Volume Profile Anchored VWAP, AVWAP Bands & Deviation [LunqFX]

Most anchored VWAP tools make you drag the anchor by hand, and it goes stale the moment structure changes. This one places the anchor automatically at confirmed swing pivots, wraps it in volume weighted standard deviation bands, hangs the leg's volume profile off the right edge, and then measures whether those bands are being respected on the symbol in front of you.

The annotated charts below explain the script's output element by element.

❶ AUTO ANCHORED VWAP

An anchored VWAP is only meaningful from a point that mattered. Anchor it at an arbitrary bar and it describes nothing; anchor it where the market last turned and it becomes the average price everyone trading THIS leg is carrying — which is exactly the level they defend.

The anchor is placed at confirmed swing pivots, with two guards that matter more than they sound:

▸ MINIMUM LEG — a fresh pivot cannot take over until the running leg has had room to form. Without that rule a cluster of pivots chops the curve into stubs and the VWAP never describes anything. ▸ MAXIMUM LEG — a leg that outlives its usefulness resets rather than growing into a whole-history average.

Session, weekly and monthly anchors are available for traders who prefer calendar anchoring.

❷ STANDARD DEVIATION BANDS

Around the anchored VWAP the script draws volume weighted standard deviation bands at three depths, filled as a gradient so distance from fair value is readable without measuring. Three details make them behave:

▸ WARM-UP — at the anchor the deviation is zero by definition, so the first bars of every leg would draw as a collapsing funnel. Those bars are still measured; they are simply not drawn. ▸ MINIMUM WIDTH — an ATR floor stops the bands pinching shut during dead stretches. ▸ DISPLAY SMOOTHING — the deviation path is box-filtered for drawing only. The VWAP itself and every statistic use the raw values, so nothing you act on is smoothed.



❸ VOLUME FLOW

Each bar's participation is drawn as fine texture reaching inward from the band edges: buy pressure rises from the lower edge, sell pressure falls from the upper one, split by where the bar closed inside its own range. The bands are the baseline, so the leg's pressure reads along the structure instead of on a separate pane.

❹ VOLUME PROFILE OF THE LEG

At the right edge the script hangs the volume distribution of the whole leg, split buy against sell, with a seam line at the join and a traced outline. Each bar is binned against its OWN slice of the channel rather than a fixed price grid, so a sloping leg does not smear the distribution — a detail most profile overlays skip, and the reason the shape stays honest on a trending market.

❺ BAND REACTION STATISTICS

Bands tell you where price is. They do not tell you what that has meant here. So the script measures it: for every touch of the chosen band inside the current leg it checks whether price returned to the VWAP within your window, and reports the share that did, together with the number of touches.

That single number changes how the same picture is read. A leg where touches of the upper band came back to VWAP most of the time is mean-reverting, and the band is a fade. A leg where they did not is trending, and the same touch is continuation. Samples too small to conclude anything from are marked with a tilde rather than presented as a result.



❻ WHAT YOU SEE ON THE CHART

▸ Dashed vertical line with the ANCHOR badge — where the current leg begins. ▸ Three teal bands below and three red bands above, filled as a gradient — deviation depth from the VWAP. ▸ Dark line through the middle — the anchored VWAP itself. ▸ Fine ticks along the band edges — per-bar buy and sell participation. ▸ Horizontal rows at the right edge — the leg's volume profile, teal for buy, red for sell. ▸ Panel — side of the VWAP, distance in σ with a position ruler, the VWAP and band levels, and the reaction statistics.

❼ HOW TO TRADE IT

1 — Read the header. Above or below the anchored VWAP is the leg's bias; the σ figure is how stretched price is right now. 2 — Check the reaction row before deciding what a band touch means. High return rate means the bands are fades. Low return rate means they are continuation. 3 — Use the VWAP as the leg's fair value. Pullbacks into it in the direction of the leg are the cleanest entries this tool produces. 4 — Use the volume profile to find where the leg actually traded. Thin rows are areas price passed through quickly and tends to pass through quickly again. 5 — Watch the anchor. A new anchor means structure turned and the previous leg's levels stopped applying.

❽ NON-REPAINTING

This is the part that separates an anchored VWAP from a rolling regression channel, and it is worth being precise about. The anchor is a CONFIRMED pivot and only ever moves forward. A VWAP is cumulative, so once a bar closes its contribution to the average is fixed forever — every band value already printed stays exactly where it is. Nothing is recalculated behind you. Every statistic is built from closed bars only.

SETTINGS

▸ Anchor — anchor mode (swing pivot, session, week, month), pivot length, minimum and maximum leg. ▸ Bands — three deviation depths, warm-up bars hidden, minimum width in ATR, display smoothing, gradient fill and VWAP line toggles. ▸ Volume Flow — texture height in ATR and thickness. ▸ Volume Profile — rows, width, thickness, seam and outline toggle. ▸ Band Reaction — which band counts as a touch, the reaction window, optional touch markers. ▸ Visuals — candle colouring, anchor marker, dashboard position.

ALERTS — upper band touch, lower band touch, VWAP reclaimed, VWAP lost, and new anchor. All fire on closed bars only.

WHY THESE PARTS ARE ONE SCRIPT

They describe one object at four resolutions. The anchor defines the leg; the standard deviation bands measure dispersion inside it; the flow and the volume profile show where its volume actually went; and the reaction statistics say whether that structure is being respected. Take the anchor away and the VWAP averages a period nobody traded as a unit. Take the profile away and the bands float above an unknown distribution. Take the statistics away and the bands become decoration you have to interpret by feel. None of them stands alone, which is why they ship together.

Works on any symbol with volume — forex, metals, indices, crypto and stocks — on intraday and higher timeframes alike. Symbols without real volume data will report a flat profile.

This indicator is an educational market-analysis tool, not financial advice. The reaction statistics describe the recorded historical behaviour of the current leg on the loaded chart; past behaviour does not predict future results. Always confirm with your own analysis and manage your risk.