OPEN-SOURCE SCRIPT
Actualizado Anchored VWAP Confluence Volume-Weighted Bands & MTF Levels
ANCHORED VWAP CONFLUENCE — Decayed Line, Volume-Weighted Bands & MTF Levels
OVERVIEW
This is an anchored-VWAP framework that turns a single VWAP line into a complete fair-value workspace. It plots an anchored VWAP, a faster "decayed" VWAP, a rolling VWAP, proper volume-weighted standard-deviation bands, higher-timeframe VWAP levels that act as support and resistance, and a regime read — and it calibrates its own signals against the symbol's own past so you can see how often they actually followed through. Everything is derived from one idea (volume-weighted price) so the components reinforce each other rather than competing for screen space.
WHY THESE COMPONENTS ARE COMBINED (and how they work together)
A plain VWAP tells you fair value but nothing about momentum, dispersion, higher-timeframe structure, or reliability. Each component here answers a different one of those questions, and they are meant to be read together as one picture:
- ANCHORED VWAP is the reference: fair value accumulated since a chosen event (the session, a swing pivot, or a manual click). Every other element is measured relative to this line, which is why it sits at the centre of the engine rather than being one more overlay.
- DECAYED FAST VWAP is the same VWAP with an exponential half-life applied to its volume weights, so it responds faster to recent flow. On its own a fast line is just noise; paired with the anchored line it becomes a momentum signal — when the fast line crosses the slow line, near-term flow has shifted relative to fair value. This is a fast/slow pair built from a single construct, not two unrelated indicators.
- VOLUME-WEIGHTED SIGMA BANDS measure dispersion around fair value. They are computed from the running second moment (sigma = square root of E[x^2] - (E[x])^2), volume-weighted and reset-aware, not a price-only standard deviation slapped onto the VWAP. Because the bands scale with volume-weighted dispersion, "stretched" means the same thing on any instrument and in any regime — which is what lets the cross and stretch signals be compared and calibrated across assets.
- ROLLING VWAP provides a second, independent cross of the anchored line, so a shift confirmed by both the decayed and the rolling line carries more weight than either alone.
- MULTI-TIMEFRAME VWAP LEVELS are the rolling VWAP computed at 3x, 5x and 15x the chart timeframe and drawn as horizontal levels. Higher-timeframe fair value is where larger participants transact, so these levels frequently act as support and resistance. They are coloured by role — green when a level sits below price (support), red when above (resistance) — and weighted by horizon, so the longer-timeframe level is visually the heaviest.
- REGIME + CALIBRATION are the quality layer. An efficiency-ratio and ADX read classifies the market as trending, mixed or choppy, and (optionally) filters the cross signals so they are not taken in chop. Separately, the script tracks, past-only, how often a cross was followed by a move and how often a stretch reverted toward fair value, reporting each as a percentage with a confidence interval. This is what separates a measured framework from a drawing tool: the signals are scored against the instrument's own history.
Read together: the anchored VWAP gives you fair value, the bands tell you how stretched price is, the decayed/rolling crosses tell you when flow shifts, the higher-timeframe levels tell you the structure price is moving inside, the regime tells you whether to trust a signal, and the calibration tells you how those signals have behaved here before.
HOW TO USE IT
1. Pick an anchor mode in settings — Session, Pivot High, Pivot Low, or Manual (click a bar). The anchored VWAP and its bands rebuild from that point.
2. Use the trend-coloured anchored VWAP as fair value. Price above it is in the upper half of value, below it the lower half.
3. Watch the decayed line crossing the anchored line (triangles) as a momentum-shift cue, and treat crosses that occur in a non-choppy regime as higher quality (the regime filter does this for you when enabled).
4. Treat the +/- sigma stretches (circles) as extension — price is far from fair value and historically prone to revert; the table shows how often that has happened on this symbol.
5. Use the 3x/5x/15x VWAP levels as support/resistance targets and invalidation references; alignment of price above or below all three is shown compactly in the table.
6. Read the table for direction, extension (as a z-score), regime, higher-timeframe alignment, and the past-only follow-through rates.
WHAT MAKES IT ORIGINAL
It is not a single-line VWAP or a generic band script. The combination is the point: a decayed fast/slow VWAP pair, a correct volume-weighted sigma from the running second moment, multi-timeframe VWAP support/resistance, regime-gated signals, and a per-symbol calibration of both the cross and the stretch. The calibration in particular — measuring the script's own signals against the symbol's own past rather than assuming they work — is not something a standard VWAP provides.
WORKS ON ANY ASSET (universal)
The price SOURCE is selectable in the settings, so the engine runs on any market — futures, indices, FX, crypto, or stocks. VWAP requires volume; on symbols that report none, you can borrow volume from a reference symbol so the script still functions. All thresholds are sigma- and ATR-relative, so nothing is tied to one instrument's price scale.
SETTINGS SUMMARY
- Data Source: price source (default HLC3) and an optional volume-borrow symbol for no-volume instruments.
- Anchor & Lines: anchor mode, pivot length, manual anchor time, decay half-life, rolling window, slope smoothing.
- Signals & Regime: stretch threshold (in sigma), and an option to show crosses only in a non-choppy regime.
- Higher-Timeframe VWAP: show the 3x/5x/15x bias, and draw them as support/resistance levels.
- Calibration: enable tracking, evaluation horizon, and minimum follow-through in ATR.
- Visuals: Auto/Dark/Light theme, bull/bear colours, gradient fill, line glow, table, and table position.
The script also prints its name, the symbol and the timeframe on the chart so it is always clear what is being viewed.
LIMITATIONS (please read)
- Pivot anchors confirm only after the pivot length in bars, so a new pivot anchor appears with that delay (it is always drawn at its true historical bar).
- The higher-timeframe levels are live VWAPs and firm up as their higher-timeframe bar closes.
- Calibration is descriptive of past behaviour only and is not a forecast.
- Everything here is probabilistic context, not a prediction or a guarantee.
DISCLAIMER
This is a study / indicator for chart analysis and education only. It is NOT a strategy, NOT a recommendation, and NOT financial advice. It places no orders and guarantees no outcome. Trading involves risk. Do your own research and manage your own risk.
OVERVIEW
This is an anchored-VWAP framework that turns a single VWAP line into a complete fair-value workspace. It plots an anchored VWAP, a faster "decayed" VWAP, a rolling VWAP, proper volume-weighted standard-deviation bands, higher-timeframe VWAP levels that act as support and resistance, and a regime read — and it calibrates its own signals against the symbol's own past so you can see how often they actually followed through. Everything is derived from one idea (volume-weighted price) so the components reinforce each other rather than competing for screen space.
WHY THESE COMPONENTS ARE COMBINED (and how they work together)
A plain VWAP tells you fair value but nothing about momentum, dispersion, higher-timeframe structure, or reliability. Each component here answers a different one of those questions, and they are meant to be read together as one picture:
- ANCHORED VWAP is the reference: fair value accumulated since a chosen event (the session, a swing pivot, or a manual click). Every other element is measured relative to this line, which is why it sits at the centre of the engine rather than being one more overlay.
- DECAYED FAST VWAP is the same VWAP with an exponential half-life applied to its volume weights, so it responds faster to recent flow. On its own a fast line is just noise; paired with the anchored line it becomes a momentum signal — when the fast line crosses the slow line, near-term flow has shifted relative to fair value. This is a fast/slow pair built from a single construct, not two unrelated indicators.
- VOLUME-WEIGHTED SIGMA BANDS measure dispersion around fair value. They are computed from the running second moment (sigma = square root of E[x^2] - (E[x])^2), volume-weighted and reset-aware, not a price-only standard deviation slapped onto the VWAP. Because the bands scale with volume-weighted dispersion, "stretched" means the same thing on any instrument and in any regime — which is what lets the cross and stretch signals be compared and calibrated across assets.
- ROLLING VWAP provides a second, independent cross of the anchored line, so a shift confirmed by both the decayed and the rolling line carries more weight than either alone.
- MULTI-TIMEFRAME VWAP LEVELS are the rolling VWAP computed at 3x, 5x and 15x the chart timeframe and drawn as horizontal levels. Higher-timeframe fair value is where larger participants transact, so these levels frequently act as support and resistance. They are coloured by role — green when a level sits below price (support), red when above (resistance) — and weighted by horizon, so the longer-timeframe level is visually the heaviest.
- REGIME + CALIBRATION are the quality layer. An efficiency-ratio and ADX read classifies the market as trending, mixed or choppy, and (optionally) filters the cross signals so they are not taken in chop. Separately, the script tracks, past-only, how often a cross was followed by a move and how often a stretch reverted toward fair value, reporting each as a percentage with a confidence interval. This is what separates a measured framework from a drawing tool: the signals are scored against the instrument's own history.
Read together: the anchored VWAP gives you fair value, the bands tell you how stretched price is, the decayed/rolling crosses tell you when flow shifts, the higher-timeframe levels tell you the structure price is moving inside, the regime tells you whether to trust a signal, and the calibration tells you how those signals have behaved here before.
HOW TO USE IT
1. Pick an anchor mode in settings — Session, Pivot High, Pivot Low, or Manual (click a bar). The anchored VWAP and its bands rebuild from that point.
2. Use the trend-coloured anchored VWAP as fair value. Price above it is in the upper half of value, below it the lower half.
3. Watch the decayed line crossing the anchored line (triangles) as a momentum-shift cue, and treat crosses that occur in a non-choppy regime as higher quality (the regime filter does this for you when enabled).
4. Treat the +/- sigma stretches (circles) as extension — price is far from fair value and historically prone to revert; the table shows how often that has happened on this symbol.
5. Use the 3x/5x/15x VWAP levels as support/resistance targets and invalidation references; alignment of price above or below all three is shown compactly in the table.
6. Read the table for direction, extension (as a z-score), regime, higher-timeframe alignment, and the past-only follow-through rates.
WHAT MAKES IT ORIGINAL
It is not a single-line VWAP or a generic band script. The combination is the point: a decayed fast/slow VWAP pair, a correct volume-weighted sigma from the running second moment, multi-timeframe VWAP support/resistance, regime-gated signals, and a per-symbol calibration of both the cross and the stretch. The calibration in particular — measuring the script's own signals against the symbol's own past rather than assuming they work — is not something a standard VWAP provides.
WORKS ON ANY ASSET (universal)
The price SOURCE is selectable in the settings, so the engine runs on any market — futures, indices, FX, crypto, or stocks. VWAP requires volume; on symbols that report none, you can borrow volume from a reference symbol so the script still functions. All thresholds are sigma- and ATR-relative, so nothing is tied to one instrument's price scale.
SETTINGS SUMMARY
- Data Source: price source (default HLC3) and an optional volume-borrow symbol for no-volume instruments.
- Anchor & Lines: anchor mode, pivot length, manual anchor time, decay half-life, rolling window, slope smoothing.
- Signals & Regime: stretch threshold (in sigma), and an option to show crosses only in a non-choppy regime.
- Higher-Timeframe VWAP: show the 3x/5x/15x bias, and draw them as support/resistance levels.
- Calibration: enable tracking, evaluation horizon, and minimum follow-through in ATR.
- Visuals: Auto/Dark/Light theme, bull/bear colours, gradient fill, line glow, table, and table position.
The script also prints its name, the symbol and the timeframe on the chart so it is always clear what is being viewed.
LIMITATIONS (please read)
- Pivot anchors confirm only after the pivot length in bars, so a new pivot anchor appears with that delay (it is always drawn at its true historical bar).
- The higher-timeframe levels are live VWAPs and firm up as their higher-timeframe bar closes.
- Calibration is descriptive of past behaviour only and is not a forecast.
- Everything here is probabilistic context, not a prediction or a guarantee.
DISCLAIMER
This is a study / indicator for chart analysis and education only. It is NOT a strategy, NOT a recommendation, and NOT financial advice. It places no orders and guarantees no outcome. Trading involves risk. Do your own research and manage your own risk.
Notas de prensa
v2.0 — Adaptive auto-anchoring + refreshed visualsAnchoring is now fully automatic — no more click-to-place setup. Add the script and it anchors itself.
• New anchor modes: Dual (auto) (default), Swing Low, Swing High, Rolling. Dual anchors to the more recent significant swing and re-anchors as new structure forms. If no pivot has formed yet, it falls back to a rolling VWAP so the channel never blanks out.
• Removed the manual click-anchor and its on-add prompt. Note: a manual anchor set in the previous version no longer applies — the script self-anchors, no action needed.
• Swing anchors accumulate forward from the pivot (reseeded to the true pivot bar), preserving precision on long histories.
• Refreshed colour scheme: teal/magenta direction, orange decayed line, blue rolling line, amber stretch markers, dark panel. All colours remain editable in Settings.
All analytics are unchanged — decayed×anchored cross, volume-weighted σ bands, 3×/5×/15× VWAP support/resistance levels, regime filter, and the past-only follow-through calibration.
Notas de prensa
Minor ChangeScript de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.