VWAP, Anchored VWAP, MVWAP?

D

dominover

I originally thought VWAP was just one indicator on it's own. .But recently I've discovered that there's VWAP, Anchored VWAP, and MVWAP.

When traders refer to VWAP, which one are they referring to?
On Yahoo finance if I try to use the VWAP indicator, it provides standard deviation envelopes.
Anchored VWAP provides more what I seem to be looking for, but I'm not sure why this has never come up before?

Which one should I use?

Thanks
 
Most likely anchored VWAP from beginning of day or “x” bars back.

If your going to use an indicator I highly recommend breaking down what is is and the math behind it.
 
Had to look up anchored VWAP.

I always have an area chart with VWAP and st. dev VWAP bands that starts at the NYSE open, just for reference.

But, I'm only watching index futures and spreads. Here's the rationale.

The overnight session has a fraction of the liquidity as the cash session and so VWAP that combines the two is pretty irrelevant to me.

I've just been calling it "session" VWAP instead of "anchored" as you and others are saying.

Looks like this...(the green one is the nasdaq/spx index spread)
ES VWAP .png
 
Yes, though I am talking about stocks only, I should have made that clear.

I now realise that the AVWAP is just a VWAP that has been influenced by some major event, and this means that this high volume event (the anchor) will influence the weighted average price of the stock going forward. So it can be used over multiple time frames and interday.

Naturally this event will not have the previous days prices influencing its VWAP value, so the average deviates from this anchored point instead if at the start if the day (as with VWAP).
 
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