A volume-weighted average that you start from one meaningful point, drawing the average entry price of everyone who has traded since then. Choosing the anchor is choosing whose profit and loss becomes your yardstick.
Anchored VWAP extends the ordinary VWAP so that you can restart the calculation from any point you choose. The technique was popularized by trader Brian Shannon.
A standard VWAP forces a fixed starting point: the open of each session. You only ever see the average entry price from that day's open to its close.
Anchored VWAP removes that constraint. A major low, a major high, the bar of an earnings release, a volume spike, a pivotal news day. You pick one of these points that the market remembers and accumulate the average entry price forward from there.
The result is a single line tracing the average cost of every participant who has traded since the anchor. When price sits above the line, those who bought after the anchor are, on average, in profit. Below it, they are underwater. That sounds simple, but the line between profit and loss governs crowd behavior with surprising force.
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