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I have actually only ever read that statistic from LizardTrader. Sure, 70% is considered fair value.
I wouldn't say that anchored VWAPs are an additional VWAP model, but they can be important levels to watch. It is the "importance'' of the event that is key if it is to have reasonable significance. In stocks this is much easier to define because you have earnings, IPOs, management restructuring, FED announcements (if you're trading bonds)...that kind of thing.
For futures, I found that weekly VWAP, monthly VWAP and Yearly VWAP, work well as reference
If we look at the daily ES chart with 3 VWAPs anchored to 3 significant events, I'll leave it up to you to decide if the levels shown have significance...
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- Trade what you see. Invest in what you believe -
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There's some lack of understanding of several things in your above statement.
"70% of all the session's transactions take place within one SD of VWAP" ... well, the standard deviation is itself based on the variance from the mean, so you're sort of stating the obvious.
In the market profile days of 30 years ago, the "70% rule" was first coined. It is based on the mode (POC) though, not the mean (VWAP) though. The algorithm for calculating the VA based on the mode is simple and what you see software programs do when they take a market/volume profile and show the value area.
I'm not sure what you mean by: "hate to think that I only have a 1/3 of the picture with PA behavior and VWAP" ...? But I think it's based on an incomplete understanding, and maybe the above clears that up also.
I mentioned the "70% rule" in the context of the profitability of trades/setups off the VWAP. Trades/setups further out in SD1.5/SD2.5 territory fall outside that zone. I was wondering whether these moves are more profitable.
@JonnyBoy mentioned that VWAP could be used in 3 different qualitative models. The second and third are 'non static approaches' and according to @JonnyBoy "reveals significant advantages and VWAP insight". I like to think that they have something to do with accumulation and absorption around certain VWAP SD levels, and using PA/volume activity at those levels to make trading decisions. I'm currently applying a few order flow indicators to his setups to see where cumulative delta is @ potential reversals or setups.
The static model approach of using anchored VWAPs can provide some very important reference points for the market. Long term anchored VWAPS IMO are significant.
However, can they be used on a more granular level? Say during the RTH session? Well, yes they can. Although the market has a random effect working on it, it still has a memory. And although anchored VWAPs are not easily discovered during the RTH session, when found they can provide information that may help your trading decisions.
It was impossible to articulate this into a post or even multiple posts so I made a video instead. I apologise for the length, time kind of ran away with me.
You should not consider this to be any kind of trading advice. In fact, you might find this to be completely irrelevant to your trading. However, if one trader discovers one thing and finds it useful then I guess we can say that is a win as they say.
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- Trade what you see. Invest in what you believe -
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Are you kidding @JonnyBoy ? Apologizing for the length 30 minutes unbiased video (not selling anything)? I would take 30 hours of it - if you could record it .
Already stocking you and a few other Pros posts all over the forum. This content is golden. THANK you one more time!
@JonnyBoy great video! Did you code your anchored VWAP bar draw indy yourself or is it a 3rd party? I've been looking at a few different offerings and was wondering what you recommend.
However, there is a very cool one here, that I have actually wanted to check out for some time. It has some pretty cool and neat features I perhaps haven't thought about myself.
And for $97.00 it is a steal. To replicate it will cost me way more than my "hourly" rate, so I might end up buying it once I have done the trial.
I know @devdas is on FIO and is the developer of it. I have no affiliation with him at all, but the fact he has a trial he gets my thumbs up! He has a cool website too.
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- Trade what you see. Invest in what you believe -
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it's certainly a steal for $94. even after the price increase from a couple weeks ago. as mentioned @devdas is a member here since 2010 and he has done some remarkable work, like the famous "volume ladder metro edition". it's always a good thing to know a vendor. I know @devdas not only as a good programmer, but also as a good person.
when it comes to vendors, I'm always very skeptical. over the past few years I've seen and tested many products. but actually trusting and buying a product, I would only consider very few vendors. one of them is devdas. honest individual with …
I have no affiliation with him either, but I certainly trust him!!
Rancho Denero Acme Market Analytics sells a Range VWAP.Drawing Tool for $79 s, I have no affiliation with Ranch Denero ,I am using their Volume Profile indicators and I find their products very good.
Description from web site:
High resolution, efficient real-time VWAP calculation
Draw precise bar-to-bar VWAPs on any bars, anywhere on your chart
Sports 4 levels of configurable standard-deviation based envelopes above and below the VWAP, value range can be set to span any of the 4 envelope levels. The value range is conceptually similar to but not to be confused with a volume or TPO value area
Optional extended VWAPs
Configurable labels and colors
. 
