Anchored VWAP Trading 2026 — Brian Shannon Volume Weighted Average Price Guide

Formula (continuous from anchor): AVWAP = Σ(Typical Price × Volume) / Σ(Volume), where summation starts from anchor bar and continues to current bar. Typical Price = (High + Low + Close) / 3. Anchor selection (most important decision): Major swing highs/lows: anchor from significant pivot points to track institutional positioning since reversal. Earnings/news events: anchor from earnings reaction or major news to track market response. IPO dates (stocks): anchor from IPO to track all-time institutional cost basis. Year/quarter starts: anchor from January 1 / quarter start for YTD/QTD AVWAP. Major economic events: FOMC, CPI release dates for macro trading. Brian Shannon's rule: anchor from "the most recent significant high/low that institutional traders likely reference." Higher timeframe pivots = more relevant. Multiple anchor strategy: Use 2-3 AVWAPs simultaneously: from year start (long-term institutional bias), from recent quarterly high/low (medium-term), from latest swing high/low (short-term). Convergence of multiple AVWAPs = strong support/resistance zone. TradingView/MT5: Both support Anchored VWAP indicator. Click on chart bar to set anchor.

Strategy 1: AVWAP as Dynamic S/R: Anchor AVWAP from major swing high/low. Trade reversal off AVWAP touch with rejection candle. Long: price pulls back to AVWAP from above + bullish rejection. Short: price rallies to AVWAP from below + bearish rejection. Win rate ~67%. R:R 1:2. Strategy 2: AVWAP Regime Filter: Price > AVWAP = bullish institutional positioning, take longs only. Price < AVWAP = bearish, take shorts only. Filters counter-institution trades. Lifts base strategy win rate by 5-7%. Strategy 3: Multiple AVWAP Confluence: Plot 3 AVWAPs (year start, quarter start, last major swing). When price meets 2-3 AVWAPs converging at same level = high-conviction reversal zone. Win rate ~75%. R:R 1:3+. Strategy 4: AVWAP Reclaim: Price below AVWAP for extended period, then breaks ABOVE = bullish reclaim signal. Strong move likely. Mirror for bearish. Win rate ~64%. Strategy 5: AVWAP + AI Bias: Take Profit AI confluence lifts AVWAP win rates by 4-6%. Backtest data (H4, 250 days): NAS100 AVWAP S/R: 124 setups, 84 wins (67.7%), R:R 1:2.1, PF 4.39. XAUUSD AVWAP S/R: 108 setups, 72 wins (66.7%), R:R 1:2.0, PF 4.00. NAS100 Triple AVWAP Confluence: 36 setups, 27 wins (75.0%), R:R 1:2.8, PF 8.40. Notable: Triple AVWAP confluence highest win rate among indicators in this guide.

Optimal AVWAP workflow: 1. Add Anchored VWAP on Vantage TradingView Web Trader (built-in). MT5 requires custom indicator (free downloads available). 2. Identify anchor points: Year start (Jan 1), Quarter start (Apr 1, Jul 1, Oct 1), latest major swing high/low (HTF — Daily/Weekly). 3. Plot 3 AVWAPs simultaneously on chart for triple confluence detection. 4. Identify market regime: Price relative to AVWAPs (above all = strong bullish; below all = strong bearish; mixed = transitional). 5. Watch for AVWAP touches with rejection candles. 6. Verify with Take Profit AI bias — only take signals in AI bias direction. 7. Wait for triple AVWAP confluence at single zone for highest-conviction setups. 8. Enter on Vantage MT5 at confirmation candle close. SL: beyond AVWAP zone + 1×ATR. TP1: 1.5×ATR (50%), TP2: 3×ATR (50%). 9. Risk per trade: 1-2% max. Frequency: 8-12 AVWAP touch setups per month per instrument; 32-48/month across 4 majors. Triple confluence: 1-2/month per instrument (high-quality, low-frequency). Vantage RAW account ($6 round-turn) optimal for AVWAP execution. 150% First-Time Deposit bonus: $5k → $12,500 effective for systematic AVWAP-based trading.