market activity.

How Do Traders Use Anchored VWAP?

Anchored VWAP is widely used for trend analysis, price action insights, and identifying key levels. Here’s how traders apply it:

1. Trend Identification – Helps confirm trend direction over a given period.
   • Prices above AVWAP suggest bullish momentum.
   • Prices below AVWAP suggest bearish conditions.
2. Price Analysis – Determines whether a stock is overvalued or undervalued relative to its volume-weighted price.
3. Support & Resistance – Prices often gravitate toward the Anchored VWAP line, making it an effective dynamic support/resistance level.
4. Trade Entry & Exit – Helps identify optimal entry/exit points, especially in short-term trading strategies.

You can see an example strategy using Anchored VWAP here.

Institutional traders and funds often use VWAP as a benchmark. If they can buy below the VWAP or sell above it, they achieve a better-than-average price, making AVWAP a key level for institutional trading strategies.

Ready to trade with Anchored VWAP?

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