Anchored VWAP

Anchored VWAP is a mean-reversion and trend-confirmation strategy that fixes the Volume Weighted Average Price calculation to a significant price level or event rather than the session open. This approach captures the market's perception of fair value from that anchor point forward, making it useful for identifying when price has drifted too far from established reference levels.

On the NSE, anchored VWAP works well because Indian equity markets exhibit strong intraday volatility patterns and liquid order flow, particularly in largecap stocks and index futures. The strategy exploits the tendency for price to oscillate around these dynamic anchors during the trading session, especially within the liquid morning hours and around key market events.

A typical setup looks for price to move meaningfully away from the anchored VWAP, signaling either exhaustion of a move or a continuation setup depending on volume confirmation. Traders use the distance between price and the anchor as a measure of conviction, entering when reversals show signs of completion or when breakouts gain volume support above or below the line. The daily timeframe allows traders to set anchor points at the previous close, a swing level, or a news event, then monitor how price and volume interact with that reference throughout subsequent sessions.

This Intermediate strategy suits Swing & Positional Traders comfortable with a Daily timeframe and holding periods around 3–15 days. It's built for the Equity, Futures segment on NSE, so it fits traders who can check positions without needing intraday execution speed.