AVWAP Sextant
Anchored VWAP bands get touched far less often than most traders expect, and most AVWAP tools never explain why. The AVWAP Sextant is built around that explanation. It works like a navigator's sextant, which returns an angle without caring what the navigator hoped to see: you sight a bar by hand, and the instrument measures forward from it without signals, alerts or opinions.
The Sextant is a supplementary tool rather than a trading system. It is designed to be laid over your own setups and techniques, so you can test whether a level you already trust coincides with the anchored crowd's actual cost and dispersion, and to manage trades already in progress. It confirms, questions and frames decisions you make by other means, and it never makes one for you.
Read to the end and you will be able to look at any band and ask the question a sigma reading actually answers, namely what share of the anchored crowd has traded as far from its cost as price sits at the moment.
What the Sextant Draws
The anchor is one time input. You click the bar where you judge the measurement should begin (a gap, a policy print, a swing extreme, a session open or your own entry), and you drag it to re-sight. Nothing renders to the left of the anchor. Everything the instrument draws is arithmetic on three running sums of volume, price times volume and squared price times volume, all starting at that bar.
Four families of line hang from the anchor, and all four are on by default. The AVWAP is the anchored crowd's break-even, color-coded as either rising, flat or falling by its own slope, measured in the chart's average range per bar so one threshold serves young anchors and old ones alike. A golden envelope sits 1.618 sigma above and below it, always both rails. An exhaustion ribbon fills the space between 2.718 sigma (Euler's number, ) and 3.0 sigma, drawn only on the side of the AVWAP that price occupies.
The fourth family is a pair of 21-bar averages, one simple and one exponential, seeded at the anchor so neither knows any history before it. They share a length and differ only in weighting, so their fill changes color when recent prices stop agreeing with the window as a whole. An optional information table stays off by default, and the Data Window carries every value for traders who prefer numbers to pixels.
The instrument has boundaries worth knowing. It forecasts on the hourly chart and faster; above the hourly clock it still draws, under a notice marking the reading as retrospective. Sigma is tiny in the first bars after an anchor, so the rails mean little until history accumulates, and the same anchor reads slightly differently on each timeframe because slower bars compress the movement inside them. On feeds without volume the weighting collapses and the AVWAP becomes an ordinary average. An anchor outside the loaded history draws nothing and posts a notice rather than borrowing a nearby origin.
The anchor is a nail driven into a wall before any picture is hung, and no amount of careful hanging corrects a nail placed in the wrong stud.
Why Price So Rarely Touches the Ribbon
The golden coefficient is not decoration. In a steady trend with even volume since the anchor, prices spread uniformly and the current price sits the square root of three sigma from the AVWAP, roughly 1.73. A trend moving at an even pace therefore lives just beyond the golden rail, and a price holding near that rail describes a move proceeding at its natural speed.
Sigma also translates into participation. Suppose a market built a base, jumped, and a fraction p of anchored volume has since traded at the new level; that level then sits at the square root of (1 − p) / p sigma from the AVWAP. The golden rail corresponds to roughly 28 percent of anchored volume, the inner ribbon line to roughly 12 percent, and the outer line to roughly 10 percent. A sigma reading is a census rather than a ruler.
The ribbon behaves like a rainbow that retreats as you walk toward it. A move large enough to reach 2.718 sigma usually arrives on heavy volume, and that volume trades far from the mean, so it inflates sigma in the same bar that carries price outward. Only a displacement on thin volume can close the distance, which is why contact is rare and meaningful when it happens. Young anchors seldom see it, since a single spike is a large share of a few hours of history, while multi-day anchors can.
Two Primary Uses: Analysis and Trade Management
The first use is structural analysis. Sight the Sextant on an event you consider an origin, then read four things in order: the AVWAP's color, which shows where new volume is being accepted against the crowd's cost; price's position against the golden rail, which shows whether the move runs at an even pace; the ribbon's slope, which shows whether the trend's reach is still advancing; and the moving-average fill, which shows whether recent prices agree with the window. Compare each reading against your own levels and setups, and give weight to the places where the two independent methods agree.
The second use is managing a trade in progress. Drop the anchor on your entry bar, and the AVWAP becomes the cost basis of everyone who entered alongside you. The golden rail then reads as the pace limit of the move you hold, the ribbon as the zone where participation thins and partial exits deserve consideration, and a confirmed close back through the AVWAP as the moment the crowd you joined went under water.
A second Sextant anchored at the opposite extreme of the same move turns the pair into a vise, since a falling AVWAP above a rising one means two cost bases are closing on price. In either use the Sextant behaves like a second witness in a courtroom, and its testimony carries weight precisely because it was gathered independently of yours.
Reading the Gold Chart Above
The chart shows gold on the 15-minute clock. The anchor sits on the October 7 low, labeled 4,066.535. The AVWAP climbs from that bar in its rising color, and the lower golden rail flattens far beneath price, which says the anchored crowd spent nearly the entire move in profit.
Next, watch the ribbon. Through October 8 it runs almost flat while price chops, a stalled reach, and its gaps mark bars where the side changed. The lone purple fragment beneath the AVWAP late that morning is a one-bar failed crossing, a close below the break-even that the next bar reversed.
Once the advance resumes, the ribbon lifts in price's direction, and price finally reaches it on the way into the session high labeled 4,207.485. In the final hours the ribbon keeps climbing while price flattens, and a ribbon rising away from a stalling price reports widening dispersion rather than advancing reach. The moving-average fill trades colors at the same time, as recent prices stop agreeing with the window.
The ribbon is a tide line on a beach, and its height matters less than whether each wave still leaves its mark higher up the sand.
The Instrument Grades the Hand
A Sextant cannot be wrong. Every number it prints is exact arithmetic on the trades since the bar you chose, so when a fix fails, the failure belongs to the anchor.
That fact turns the usual test of an indicator inside out. Most scripts are judged by whether their signals worked, and this one has no signals to judge. What it measures instead is the person who sighted it, and the rails become a report card stapled to every click.
Keep a journal of anchors beside outcomes, alongside the setups they were meant to confirm. Over enough entries it will show which events you correctly recognized as origins, which of your own techniques the anchored crowd tends to agree with, and whether the hand that clicks the chart has learned anything at all.
The script is open source, contains no alert conditions or strategy logic, and is published for discretionary analysis and education rather than as financial advice.
The Sextant is a supplementary tool rather than a trading system. It is designed to be laid over your own setups and techniques, so you can test whether a level you already trust coincides with the anchored crowd's actual cost and dispersion, and to manage trades already in progress. It confirms, questions and frames decisions you make by other means, and it never makes one for you.
Read to the end and you will be able to look at any band and ask the question a sigma reading actually answers, namely what share of the anchored crowd has traded as far from its cost as price sits at the moment.
What the Sextant Draws
The anchor is one time input. You click the bar where you judge the measurement should begin (a gap, a policy print, a swing extreme, a session open or your own entry), and you drag it to re-sight. Nothing renders to the left of the anchor. Everything the instrument draws is arithmetic on three running sums of volume, price times volume and squared price times volume, all starting at that bar.
Four families of line hang from the anchor, and all four are on by default. The AVWAP is the anchored crowd's break-even, color-coded as either rising, flat or falling by its own slope, measured in the chart's average range per bar so one threshold serves young anchors and old ones alike. A golden envelope sits 1.618 sigma above and below it, always both rails. An exhaustion ribbon fills the space between 2.718 sigma (Euler's number, ) and 3.0 sigma, drawn only on the side of the AVWAP that price occupies.
The fourth family is a pair of 21-bar averages, one simple and one exponential, seeded at the anchor so neither knows any history before it. They share a length and differ only in weighting, so their fill changes color when recent prices stop agreeing with the window as a whole. An optional information table stays off by default, and the Data Window carries every value for traders who prefer numbers to pixels.
The instrument has boundaries worth knowing. It forecasts on the hourly chart and faster; above the hourly clock it still draws, under a notice marking the reading as retrospective. Sigma is tiny in the first bars after an anchor, so the rails mean little until history accumulates, and the same anchor reads slightly differently on each timeframe because slower bars compress the movement inside them. On feeds without volume the weighting collapses and the AVWAP becomes an ordinary average. An anchor outside the loaded history draws nothing and posts a notice rather than borrowing a nearby origin.
The anchor is a nail driven into a wall before any picture is hung, and no amount of careful hanging corrects a nail placed in the wrong stud.
Why Price So Rarely Touches the Ribbon
The golden coefficient is not decoration. In a steady trend with even volume since the anchor, prices spread uniformly and the current price sits the square root of three sigma from the AVWAP, roughly 1.73. A trend moving at an even pace therefore lives just beyond the golden rail, and a price holding near that rail describes a move proceeding at its natural speed.
Sigma also translates into participation. Suppose a market built a base, jumped, and a fraction p of anchored volume has since traded at the new level; that level then sits at the square root of (1 − p) / p sigma from the AVWAP. The golden rail corresponds to roughly 28 percent of anchored volume, the inner ribbon line to roughly 12 percent, and the outer line to roughly 10 percent. A sigma reading is a census rather than a ruler.
The ribbon behaves like a rainbow that retreats as you walk toward it. A move large enough to reach 2.718 sigma usually arrives on heavy volume, and that volume trades far from the mean, so it inflates sigma in the same bar that carries price outward. Only a displacement on thin volume can close the distance, which is why contact is rare and meaningful when it happens. Young anchors seldom see it, since a single spike is a large share of a few hours of history, while multi-day anchors can.
Two Primary Uses: Analysis and Trade Management
The first use is structural analysis. Sight the Sextant on an event you consider an origin, then read four things in order: the AVWAP's color, which shows where new volume is being accepted against the crowd's cost; price's position against the golden rail, which shows whether the move runs at an even pace; the ribbon's slope, which shows whether the trend's reach is still advancing; and the moving-average fill, which shows whether recent prices agree with the window. Compare each reading against your own levels and setups, and give weight to the places where the two independent methods agree.
The second use is managing a trade in progress. Drop the anchor on your entry bar, and the AVWAP becomes the cost basis of everyone who entered alongside you. The golden rail then reads as the pace limit of the move you hold, the ribbon as the zone where participation thins and partial exits deserve consideration, and a confirmed close back through the AVWAP as the moment the crowd you joined went under water.
A second Sextant anchored at the opposite extreme of the same move turns the pair into a vise, since a falling AVWAP above a rising one means two cost bases are closing on price. In either use the Sextant behaves like a second witness in a courtroom, and its testimony carries weight precisely because it was gathered independently of yours.
Reading the Gold Chart Above
The chart shows gold on the 15-minute clock. The anchor sits on the October 7 low, labeled 4,066.535. The AVWAP climbs from that bar in its rising color, and the lower golden rail flattens far beneath price, which says the anchored crowd spent nearly the entire move in profit.
Next, watch the ribbon. Through October 8 it runs almost flat while price chops, a stalled reach, and its gaps mark bars where the side changed. The lone purple fragment beneath the AVWAP late that morning is a one-bar failed crossing, a close below the break-even that the next bar reversed.
Once the advance resumes, the ribbon lifts in price's direction, and price finally reaches it on the way into the session high labeled 4,207.485. In the final hours the ribbon keeps climbing while price flattens, and a ribbon rising away from a stalling price reports widening dispersion rather than advancing reach. The moving-average fill trades colors at the same time, as recent prices stop agreeing with the window.
The ribbon is a tide line on a beach, and its height matters less than whether each wave still leaves its mark higher up the sand.
The Instrument Grades the Hand
A Sextant cannot be wrong. Every number it prints is exact arithmetic on the trades since the bar you chose, so when a fix fails, the failure belongs to the anchor.
That fact turns the usual test of an indicator inside out. Most scripts are judged by whether their signals worked, and this one has no signals to judge. What it measures instead is the person who sighted it, and the rails become a report card stapled to every click.
Keep a journal of anchors beside outcomes, alongside the setups they were meant to confirm. Over enough entries it will show which events you correctly recognized as origins, which of your own techniques the anchored crowd tends to agree with, and whether the hand that clicks the chart has learned anything at all.
The script is open source, contains no alert conditions or strategy logic, and is published for discretionary analysis and education rather than as financial advice.
adrian dyer
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
adrian dyer
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。