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Anchored VWAP on different timeframes


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Anchored VWAP on different timeframes

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emonte
Philadelphia, PA
 
 
Posts: 1 since Aug 2021
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Can anyone explain why the same anchored VWAP appears at different prices on different time frames? Like if I have put an anchored VWAP at August 20, for example, it will appear at a much different price on the daily chart compared to what it is at zoomed in to the 1h chart.

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Starley
Novosibirsk, Russia
 
 
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emonte View Post
Can anyone explain why the same anchored VWAP appears at different prices on different time frames? Like if I have put an anchored VWAP at August 20, for example, it will appear at a much different price on the daily chart compared to what it is at zoomed in to the 1h chart.

It's very simple. The more elements in the array, the more information there is to calculate the result. And so the result becomes more accurate.

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 JayMay 
Toronto Ontario/Canada
 
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Platform: Tradingview
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There are some differences between an anchored VWAP based on a daily timeframe versus one that is based on an hourly timeframe.
Let's say you are using the built-in anchored VWAP tool on Tradingview. For the purposes of demonstration let's say you get the chart BTCUSD Bitstamp daily timeframe Using the built-in tool you anchor the VWAP to August 1, 2021. An anchored VWAP is immediately drawn. If you look at the first bar you will see the "anchor point" is roughly the middle of the August 1 bar/candle.
There are various settings for the VWAP calculations that define the anchor point. Taking the easiest example let's say you use the H+L/2 ie the daily bar high plus the daily bar low divided by 2. For the August 1 daily bar, the anchor point will be 41019.59. That is the middle of the bar and the starting point for your anchored VWAP.
Now suppose you switch to an hourly timeframe. The built-in app will automatically anchor on the first hourly bar for August 1. The first bar opens at midnight and closes at 1 am (UTC). But that bar has a much smaller range than the daily bar. Going through the same H+L/2 calculation the anchor point for the starting point of the anchored VWAP is 41486.42.
These are measurably different initiating points for these 2 Anchored VWAPs.
Given the fractal nature of the markets for different timeframes, the plots generated for the 2 different timeframes will move through similar territory but because of differences in individual bar ranges, volumes, and numbers of bars in the 2 timeframes, the anchored VWAP plots will have differences which are timeframe relevant.

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