Structured Anchored VWAP
- 지표
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Shipra Gupta
저는 Shipra Gupta이며, 수학, 경제학 및 알고리즘 트레이딩 시스템 분야에 강력한 배경을 가진 트레이더이자 퀀트 전략 개발자입니다. 수년간 외환(Forex), 금, 지수, 원자재 및 암호화폐 시장 전반에서 활동하며 일관성, 정밀성 및 체계적인 실행을 목표로 한 데이터 기반 거래 전략 개발에 집중해 왔습니다. - 버전: 1.10
Structure-Anchored VWAP
Structure-Anchored VWAP [WAT] is a structure-aware VWAP indicator for MetaTrader 5 that anchors VWAP to meaningful market swings and structure changes instead of simply resetting on a fixed session basis. It combines market structure, anchored VWAP, deviation bands, retest signals and ATR-based trade management into one framework.
Key Features
- Structure-Anchored VWAP — VWAP is built from a detected swing/structure anchor.
- Three Anchor Modes — Swing , Structure , and Fast allow different approaches to identifying the VWAP anchor.
- Market Structure Labels — Identifies HH, HL, LH, LL, EQH and EQL around confirmed pivots.
- VWAP Deviation Bands — Optional 0.5σ Band 1 and 2σ Band 2 show the statistical distance from VWAP.
- Bullish/Bearish VWAP Coloring — The VWAP line changes according to the current structural direction.
- VWAP Retest Signals — After price remains away from VWAP for the configured number of bars, a return/touch of VWAP can generate a long or short signal.
- Volume Spike Protection — Extreme volume can be capped using a median-volume multiplier to prevent abnormal volume from disproportionately affecting VWAP.
- Premium / Fair Value / Discount Zones — Current price is classified relative to the VWAP deviation structure.
- Automatic SL/TP Levels — ATR-based Stop Loss plus TP1, TP2 and TP3 levels are calculated automatically.
- Break-Even Management — After TP1 is reached, the stop can automatically move to entry.
- Live Dashboard — Displays trend, current signal, VWAP, valuation zone, trades, win rate and recent outcome sequence.
How the Indicator Thinks
Market Structure → Anchor → VWAP → Deviation → Retest → Trade
The indicator first identifies meaningful structure. It then anchors a VWAP to the relevant structural leg and calculates the VWAP together with its statistical deviation bands. A directional retest of the anchored VWAP can subsequently trigger a trade signal.
Default Risk Model
The default Balanced preset uses:
| Parameter | Default |
|---|---|
| Stop Loss | 1.5 ATR |
| TP1 | 1R |
| TP2 | 2R |
| TP3 | 3R |
| Break-Even | Enabled |
The code also provides Conservative, Aggressive, Scalping and Custom risk presets.
