TWJ Anchored VWAP
- Индикаторы
- Версия: 1.20
- Обновлено: 5 марта 2026
- Активации: 5
1. Overview
TWJ Anchored VWAP is a professional-grade MetaTrader 5 indicator that plots the Volume Weighted Average Price anchored to the open of each new trading day. The VWAP resets automatically at the start of every session, giving you a clean, accurate intraday reference price calculated from the true open of each day.
Unlike fixed or manually anchored VWAP tools, TWJ Anchored VWAP requires zero configuration to stay relevant — it handles the daily anchor logic automatically while giving you full control over the number of Standard Deviation bands displayed and every visual element on the chart.
Indicator Type: Custom Indicator — plots directly on the MT5 price chart.
Platform: MetaTrader 5 (MT5) only.
2. Key Features
| Feature | Description |
| Auto Daily Anchor | VWAP resets precisely at the open of every new trading day — no manual input required. |
| Typical Price Calculation | Uses the standard (High + Low + Close) / 3 formula for accurate VWAP computation. |
| Real Volume Priority | Automatically uses real tick volume when available; falls back to tick volume on brokers that don't provide it. |
| Up to 5 SD Bands | Display between 0 and 5 pairs of Standard Deviation bands above and below VWAP. |
| Configurable Multipliers | Each SD band has an independent multiplier — set your preferred statistical levels (e.g. 1.28, 2.01, 2.51, 3.10, 4.00). |
| Full Colour Control | Every line — VWAP and all 5 SD bands — has an independent colour picker input. |
| Zero-Volume Guard | Bars with zero reported volume are handled gracefully and do not break the calculation. |
| Partial Recalc Safe | On live bars, the indicator walks back to the correct day anchor to ensure running totals are always accurate. |
| Clean Unused Plots | SD band plots that are switched off are hidden completely using DRAW_NONE — no clutter on the chart. |
3. Input Parameters
All settings are accessible from the indicator's Inputs tab when attaching it to a chart, or by double-clicking the indicator name in the Navigator.
3.1 Standard Deviation Settings
| Parameter | Default | Range | Description |
| Number of SD Bands | 4 | 0 – 5 | How many pairs of Standard Deviation bands to display. Set to 0 to show VWAP only. |
| SD Band 1 Multiplier | 1.28 | Any > 0 | Multiplier for the first SD band. 1.28 represents approximately the 80th percentile. |
| SD Band 2 Multiplier | 2.01 | Any > 0 | Multiplier for the second SD band. |
| SD Band 3 Multiplier | 2.51 | Any > 0 | Multiplier for the third SD band. |
| SD Band 4 Multiplier | 3.10 | Any > 0 | Multiplier for the fourth SD band. |
| SD Band 5 Multiplier | 4.00 | Any > 0 | Multiplier for the fifth (outermost) SD band. |
3.2 Band Colour Settings
| Parameter | Default Colour | Description |
| VWAP Line Colour | White | Colour of the main VWAP line. |
| SD1 Band Colour | Cornflower Blue | Colour of the SD Band 1 upper and lower lines. |
| SD2 Band Colour | Orange | Colour of the SD Band 2 upper and lower lines. |
| SD3 Band Colour | Fire Brick | Colour of the SD Band 3 upper and lower lines. |
| SD4 Band Colour | Red | Colour of the SD Band 4 upper and lower lines. |
| SD5 Band Colour | Maroon | Colour of the SD Band 5 upper and lower lines. |
4. How It Works
4.1 VWAP Calculation
The VWAP is calculated using the typical price formula:
Typical Price = (High + Low + Close) / 3
VWAP = Σ(Typical Price × Volume) / Σ(Volume)
The cumulative sum resets at the start of each new trading day, as detected by a change in the date component of the bar timestamp. Real broker volume is used where available; tick volume is the fallback.
4.2 Standard Deviation Bands
The Standard Deviation is calculated from the same volume-weighted dataset:
Variance = Σ(Volume × TP²) / Σ(Volume) − VWAP²
Band N = VWAP ± (Multiplier_N × SD)
Each enabled band plots two lines symmetrically — one above and one below the VWAP. The SD value is mathematically guaranteed to be non-negative by clamping variance to zero before taking the square root.
4.3 Daily Reset Logic
The indicator compares the date portion of each bar's timestamp to the previous bar. When the date changes, all running accumulators (cumulative volume, cumulative typical price × volume, and the squared sum) are reset to the values of the first bar of the new day. This ensures the VWAP always starts fresh from the first traded bar of each session.
5. Reading the Indicator
5.1 The VWAP Line
The VWAP line (white by default) represents the volume-weighted average price from the day's open to the current bar. It is the most important reference level on the chart.
• Price above VWAP — buyers are in control for the day; bullish bias.
• Price below VWAP — sellers are dominant; bearish bias.
• Price returning to VWAP — potential mean reversion trade setup.
• Strong trend days — price stays on one side of VWAP throughout the session.
• Rotation days — price oscillates back and forth across VWAP.
5.2 Standard Deviation Bands
The SD bands represent statistically significant distances from the VWAP. They expand and contract throughout the day as more volume is traded.
| Band | Default Multiplier | Interpretation |
| SD1 (Blue) | 1.28× | ~80% of price action expected within this range. First mean-reversion target. |
| SD2 (Orange) | 2.01× | Moderate extension. Price reaching here often indicates an overextended move. |
| SD3 (Fire Brick) | 2.51× | Significant extension. High-probability reversion zone on most normal trading days. |
| SD4 (Red) | 3.10× | Extreme extension. Typically only reached on high-volatility or news-driven days. |
| SD5 (Maroon) | 4.00× | Exceptional extension. Rarely touched — signals an unusually volatile session. |
Trading Tip: Many institutional traders use the SD2 level as a fade target — price returning from SD2 back toward VWAP is a common mean reversion setup.
6. Frequently Asked Questions
Why does the VWAP look different on different timeframes?
The VWAP is the same value regardless of timeframe — it represents the volume-weighted average from the day's open. However, on higher timeframes (H4, Daily) fewer bars are visible so the line appears smoother. For accurate intraday analysis, use M1 through H1.
Why do the bands start narrow and widen throughout the day?
This is mathematically correct behaviour. Early in the session only a few bars have been traded, so the standard deviation is calculated from a small dataset — this naturally produces narrow bands. As the day progresses and more price and volume data is accumulated, the bands stabilise and can widen or narrow based on actual volatility.
Can I set Number of SD Bands to 0?
Yes. Setting the input to 0 disables all band plots and shows only the VWAP line. This is useful when you want a clean chart with just the anchor reference.
My broker doesn't provide real volume — will the indicator still work?
Yes. The indicator automatically detects whether real volume data is available. If it is not, it falls back to tick volume, which is the standard on most Forex brokers. The VWAP calculation works correctly with tick volume.
Does the indicator repaint?
The VWAP for completed bars does not repaint. The most recent bar may update on each new tick as its volume and price data changes — this is expected and correct behaviour for any real-time VWAP implementation.
Can I change the SD multiplier values?
Yes. All five multiplier values are fully configurable input parameters. You can set any positive decimal value. The defaults (1.28, 2.01, 2.51, 3.10, 4.00) are commonly used statistical reference levels but you are free to customise them to your strategy.
7. Support & Updates
For questions, feedback, or support with TWJ Anchored VWAP, please use the following channels:
• YouTube: youtube.com/@tradingwithj — tutorials, trade content, and product updates
• MQL5 Profile: mql5.com/en/users/curtisdaniel
• Reviews and ratings on the MQL5 marketplace help other traders discover TWJ Anchored VWAP and are greatly appreciated.
