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VWAP (Anchored and Moving)

VWAP is often used in algorithmic trading and/or as a trading benchmark by large investors to ensure a descent execution price for clients but you can use it for other interesting purposes as well.

In Chartmill, you can add both anchored and moving VWAPS to your chart.

Moving VWAP

A Moving VWAP over a period of 50- days gives a trader information on the average price traded over the last 50-days adjusted by volume.

Moving VWAP

Example: SPY Chart with Moving VWAP(50)

Anchored VWAP

With an anchored VWAP you can check if buyers are mainly in winning or losing positions over a certain period of time.  In the following chart we’ve drawn an anchored VWAP that starts exactly at a previous bottom (in this example precisely 26-days ago).

Anchored VWAP SPY

Example: SPY chart with an Anchored VWAP(26)

Aah yes … here is how you do it:

Anchored VWAP