Anchored VWAP explained: volume-weighted price from a chosen point

By Ken Chigbo, Founder, KenMacro. Published 2026-05-12.

What is anchored VWAP?

Anchored VWAP, popularised by Brian Shannon, is a volume-weighted average price calculated from a user-selected anchor point rather than the session open. Standard session VWAP resets at the daily open and runs through the session close. Anchored VWAP starts at a chosen bar (an earnings release, an FOMC meeting, a swing high or low, the start of a trend) and continues cumulatively, weighted by volume on every subsequent bar. The result is a dynamic line representing the cumulative average cost basis of all volume since the anchor. The line acts as institutional cost basis on shorter timeframes and as a reversion magnet on multi-day to multi-week horizons.

How traders use anchored VWAP

Traders use anchored VWAP for three primary patterns. First, price holding above an anchored VWAP from a structural low signals the move is supported by institutional cost basis; breaks below typically lead to deeper pullbacks. Second, anchored VWAP from an earnings release or FOMC anchor on equities and indices marks the consensus cost basis for the new regime; the line is widely watched by professional traders. Third, confluence of multiple anchored VWAPs (the year-to-date VWAP plus the quarter-start VWAP plus the prior-event VWAP) at a single level produces high-quality support or resistance. The desk uses anchored VWAP from named pivots in its level taxonomy alongside round numbers, prior-day high or low, and supply or demand shelves.

Common misconceptions about anchored VWAP

The first misconception is that anchored VWAP is a magic line. It approximates the cumulative cost basis from the anchor; breaks below do not automatically mean reverse. Like any technical level, anchored VWAP requires structural and macro context. The second is that the standard session VWAP and anchored VWAP are interchangeable. Session VWAP resets daily and is most useful for intraday institutional reference; anchored VWAP is calibrated to a specific event or pivot and runs cumulatively from there. The third is that any anchor point produces a useful VWAP. The anchor must mark a structurally significant pivot (event-driven, swing-driven) for the resulting VWAP to carry institutional weight.

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Frequently asked

What is the best anchor point for VWAP?

The best anchor points for VWAP are structurally significant pivots: prior-day high or low, earnings releases, FOMC meetings, year-to-date open, quarter-start open, or a swing high or low marking a regime change. The anchor must mark a point where market participants meaningfully recalibrated their view, so the resulting VWAP represents true institutional cost basis from the new regime.

Is anchored VWAP better than moving averages?

Anchored VWAP is volume-weighted from a chosen pivot and represents cumulative cost basis from that point. Moving averages are unweighted (SMA) or exponentially weighted (EMA) over a fixed lookback and represent recent average price. The two measure different things. Anchored VWAP carries more institutional weight as a level; moving averages are more useful as trend filters. Many traders run both.

Where can I find anchored VWAP in my charting platform?

Anchored VWAP is built into TradingView (as the Anchored VWAP tool, with user-selectable anchor point), NinjaTrader (via add-on), and ThinkOrSwim (as an indicator). MetaTrader requires a third-party indicator. The standard session VWAP is more widely built-in than the user-anchored variant. The desk uses TradingView for anchored VWAP analysis.

Educational analysis only. Past performance does not guarantee future results. Manage risk against your own portfolio.