The institutional average price, with a statistical envelope.
Anchored VWAP — the volume-weighted average price, re-anchored each session, week, or month — wrapped in ±1σ and ±2σ standard-deviation bands. It’s the line institutions benchmark fills against, plus a statistical read on how stretched price is from fair value.
Best for: Index & micro futures (ES/MES, NQ/MNQ) intraday; mean-reversion and trend-pullback entries.
Open it, read it, edit it — it’s yours. © BuildLab Consulting.
How to use it
Read control
Price above VWAP = buyers in control on the session; below = sellers. VWAP itself is the magnet institutions trade back toward.
Fade the extremes
Tags of the ±2σ band are statistically stretched — on range/rotation days they tend to mean-revert back toward VWAP.
Trend pullbacks
On trend days, pullbacks into VWAP or the ±1σ band are continuation entries in the trend direction.
Anchor to context
Use Session for day trading, Week/Month for swing context and higher-timeframe fair value.
Settings
- AnchorRe-anchor VWAP each Session/day, Week, or Month.
- SourcePrice input for the average — defaults to HLC3 (typical price).
- Inner / Outer band (σ)Standard-deviation multipliers for the two band pairs (default 1σ and 2σ).
Install
TradingView: open the Pine Editor, paste the .pine source, click Save, then “Add to chart.”
Tradovate: Chart ▸ Indicators ▸ “+” (Add Custom Indicator), paste the .js source, Save, then add it to the chart.
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