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Anchored VWAP Pullback & Target Zones [PhenLabs]

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🎯 Overview

Anchored VWAP Pullback & Target Zones [PhenLabs] is an institutional trend-pullback and trade-execution engine built on Pine Script v6. It solves the three biggest problems traders face when trading Anchored VWAP (AVWAP) on intraday and swing charts:
  1. Manual Re-Anchoring Fatigue: Traditional AVWAP tools require you to manually click new swing highs and lows after every structural break. This engine automatically detects confirmed Break of Structure (BOS) impulses and re-anchors a dual-moment volume/activity-weighted VWAP directly to the impulse origin pivot—where institutional accumulation or distribution actually started.
  2. Sideways Chop Bleed Around Flat VWAP: Most VWAP pullback scripts fire signals whenever price touches a band, bleeding R-multiples when the anchor leg flattens into sideways consolidation. Before any pullback can arm, the engine requires the active impulse leg to pass a Kaufman Efficiency Ratio (ER) trend-efficiency gate and directional slope check, suppressing low-efficiency chop and marking rejected touches with optional `SKIP` audit diamonds.
  3. Guessing Stops & Exit Targets: Touching an AVWAP band is not an execution plan. Once price pulls back into the ±kσ institutional value zone and closes back across the band in trend direction, the indicator draws a complete, non-repainting trade plan with an Entry line, Stop Loss zone (auto-ratcheting to Break-Even after TP1), and TP1 / TP2 / TP3 target ladder anchored to the impulse swing high/low liquidity magnet and exact R-multiples.


Whether you trade index futures (NQ, ES, MNQ), FX majors, Gold (XAUUSD), crypto perps, or liquid equities, Anchored VWAP Pullback & Target Zones [PhenLabs] turns raw volume-weighted value bands into an objective, self-auditing pullback playbook.


🧠 How It Works — 4-Stage Non-Repainting State Machine

Every signal and trade plan is governed by a deterministic 4-stage state machine (`IDLE -> IMPULSE_ANCHORED -> PULLBACK_IN_ZONE -> RECLAIM_CONFIRMED`):

  1. Stage 1 — Structural Impulse & Auto-Anchor (`IMPULSE_ANCHORED`):
    The engine tracks confirmed swing highs and swing lows over your chosen Structural Swing Pivot Length. When a candle closes beyond the active swing high with body expansion (Bullish BOS) or below the active swing low (Bearish BOS), the engine automatically anchors a fresh AVWAP to the exact bar and price of the originating opposite pivot (the lowest low before a bullish breakout or highest high before a bearish breakdown). You can also switch the anchor mode to Higher-Timeframe / Daily Session Open or Rolling Institutional Window.
  2. Stage 2 — Value-Zone Pullback Detection (`PULLBACK_IN_ZONE`):
    As the anchored impulse develops, the engine computes the continuous volume-weighted mean (AVWAP) and standard deviation dispersion (σ), plotting the core AVWAP spine, the inner ±kσ Pullback Value Band, and the outer ±mσ Exhaustion Envelope. When price pulls back into the active value band (testing between AVWAP + kσ and AVWAP - mσ in a bullish regime, or the mirrored zone in a bearish regime), the engine arms the pullback tracker and records the deepest pullback excursion without firing premature intrabar alerts.
  3. Stage 3 — Chop Filter & Reclaim Confirmation (`RECLAIM_CONFIRMED`):
    When a candle closes back out of the value band in the direction of the impulse with positive candle-body conviction, the engine evaluates its multi-factor quality gate:
    • Directional Trend Efficiency (ER): Verifies that net displacement from the anchor pivot divided by cumulative path length exceeds the profile’s minimum efficiency threshold, filtering out whipsaw ranges.
    • AVWAP Slope Alignment: Confirms the anchored VWAP spine is actively sloping in the trade direction or holding structural displacement.
    • Composite Pullback Quality Score (0–100%): Combines trend efficiency (40% weight), candle-body reclaim conviction (35% weight), and relative volume/range participation (25% weight).
    • Transparent Audit: Setups that pass all gates trigger a confirmed `AVPT LONG` or `AVPT SHORT` trade plan. Setups that fail the efficiency, quality, or participation gate are suppressed and optionally marked with a `SKIP` diamond showing the exact rejection reason (e.g., `SKIP 19%EFF`).
  4. Stage 4 — Full Trade Plan & Auto Break-Even Ratchet:
    Upon confirmation, the indicator locks in the Entry at the reclaim close, places the initial Stop Loss beyond the deepest pullback wick or outer σ band (buffered by ATR and enforced against a minimum ATR floor), and projects TP1, TP2, and TP3. When TP1 is reached, the active stop automatically ratchets to the entry price (Break-Even) to protect capital while tracking runner progression to TP2 and TP3.



⚙️ Under the Hood — Mathematical Formulation

1. Cross-Asset Activity Weight & Anchored Moments
To guarantee identical mathematical rigor on Tick/Volume futures, Spot Crypto, and CFD/Forex pairs where volume may be sparse, each bar since the anchor index t0 is weighted by volume (or normalized true-range activity w_i = TR_i / ATR_14 when volume is unavailable):
Pine Script®

During the initial bars immediately following a fresh anchor reset, σ blends smoothly with local ATR so the value zone never collapses to zero width on bar 1 of a new impulse.

2. Anchor-Leg Kaufman Efficiency Ratio (Chop Suppression)
Let P_0 be the anchor origin price and P_t be the current close. The cumulative path length along the anchor leg is the sum of absolute bar-to-bar close changes since the anchor bar. Trend efficiency is defined as:
Pine Script®

High ER_pct values indicate clean institutional directional imbalance; low ER_pct values diagnose overlapping mean-reverting chop.

3. Independent 7-Profile Tournament Ledger (Auto-Optimization)
Instead of evaluating only the currently displayed preset, the script runs 7 independent UDT state-machine ledgers in parallel on every bar:
  • Profile 0 — Balanced: 1.0σ value band · 26% min efficiency · 52% min quality score
  • Profile 1 — Conservative: 0.8σ value band · 35% min efficiency · 64% min quality score
  • Profile 2 — Aggressive: 1.25σ value band · 18% min efficiency · 42% min quality score
  • Profile 3 — Shallow Pullback: 0.65σ tight institutional band · 30% min efficiency · 58% min quality
  • Profile 4 — Deep Value Reclaim: 1.45σ deep discount/premium band · 22% min efficiency · 50% min quality
  • Profile 5 — Volume Climax: 1.0σ band + 1.25x relative volume/activity surge requirement
  • Profile 6 — Custom Thresholds: Driven directly by your custom σ multiplier and minimum efficiency inputs

When Pullback Filter Profile is set to `Auto-Optimize (Best Chart Win Rate)`, the engine continuously ranks Profiles 0–5 by shrunk empirical win rate and cumulative realized R-multiples on the active chart and timeframe, automatically binding your chart visuals and alerts to the strongest-performing profile.


📊 Visual Walkthrough & Telemetry Dashboard

  • Core AVWAP Spine & Value Zone Cloud: The central anchored VWAP line shifts color with structural bias (Teal in Bullish Impulse, Coral Red in Bearish Impulse, Slate in Neutral/Range) and is surrounded by a shaded ±kσ value cloud and dotted outer exhaustion envelope.
  • Anchor Origin Badge: Marks the exact pivot bar and price where the current structural impulse originated (`⚓ BULL AVWAP` or `⚓ BEAR AVWAP`).
  • Pullback Zone & Trade Plan Projections: Displays the shaded pullback test window alongside crisp horizontal `ENTRY`, `SL` (or `SL (BE)`), `TP1`, `TP2`, and `TP3` levels with exact prices, R-multiples, and `MAG` badges when a target snaps to the prior impulse high/low liquidity pool.
  • 9-Row Glassmorphic Telemetry Table: Displays real-time Anchor Bias & Origin, AVWAP Price & ±1σ Dispersion, Trend Efficiency & Active Value Band, Active Filter Profile (Auto vs. Manual), Resolved Win Rate (with TP1 / TP2 / TP3 hit breakdown), Cumulative Net R & Average R/Trade, Active Trade Plan status, Last Reclaim Quality Score, and Next Action guidance.



🛠️ Input Guide (14 Streamlined Controls Across 4 Groups)

Group 1 — Structural Anchor & AVWAP Value Band
  • Anchor Origin Mode: Choose `Auto Structural Impulse (BOS Pivot)` (default), `Higher-Timeframe / Session Open`, or `Rolling Institutional Window`.
  • Structural Swing Pivot Length: Lookback/lookforward bars used to confirm structural swing highs and lows (default `5`).
  • HTF Anchor Timeframe: Timeframe used when Session/HTF Anchor Mode is selected (default `1D`).
  • Custom Value Zone Width (σ Multiplier): Inner value-band standard deviation multiplier used by the `Custom Thresholds` profile (default `1.0`).


Group 2 — Pullback Chop Filter & Auto-Optimizer
  • Pullback Filter Profile: Default `Auto-Optimize (Best Chart Win Rate)`, or lock manually to Balanced, Conservative, Aggressive, Shallow Pullback, Deep Value Reclaim, Volume Climax, or Custom Thresholds.
  • Custom Min Trend Efficiency (0–100%): Minimum Kaufman Efficiency Ratio along the anchor leg when using Custom Thresholds (default `26.0%`).
  • Plot Suppressed Chop Touches (SKIP): Toggles subtle `SKIP` diamonds and rejection tags on low-efficiency or weak-body band touches.


Group 3 — Entry, Stop Loss & TP1–TP3 Targets
  • Target Projection Mode: Choose `R Ladder + Impulse High/Low Magnet` (snaps TP1 or TP2 to the impulse swing extreme when it aligns within realistic R bounds) or `Fixed R Ladder (1R / 2R / 3R)`.
  • Stop Loss ATR Buffer (x ATR): ATR cushion added beyond the pullback wick / outer σ band (default `0.25`).
  • TP1 / TP2 / TP3 R-Multiples: Customize your three target R-multiples (defaults: `1.0R`, `2.0R`, `3.0R`).


Group 4 — Visuals & Dashboard
  • Historical Trade Plans to Display: Number of completed + active trade plans rendered on the chart (1 to 20, default `5`).
  • Dashboard Position & Size: Place the telemetry table in any chart corner (Top Right, Bottom Right, Top Left, Bottom Left, or Hidden) with Small, Normal, or Large typography.



🚀 Built-In Alerts

Includes a unified alert() dispatcher (delivering symbol, timeframe, entry, stop loss, TP1–TP3, quality score, and active profile win rate) plus 6 granular alertcondition() triggers:
  • `AVPT: Bullish Pullback Reclaim (LONG)`
  • `AVPT: Bearish Pullback Reclaim (SHORT)`
  • `AVPT: Any Pullback Trade Plan (LONG/SHORT)`
  • `AVPT: New Structural AVWAP Anchor Shift`
  • `AVPT: Target Hit (TP1 / TP2 / TP3)`
  • `AVPT: Stop Loss / Break-Even Exit`



⚠️ Risk Disclaimer

This indicator is an analytical decision-support tool designed for educational and informational purposes only. Historical profile win rates and cumulative R-multiples are computed from closed-bar state-machine simulations on your active chart history and do not guarantee future performance. Always validate setups within your own risk management framework.
PhenLabs
TradingView Charting w/ Crypto Systems: phenlabs.com
Join our growing community: discord.gg/phen

All content provided by PhenLabs is for informational & educational purposes only. Past performance does not guarantee future results.
他のメディア:
anchoredvwappullbackTrend AnalysistrendfollowingVolatilityVolume

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anchoredvwappullbackTrend AnalysistrendfollowingVolatilityVolume
PhenLabs
TradingView Charting w/ Crypto Systems: phenlabs.com
Join our growing community: discord.gg/phen

All content provided by PhenLabs is for informational & educational purposes only. Past performance does not guarantee future results.
他のメディア:

免責事項

これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。