Anchored Vwap MTF MT5

The average price everyone who entered after the last swing is holding, drawn without you having to click an anchor. Anchored VWAP MTF finds the last confirmed swing itself, runs the volume weighted average from there, and puts deviation bands around it so a retest can be told from a breakaway. There is no calendar in it anywhere, so it behaves the same on any symbol and any broker session. It is free: no trial, no locked features, no upgrade page.

The volume weighted average price is accumulated not from the start of the chart but from an anchor: the sum of typical price times volume divided by the sum of volume, both running from the anchor bar. The bands are the deviation of that same weighted sample, which makes them bands of the VWAP itself rather than Bollinger bands laid over it.

Two anchors are offered and both are deliberately calendar free. The first is the last confirmed swing pivot, which is the anchor the method was invented for and the one that ships selected. The second is a rolling window of a set number of bars. Session and day anchors are absent on purpose: the engine reads no timestamp at all, so it works identically on symbols whose broker keeps its own session hours.

What is on the chart

Drawn in the price window: the anchored VWAP coloured by which side price is on and unbroken across the change of side, the two deviation bands as thin lines, two shades between them, and arrows on the bar where price changed sides. The bands can be switched off on their own.

The panel

A canvas panel on the price chart, draggable, collapsible, closeable. It shows the timeframe in force and the setting values actually being used. It says what the last closed bar was: a BUY signal, a SELL signal, or neither. And it says whether the numbers on screen came from the properties dialog or from the panel, and how many of them were changed by hand.

Below that sit the settings the panel can move, with their current values. The gear opens a three-tab sheet.

Values covers the timeframe, the anchor mode, the pivot period that confirms a swing anchor, ten bars each side by default, the length of the rolling window used by the other mode, two hundred bars, and the band multiplier in weighted deviations. Styles covers the palette, the line and its width, the arrow size, the two bands and the two shades. Every Values row has steppers, a range and a sentence of help.

The Alerts tab covers the master switch, the per event switches, the channels, the cooldown in minutes and a test alert.

Three colour schemes: dark, light, and a colour-blind safe one that uses blue and orange rather than red and green. Everything about the panel, including every value changed on the sheet, is stored per chart and survives a timeframe change and a terminal restart. The interface is English.

Alerts

Off out of the box. Three events: a BUY signal, a SELL signal, and a touch of the AVWAP line, which is the pull back event rather than a flip. Each has a switch of its own.

Channels: a popup window, a sound, a push to the mobile terminal and e-mail. There are per-event and per-channel switches, and a cooldown that defaults to two hours.

Alerts fire on the last closed bar. Two further alerts, off by default, speak on the forming bar within a chosen number of seconds of its close, and they are labelled early because a flip that exists mid-bar can un-happen. Telegram is not part of this product.

Signals on the forming bar

There is one switch that matters more than the others, and it is in the Values tab as well as in the inputs: whether buffers and arrows are allowed on the bar that is still forming.

With it on, which is the shipped default, you see a flip as soon as the market makes it. Sometimes that flip is undone before the bar closes and the arrow disappears. With it off, nothing is written on the forming bar at all: there is no repaint of any kind, and every signal arrives one bar late by construction.

Both behaviours are legitimate. The product does not pick for you and it does not hide which one it is doing: the panel and the setting name both say so.

Multi-timeframe

The Timeframe setting computes on a higher timeframe and draws the result here. Only closed senior bars are read: a chart bar shows the newest senior bar that had already closed by that chart bar's own close, so the flip lands on the bar that closes together with the senior bar, and nothing is drawn that could not have been known in real time.

The foreign series is built in the background. The first read of it can come back empty, the indicator retries, and the panel says whether it is waiting for a download or looking at a genuine shortage of history. It never fails initialisation over missing bars.

Reading it from an EA

Sixteen buffers, all readable through iCustom and CopyBuffer. Buffer 0, Buy, carries the arrow price on a BUY bar and EMPTY_VALUE otherwise, and is not drawn; buffer 1, Sell, is the same for a SELL. Buffers 2 to 5 belong to the two fills and are display plumbing, not for reading. Buffer 6 is the AVWAP line while the trend is up and buffer 7 is the same line while it is down; on the turning bar both hold a value, which is what keeps the drawn line unbroken. Buffer 8 is the upper deviation band and buffer 9 is the lower deviation band. Buffers 10 and 11 are the drawn copies of buffers 0 and 1. Buffer 12, Signal, is +1 on a BUY bar, -1 on a SELL bar and 0 otherwise. Buffer 13 is Override, buffer 14 is the AVWAP line as one unbroken series, and buffer 15 is the trend itself, 0 while up and 1 while down.

Buffer 16 is added by this port and sits after the whole shared map: the Z score, how many deviations price stands from its own VWAP. It carries no units, so it compares one symbol with another, which is what the board sorts and grades on.

Buffers 0 and 1 are the contract: never painted, filled on every pass whatever the Styles tab says, and present in the Data Window. Hiding the arrows on the display cannot starve a strategy of the signal, because hiding is done by changing how a plot is drawn and never by emptying a buffer.

An instance created by iCustom is read only and always uses the parameters you passed. The Override buffer lets a strategy detect that a chart instance is running on numbers changed by hand from the panel.

Provenance

This is a port of Anchored VWAP. The concept is public and was popularised by Brian Shannon; the implementation here was written from the definition and uses no one else's code. Two things are declared: the volume is tick volume, which is the only volume MetaTrader has and what every VWAP on the platform is built from, and the swing anchor is confirmed after a number of bars, so it never looks ahead but it also does not appear at the instant of the turn.

The product is called Anchored VWAP MTF because that is the name of the method, not because authorship of the method is claimed here. The original work belongs to its author.

Honest limits

The anchor moves. When a new swing is confirmed the whole average is recomputed from the new anchor, so the line you are looking at today is not the line that will be drawn once the next swing is confirmed. That is what anchoring means and it is not a repaint of a closed signal.

Tick volume counts price changes rather than contracts. On a forex symbol that is an approximation of activity, and the weighting is only as good as that approximation.

With the rolling window anchor the product is no longer anchored to a market event at all. It is a moving average weighted by volume, and it is offered as a fallback for instruments where swings are scarce, not as the method proper.

The settings move every signal the product will ever show. Two configurations produce two different sets of signals, and neither of them is the true one.

No profit figure, win rate or backtest result is claimed here.