Anchored VWAP
Volume Weighted Average Price anchored to a specific starting point.
Usage
Use as an intraday fair value benchmark. Institutional traders buy below VWAP and sell above it; breakouts above VWAP on heavy volume signal bullish institutional interest.
Background
Volume Weighted Average Price calculates the average price weighted by volume transacted at each level throughout the trading session. It serves as the primary execution benchmark for institutional orders — TWAP and VWAP algorithms are the two most common order execution strategies in equity markets. — Investopedia
Formula
[ VWAP = \frac{\sum (Price \times Volume)}{\sum Volume} ]