Anchored VWAP

What It Does

Anchored VWAP runs on a single equity-index contract at one intraday timeframe. Instead of computing VWAP from the session open, it computes VWAP from a configurable anchor event. On every bar close it resolves the anchor index, computes the anchored VWAP from that index to the current bar, reads the slope over a configurable lookback, and enters when the close has pulled back into a tight retest band around the anchored VWAP.

The strategy supports five anchor events:

• RTH open: anchors at the first bar of the current cash session.
• Opening drive peak: anchors at the highest high of the first N bars of the cash session (the morning “drive”).
• Prior session high: anchors at the highest high of the prior session.
• Prior session low: anchors at the lowest low of the prior session.
• Gap fill level: anchors at the bar where the current session first crosses back through the prior session close.

Each anchor produces a different “support and resistance” line. The trade logic is uniform: the anchored VWAP slope picks the bias (up slope, long pullback; down slope, short pullback), and the retest threshold picks the timing.

For RTH-anchored events (RTH open and opening drive peak), the strategy fires entries only during 9:30 to 16:00 ET cash hours and only on contracts with a defined cash session.

There is no separate trend filter, no volatility scaling, and no position sizing beyond a fixed contract count.

Why It Works (Sometimes)

The intuition behind anchored VWAP is that a level marked by a meaningful intraday event continues to attract execution flow as the session develops. A break above the opening drive peak that pulls back to its anchored VWAP is read as a refill of that breakout. A test of the prior session high (anchored as a line that slowly decays as more bars are added) marks the level where breakout traders and rejection traders meet.

The edge varies sharply by anchor. A 2024 sweep on the four equity indices showed:

• Opening drive peak was the strongest anchor by a wide margin. The morning drive peak on equity indices acts as a real magnet through the session; the slope-direction read works because the drive itself defines the morning regime.
• RTH open worked modestly, comparable to a standard session-VWAP pullback at a short trend lookback.
• Gap fill level worked on days that had a gap that filled, which is most equity-index sessions.
• Prior session high and prior session low both lost. Anchoring at a price extreme produces an anchored VWAP that starts at the extreme and slowly walks toward whatever the new session is doing; the slope and retest reads do not capture a clean trade in this setup.

The strategy ships with all five anchors selectable so the per-anchor character can be tested. The default and canonical preset use the opening drive peak.

Presets

Four presets cover the canonical anchors:

• Opening Drive Peak (Standard): anchors at the peak of the first 30 minutes of cash trading; trades pullbacks to that anchored level. The canonical preset and form default. Strongest 2024 result across the equity indices.
• RTH Open Anchor: anchors at the 9:30 ET cash open. Equivalent to the standard session-VWAP pullback but framed as a configurable anchor.
• Gap Fill Anchor: anchors at the bar where the current session first crosses back through the prior session close. Fires only on gap-and-fill days.
• Prior Session High Anchor: anchors at the prior session high. Performed weakly on the 2024 NQ sample; included so the strategy gives you a way to test it on your own data and timeframes.

Use the form to set your own anchor, retest threshold, target, stop, and direction. The presets are starting points, not endpoints.

Best In

• Range-then-breakout sessions where the morning drive defines a regime that the rest of the session respects.
• Liquid, high-volume equity-index futures where the volume-weighted level itself is meaningful.
• Days with a clean overnight gap that fills: the anchored gap-fill level becomes a natural pivot.

Where It Struggles

• Sideways or no-drive sessions where the anchor itself is in the middle of nothing and the slope reading is noise.
• Sessions where the prior-session high or low is far from current price; the strategy waits for a retest that never comes.
• The two prior-session-extreme anchors (high and low) in trending years like 2024, where price spends most of the session away from those levels.

Possible Uses

• A configurable anchor sandbox. Test which anchor type matches the intraday regime you trade and your contract’s character.
• A starting point for layered strategies. Combine the anchor choice with a time-of-day gate or a volatility filter and the picture often improves.
• A clean honest test of “does retest of this event-anchored level pay” per anchor and per contract.

What It Does Not Do

• No bracket orders. The take-profit and stop are evaluated on bar close.
• No volatility-adjusted threshold, target, or stop.
• No re-entry while in position. A single retest produces one trade, not a stream.
• No overnight holding. Positions are flattened when the session ends.

Contract Coverage

The strategy ships on the four CME equity-index futures (NQ, ES, YM, RTY). All four share the 9:30 to 16:00 ET cash session anchor that the RTH-based anchors need. Gold and crude are excluded at launch because neither VWAP-family strategy has yet demonstrated enough cross-contract edge on those instruments to justify the launch coverage. They may be added in a follow-up if a future sweep finds a positive cell.