OPEN-SOURCE SCRIPT
Macro Anchored VWAP Engine
The Anchored VWAP Engine is a mathematical model that tracks the true institutional average price paid for an asset, starting from a specific, user-defined historical event. Unlike standard indicators that rely purely on time, this engine merges price, volume, and volatility into a single structural anchor.1. How the Engine Works Under the HoodThe engine operates on a cumulative looping mechanism that activates the exact moment a chosen historical date occurs on the chart.The Accumulation Trigger: The code ignores all data before your chosen date (e.g., March 23, 2020). When that bar arrives, it starts an open-ended running calculation.The Volume-Weighting Core: For every subsequent candle, it multiplies the typical price \((\frac{\text{High} + \text{Low} + \text{Close}}{3})\) by that candle's trading volume.The Running Totals: It adds this result to a rolling sum of cumulative price-volume and divides it by the total rolling sum of volume.2. The Statistical Dislocation MathThe unique power of the engine lies in its ability to compute true volume-weighted variance. It runs a parallel calculation tracking the square of the price multiplied by volume to extract a clean Standard Deviation (SD) channel.text [Active Market Price] <─── High-Sigma Exhaustion Zone (+3 SD)
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│ (Parabolic Distance)
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[+2 SD Extreme Band] <─── Institutional Liquidity Wall
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│ (Typical Market Range: 95% of all distributions)
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[ANCHOR DATE] ──> [BASE AVWAP LINE] <─── True Institutional Equilibrium (The Mean)
Use code with caution.The Baseline Line: This is the absolute center of gravity. It represents the collective average break-even price of all institutional market participants who entered since the anchor point.The 2-Sigma Channel (\(\pm \)2 SD): This defines the outer boundary of normal market distribution. Statistically, price will trade inside this channel 95% of the time.The 3-Sigma Boundary (\(\pm \)3 SD): This represents a severe mathematical anomaly. When price stretches up to touch this band during a parabolic run, it means the asset is unsustainably overextended relative to its volume foundation.3. Core Advantages Over Traditional IndicatorsCompletely Non-Repainting: The levels lock into historical certainty as the chart moves forward.Immune to Time Dilution: Moving averages fade in relevance as time passes. Anchored VWAP grows structurally stronger as more volume accumulates over years.Identifies True Value: It shows you exactly where institutions will defend their positions during a major correction, rather than guessing based on visual line-drawing.
▲
│ (Parabolic Distance)
▼
[+2 SD Extreme Band] <─── Institutional Liquidity Wall
▲
│ (Typical Market Range: 95% of all distributions)
▼
[ANCHOR DATE] ──> [BASE AVWAP LINE] <─── True Institutional Equilibrium (The Mean)
Use code with caution.The Baseline Line: This is the absolute center of gravity. It represents the collective average break-even price of all institutional market participants who entered since the anchor point.The 2-Sigma Channel (\(\pm \)2 SD): This defines the outer boundary of normal market distribution. Statistically, price will trade inside this channel 95% of the time.The 3-Sigma Boundary (\(\pm \)3 SD): This represents a severe mathematical anomaly. When price stretches up to touch this band during a parabolic run, it means the asset is unsustainably overextended relative to its volume foundation.3. Core Advantages Over Traditional IndicatorsCompletely Non-Repainting: The levels lock into historical certainty as the chart moves forward.Immune to Time Dilution: Moving averages fade in relevance as time passes. Anchored VWAP grows structurally stronger as more volume accumulates over years.Identifies True Value: It shows you exactly where institutions will defend their positions during a major correction, rather than guessing based on visual line-drawing.
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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。