Anchored VWAP Indicator for ThinkOrSwim (Free Download)

What it shows

What Is Anchored VWAP?

Anchored VWAP is a volume weighted average price that starts from a bar you pick. VWAP stands for volume weighted average price. It takes the typical price of each bar, (high + low + close) / 3, weights it by that bar's volume, and divides the running total by the running total of volume. Bars with more volume pull the average harder.

The VWAP built into ThinkOrSwim starts over every session. An anchored VWAP adds one more layer: you pick the starting point. I use 3 kinds of anchors:

• An intraday time. If you day trade, anchor to the bar where price reversed and track the average from there.
• An earnings date. If you swing trade, anchor to the company's last earnings date to see the average price since the report.
• A major low or high. Something like the December 2018 lows gives you a broader view of where price has bounced from.

For how VWAP compares with relative volume and OBV, see our guide to the best volume indicators for ThinkOrSwim. For a longer-range case study, our research on anchored VWAP from the March 2020 and June 2022 lows anchors the line to two major lows in SPY.

What the Indicator Does

The anchored VWAP indicator plots one solid cyan line, line weight 3, starting at your anchor bar. Before the anchor, nothing plots. After it, each new bar adds its price and volume to the average. The anchor date and time are inputs, so you change them in the study settings without touching the code.

Install it in ThinkOrSwim

How to Install the Indicator in ThinkOrSwim

The anchored VWAP indicator is a custom study, so you add it through the Studies menu in ThinkOrSwim.

1. Download the indicator, or copy the code from the Code tab on this page.
2. In ThinkOrSwim, click the Studies icon, then click Create.
3. Delete the placeholder code and paste in the anchored VWAP code.
4. Give the study a name. I called mine AnchoredVWAP.
5. Click OK, then Apply, and open the study settings to set your anchor date and time.

Load it on an intraday chart. In the video, the line didn't show on a daily chart anchored to the same day, because the anchor time needs intraday bars to land on. If you've never added a custom study, our walkthrough on how to import a thinkScript study into ThinkOrSwim covers the steps.

How the code works

The Inputs

The anchored VWAP study has 2 inputs, and you set both in the study settings window.

The defaults are placeholders. Change both to the event you want to measure from.

How the Code Works

The anchored VWAP code is the raw VWAP formula, 2 inputs, 2 true/false tests, an if/else inside each sum, and 3 style lines. I built it in that order in the video. It was the first episode of our How to thinkScript series, and you'll find the rest of our thinkScript tutorials on one page.

Step 1: Write VWAP in Its Raw Form

I start with the plain VWAP formula, the way ThinkOrSwim wants it. TotalSum adds a value up across every bar on the chart. I use plot instead of def so the value draws on the chart.

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On its own, this line gives you VWAP from the first bar on your chart. The next steps tell it where to start.

Step 2: Add the Anchor Inputs

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Making these inputs means you can re-anchor from the settings window. You don't have to edit the code each time the date or time changes.

Step 3: Test Whether Each Bar Is After the Anchor

Two true/false variables check each bar against the anchor. The date test is one comparison: is this bar's date on or after the anchor date?

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In the video I wrote the time test as SecondsFromTime(anchorTime) >= 0, which checks the clock on every bar. The download uses an updated version that switches on once and stays on:

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On the bar that starts at your anchor time, SecondsTillTime returns 0 and the test turns on. Before the anchor date it resets to 0.

After that, each bar copies the previous bar's value. The line keeps counting every bar after the anchor, on the anchor date and on every day that follows, including extended-hours bars if your chart shows them.

Step 4: Only Count Bars After the Anchor

Now both sums get an if/else. When both tests are true, the bar adds its price times volume to the top and its volume to the bottom. When either test is false, it adds 0, so bars before the anchor have no effect on the average.

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Before the anchor, the bottom of the fraction is 0. ThinkOrSwim can't divide by 0, so it plots nothing there, which is why the line starts right at your anchor bar.

Step 5: Style the Line

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A solid line, 3 times the default weight, in cyan so it stands apart from the candles.

Examples

Example: Microsoft After Its April 2019 Earnings

The Microsoft example in the video shows anchored VWAP acting as resistance after an earnings report. I recorded the video on June 12, 2019. With the line anchored to 9:30 a.m. that day, it ran through the middle of a choppy session. Price crossed above and below it all day, and the line showed there was no clear direction.

Then I changed the anchor date to 20190425, Microsoft's earnings date. For weeks after the report, the anchored VWAP acted as resistance: price pushed up against it, fell back, and pushed up again, until it finally made a decisive move across.

Once price broke through, I re-anchored to June 3 to use as the new reference while looking for longs. That line came in at about $127.44 on Microsoft.

Tips for Choosing an Anchor

The anchor point decides what the anchored VWAP line measures, so match it to the trade you are planning.

• Match the anchor to your timeframe. Anchor to an intraday reversal for day trades, and to an earnings date or a major low for swing trades.
• Re-anchor when the story changes. In the Microsoft example, the earnings anchor told the story until price broke through it. After that, the June 3 anchor was more useful.
• Pick a time your chart has a bar for. The time test looks for a bar that starts at exactly anchorTime. On a 5-minute chart, 935 works and 932 doesn't.

Anchored VWAP gives you a level to read price against, and it doesn't tell you when to enter. Before you trade off the line, decide where your stop goes and size the position so a stop-out costs a small, fixed share of your account. To find stocks pulling back to the line, use our free anchored VWAP scans.

Customize and troubleshoot

Common Problems

Most anchored VWAP problems come from the anchor date, the anchor time or the chart timeframe.

• No line on the chart. Make sure you're on an intraday chart, the anchor date is inside the chart's date range, and a bar starts at your anchor time.
• Wrong date. The date has to be YYYYMMDD with no slashes. June 3, 2019 is 20190603.
• Wrong time. The time is Eastern, on a 24-hour clock, with no colon. If you're on Pacific time and want 7:30 a.m. your time, enter 1030.

If you edited the code and ThinkOrSwim shows an error, our tutorial on how to debug thinkScript code covers how to track it down. You can find more free studies on our indicators page.