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AetherEdge - Adaptive Anchored VWAP
🖊️ Overview
Anchored VWAP marks the volume-weighted cost basis from an event. AE-VWAP picks the anchor for you and learns whether reclaiming the VWAP actually means something. It auto-anchors at significant swings, conformally calibrates its volume-weighted σ-bands to a target containment, and learns the follow-through probability after price crosses the anchored VWAP.
🔶 Key Features
Auto-anchored VWAP — anchors at significant swings (Session / Manual also available)
Volume-weighted σ-bands — standard-deviation bands weighted by volume
Conformally calibrated bands — no normality assumption; band width k is set to hit a target containment
Learned reclaim edge — follow-through probability after a VWAP reclaim/loss (signal only when the odds back it)
Realized containment — shows how well the bands are calibrated
Reclaim signals + anchor markers + alerts; bar-close training — no repaint
🧠 Technical Architecture
VWAP: the source (hlc3/close/ohlc4) is volume-weighted: vwap = Σ(price·vol)/Σvol, σ = √(Σ vol·price²/Σvol − vwap²). Anchor modes: Auto (pivot confirmation) / Session (daily) / Manual (date).
Bands (conformal calibration): k is set to the (1−α) quantile of the standardized deviation |src−vwap|/σ, matching the target containment empirically. A fixed normal-assumption k tends to under-contain on fat tails — conformal fixes that.
ML (online logistic): at a VWAP reclaim (close × VWAP cross), six side-oriented features (momentum, trend alignment, RSI, σ-band-width regime, volume, anchor age) predict the follow-through probability = P(price continues tpK·ATR in the cross direction before recrossing, within N bars) via a triple barrier. No lookahead.
Honest scope: a volume-weighted mean + conformal calibration + a linear classifier (no RL). Not deep learning, not a guarantee.
⚙️ Recommended Settings & Tuning Guide (crypto 15m–4H)
Key parameters: anchor mode, pivot strength, band width k / conformal calibration, target outside fraction, follow-through (ATR), horizon N, min follow-through probability.
Anchor: "Auto (pivots)" to catch trend origins, "Session" for a daily basis, "Manual" for a specific event
Higher pivot strength anchors only on bigger swings (fewer re-anchors)
Turn on conformal calibration so bands match the real containment (check the containment %)
Follow-through (ATR) defines what counts as success
Best on liquid symbols with reliable volume (major crypto, futures)
💡 How to Use in Practice
Use the anchored VWAP as the institutional cost basis / fair value (above = buyers in control, below = sellers)
Use the σ-bands for overextension/containment; outside the band is statistically unusual
Use reclaim signals (with probability) to filter genuine VWAP-reclaim breaks
If containment drifts from target, reconsider calibration or σ validity
Combine with AE-CVD (flow) or AE-RISK (sizing)
⚠️ Important Notes
Auto-anchoring lags by the pivot confirmation, and the basis shifts on re-anchor
The follow-through forecast is a probability and will miss (reclaims can fail)
Needs a learning period (warmup); learning resets on anchor/timeframe/parameter change
Probability, not a guarantee — always do your own due diligence and use risk management
🚨 Disclaimer
This indicator is for educational and informational purposes only and is not financial advice or a recommendation to buy or sell. No method guarantees future profits; past performance does not indicate future results, and trading carries the risk of loss. All decisions are your own — use proper validation and disciplined risk management.
Anchored VWAP marks the volume-weighted cost basis from an event. AE-VWAP picks the anchor for you and learns whether reclaiming the VWAP actually means something. It auto-anchors at significant swings, conformally calibrates its volume-weighted σ-bands to a target containment, and learns the follow-through probability after price crosses the anchored VWAP.
🔶 Key Features
Auto-anchored VWAP — anchors at significant swings (Session / Manual also available)
Volume-weighted σ-bands — standard-deviation bands weighted by volume
Conformally calibrated bands — no normality assumption; band width k is set to hit a target containment
Learned reclaim edge — follow-through probability after a VWAP reclaim/loss (signal only when the odds back it)
Realized containment — shows how well the bands are calibrated
Reclaim signals + anchor markers + alerts; bar-close training — no repaint
🧠 Technical Architecture
VWAP: the source (hlc3/close/ohlc4) is volume-weighted: vwap = Σ(price·vol)/Σvol, σ = √(Σ vol·price²/Σvol − vwap²). Anchor modes: Auto (pivot confirmation) / Session (daily) / Manual (date).
Bands (conformal calibration): k is set to the (1−α) quantile of the standardized deviation |src−vwap|/σ, matching the target containment empirically. A fixed normal-assumption k tends to under-contain on fat tails — conformal fixes that.
ML (online logistic): at a VWAP reclaim (close × VWAP cross), six side-oriented features (momentum, trend alignment, RSI, σ-band-width regime, volume, anchor age) predict the follow-through probability = P(price continues tpK·ATR in the cross direction before recrossing, within N bars) via a triple barrier. No lookahead.
Honest scope: a volume-weighted mean + conformal calibration + a linear classifier (no RL). Not deep learning, not a guarantee.
⚙️ Recommended Settings & Tuning Guide (crypto 15m–4H)
Key parameters: anchor mode, pivot strength, band width k / conformal calibration, target outside fraction, follow-through (ATR), horizon N, min follow-through probability.
Anchor: "Auto (pivots)" to catch trend origins, "Session" for a daily basis, "Manual" for a specific event
Higher pivot strength anchors only on bigger swings (fewer re-anchors)
Turn on conformal calibration so bands match the real containment (check the containment %)
Follow-through (ATR) defines what counts as success
Best on liquid symbols with reliable volume (major crypto, futures)
💡 How to Use in Practice
Use the anchored VWAP as the institutional cost basis / fair value (above = buyers in control, below = sellers)
Use the σ-bands for overextension/containment; outside the band is statistically unusual
Use reclaim signals (with probability) to filter genuine VWAP-reclaim breaks
If containment drifts from target, reconsider calibration or σ validity
Combine with AE-CVD (flow) or AE-RISK (sizing)
⚠️ Important Notes
Auto-anchoring lags by the pivot confirmation, and the basis shifts on re-anchor
The follow-through forecast is a probability and will miss (reclaims can fail)
Needs a learning period (warmup); learning resets on anchor/timeframe/parameter change
Probability, not a guarantee — always do your own due diligence and use risk management
🚨 Disclaimer
This indicator is for educational and informational purposes only and is not financial advice or a recommendation to buy or sell. No method guarantees future profits; past performance does not indicate future results, and trading carries the risk of loss. All decisions are your own — use proper validation and disciplined risk management.
نص برمجي مفتوح المصدر
بروح TradingView الحقيقية، قام مبتكر هذا النص البرمجي بجعله مفتوح المصدر، بحيث يمكن للمتداولين مراجعة وظائفه والتحقق منها. شكرا للمؤلف! بينما يمكنك استخدامه مجانًا، تذكر أن إعادة نشر الكود يخضع لقواعد الموقع الخاصة بنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.
نص برمجي مفتوح المصدر
بروح TradingView الحقيقية، قام مبتكر هذا النص البرمجي بجعله مفتوح المصدر، بحيث يمكن للمتداولين مراجعة وظائفه والتحقق منها. شكرا للمؤلف! بينما يمكنك استخدامه مجانًا، تذكر أن إعادة نشر الكود يخضع لقواعد الموقع الخاصة بنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.