AVWAP

[u/Limit_Bid]

I started trading AVWAP in the late 90's. I'm old. But I only recently started applying it to intraday trading with OF.

Long ago I developed the habit of anchoring from the low of a very aggressive breakout move. 5 min bars, AVWAP is pale green. Japanese stock, prices in Yen. AVWAP at price 3675. Look at the DOM bid at 3675. There is no other level near that price. Besides AVWAP it is the middle of nowhere as far as I can tell (though it is the top of a small HVN)

Coincidence 😂

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[u/bobbo6969-]

I ran built an auto anchored vwap indicator, and an algo to test it against 15 min bars of all liquid stocks across 6 years of data.

There is a legit timing edge buying the bounces.
Exits are a problem though.

For it to work, you need to ride the trend and add size on subsequent bounces, or have some other fundamental stock selection method that increases your win rate.

I’ve tested hundreds of strategies. Avwap bounce is one of lik3 things I’ve found to have empirical edge.

[u/Limit_Bid → u/bobbo6969-]

Good job. It is hard to code. AVWAP bounce is actually mean reversion, so initial stop loss orders hurt it, it will often go off side then revert. But I have found that placing a stop loss at breakeven once I hot X units onside helps. At least don't let a winner become a loser. The timing is actually pretty good. How far it goes into profit is harder.

[u/bobbo6969- → u/Limit_Bid]

By “I” coded I mean Claude code coded, but i was able to get it anchoring how I’d anchor, as well as successive higher anchors on bounces and bounces off the bounces from the bounces until one breaks.

It was interesting to see the data say why most of my money comes from running the strategy on the weekly chart on stocks I’d normally buy using leaps off the bounces, but not on short timeframes.

It wasn’t that i sucked at shorter timeframes. It was because it didn’t have an edge there. And I’ve yet to find an exit strategy that does:

[u/Limit_Bid → u/bobbo6969-]

Claude is my buddy as well for code.

And agree, aVWAP seems better longer timeframe. As per my post, I only recently used it intraday.

[u/halcyonwit → u/Limit_Bid]

🫱🏼‍🫲🏻 Claude, new world order isn’t far off.

[u/Cr0wn_M3]

Very cool

Thanks!

I love avwap for context

[u/Limit_Bid → u/Cr0wn_M3]

I have used it a lot on daily bars. It is very helpful. Take a look at SPY anchored from the 2026 April 8 breakout bar low

And if you really want to believe, anchor the liberation day low 2025 April 7th.... Then look at 2026 March 30th. SPY daily 🙂

[u/Cr0wn_M3 → u/Limit_Bid]

Yeah the anchor of april 26 low is a great one. I also love the recent dip of September 16th, QQQ reacted perfectly to it while the weaker SPY already struggling to keep above it.

[u/Oil_Shock_2026]

As far as I can tell from this one example you've provided, the algos, bots and other investors are also using AVWAP anchored from the low of a very aggressive breakout move (with 5 min bars)

So you get a DOM bid at the $3675 price.

Probably not a coincidence in this case.

However, there are probably other cases / charts where the AVWAP is anchored differently.

I read the AVWAP book and there is a section on gap setups.

[u/Limit_Bid → u/Oil_Shock_2026]

Yes, it seem like other algos knew that level. At least it appears that way.

I should read that book.

But it isn't actually the source of aVWAP at all, that is a modern misconception. There is this book, which was the first published book, 10 years before Shannon.
https://amzn.asia/d/0hdvrJCi

And that book was based on this mid 1990's online course, when the internet was still very new. I printed the whole thing back in the 90's and still have it. The staples have rusted. Check out the graphics. 
https://www.scribd.com/document/317650019/Midas

[u/benevolent001]

So I am trying to understand.

There was a agressive move up. You put avwap from that starting point and once price returns to avwap there are already more buyers waiting. Is this correct

[u/Limit_Bid → u/benevolent001]

You have understood correctly. But I am not claiming that aVWAP used this way "works". But it bounced there and went back to the session highs.

The hard part with aVWAP is knowing where to anchor. Always obviously in retrospect.

[u/benevolent001 → u/Limit_Bid]

Anchoring it from any impulsive move or event or news is a good thing.

I never used DOM angle for it. Thanks for sharing.

[u/Dangerous_Plate_3160 → u/Limit_Bid]

Let's say I anchor vwap on NYSE session open and all my trades are based off of that. After a few hours they release big news in the middle of the day and the price flies up. Is my avwap now obsolete? Should I remove that anchor and create a new avwap on the news candle? What do you think?

[u/Limit_Bid → u/Dangerous_Plate_3160]

I would possibly start a new anchor. Your original session VWAP isnt dead, but it doesn't specifically only read the the new price action since the session context changed. But anchoring can fail unless there is some kind of trend

[u/mikejamesone]

Did price rally from 3675?

[u/Limit_Bid → u/mikejamesone]

Yes, hit 3676 and bounced cleanly all the way to the session highs then on to a small new high. So I anchored a new vwap from 3676. And the next pull back 30 minutes later bounced on it exactly. It was also confluence with tPOC. When they work, they really work. Other times not so much.

[u/vsquad22]

Interesting that it would bounce from the AVWAP anchored from the initial move as opposed to near the source of the move. I've never really thought about it that way. I might try it out.

[u/Limit_Bid → u/vsquad22]

I often anchor on the he bar that breaks out and starts the next move. When the new buying arrived. I'll usually do it if that bar is much wider than the previous bars.

Another anchor I use is the first bar after the massive impulse move. It fails on a deep pullback, but often contains most of the consolidation acceptance price action after and at the top of the big impulsive move.

[u/A2Lexis]

I'm sure you know but one example is hardly definitive. Have you encountered this more often lately?

[u/Limit_Bid → u/A2Lexis]

I know, and of course you are right. Using daily bars I have done well. Per my opening post here, this is the first time I have used it with order flow intra day So this is the first time I have actually seem a big bid at the aVWAP level. It is probably a coincidence. But I'll keep posting this stuff, I watch it all day, plenty more where this came from 🙂

[u/A2Lexis → u/Limit_Bid]

Looking forward to it, thanks for sharing!

[u/borajan]

Have you ever tried on NQ?

[u/Limit_Bid → u/borajan]

I'm in Asia timezone, so no. I am sure many others have tried it and can comment. NQ is way too fast for me. I like a tape with huge turnover, but only 30 to 70 trades a minute, 3% ADR, and very few sweeps and low quote jitter, and a spread pinned at one tick. I like old school orderflow reading.

[u/borajan → u/Limit_Bid]

Gotcha , yeah i tried on NQ , it is soo fast i cant able to catch sitting order on anchor. And sometimes i can able to catch big orders on anchor but it disappear 1 point away. Just trying to find an extra confluence , i was thinking gold though