The Anchored VWAP solves this by calculating the average price weighted by volume starting from a user-selected point in time, rather than the market open. This creates a "rolling cost basis" from a specific event.
A stock gaps up on strong earnings. The daily VWAP for Day 2 is irrelevant because the real volume-weighted average price that matters is from the earnings gap candle on Day 1. Without an anchor, you are trading blind. maximum trading gains with anchored vwap pdf better
Standard moving averages (SMA/EMA) are purely price-based. AVWAP is volume-weighted. The Anchored VWAP solves this by calculating the